EXCEL Guide: Bootstrapping & Interest Rates Swaps

Get yourself ahead of the line of candidates queuing up to join the most prestigious Financial Markets Division of banks. 

We demystify John Hull and bootstrapping and how to build a Interest Rates Swap pricing tool from scratch.

Ever stared at a complicated math formula and got lost in mathematical notation? When professors explain a concept through lines and lines of equations and you just think it isn't intuitive. Welcome to my life!

I never really GOT it until I sat on a desk in S&T and started modelling on EXCEL.

If you are like me, this is the cheat sheet for you.

I will take you through step by step on how bootstrapping is done via EXCEL formulas.

I will give you tips on how to structure a spreadsheet so it is readable, customizable and dynamic. This will surely knock the socks of your analyst and associate.

This spreadsheet includes 5 tabs where I take you through step by step on building an IRS pricing tool, including bootstrapping a yield curve.

This is a MUST-HAVE, and will help you stand out much more quickly than other interns or analysts on the desk.

Note: SOFR swaps are now applicable for some swaps market. This worked example is only for LIBOR-based swaps. SOFR swaps spreadsheet will be released soon.