This Spreadsheet implements fitting of Yield curve using Nelson Siegel parameterrization as described in equation 1.30 of the book Fixed Income Analysis: Securities, Pricing, and Risk Management

Based on documentLecture 7: Quadratic Variation-based Payoffs
This spreadhseet calculates fair volatility rate using input parameters of Heston model

This excel file demonstrates estimation of vector autoregression on multiple time series. It takes time series and lags as input, and calculates matrix of coefficients and fitted values using regression estimates. It is based on paper Vector Autoregression

Following are steps required to perform VAR:
Step 1
Enter time series in sheet "timeseries". The observations are laid out in rows and each column represents a variable.
For example :
value in A1 stores observation of variable1 at t=0
value in A2 stores observation of variable1 at t=1
value in A3 stores observation of variable1 at t=2
..
value in B1 stores observation of variable2 at t=0
value in B2 stores observation of variable2 at t=1
value in B3 stores observation of variable2 at t=2
..
Step 2
Enter no. of lags in sheet "Sheet1".
Step 3
Press Start Calculation button in sheet "Sheet1".
Step 4
Observe result of estimated coefficients in sheet "betavals". Rows represent coefficients for each equation and each column represents a different equation
Step 5
Observe result of fitted values in sheet "fittedvals", which can be compared to values in "inputvals". Ideally they should match!

The class VectorAR in this file is used to perform vector autoregression on multiple time series. For usage of this class, please refer example code of CommandButton1_Click

This spreadsheet has VBA code for 2 Factor CIR model, and also has nice tutorial style explanation

The [url="http://finance.eller.arizona.edu/lam/fin521.html"]HomePage[/url] also has other sheets:
Spreadsheet with Lectures on Option Pricing.
Spreadsheet with Introduction to Bonds and Convexity.
2fcir.xls Two-Factor CIR Model of Term Structure.
port1class.xls Optimal Portfolio Selection with Risky Assets only
port2class.xls Optimal Portfolio Selection with a Risk Free Asset

Creates graphs of Expected values of r(t) and Variance of r(t) using the folrmulas :





Values of model parameters are changed in "Model" sheet, and effect on the dynamics are observed in graphs in the other sheets.
eg., increasing the mean reversion rate tends to approach long term rate faster.