Please note that the formulas in this spreadsheet return error messages if the

Deriscope Excel Add-In is not already installed.

You can download the Deriscope installer file for free from https://www.deriscope.com
Blog article on how this spreadsheet was built at
https://blog.deriscope.com/index.php/en/yield-curve-excel-quantlib-bond
After you have run the installer, Deriscope will be automatically loaded into Excel each
time you start a new Excel session.
It may happen that this spreadsheet's formulas do not get updated the first time you
press F9. In such a case you may click on Tools -> Force Recalc at the Deriscope's task
pane.
You can obvisouly uninstal Deriscope any time through the control panel just like you
would uninstal any other program.

For any comment or suggestion you might have, just open a ticket at Deriscope's
support page or email us at contact@deriscope.com
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 Bond objects out of which the yield curve is built
Type ISIN Start Date= End Date=
Bundesobligation DE0001141778 2 Feb 2018 14 Apr 2023
Bundesanleihe DE0001102440 10 Jan 2018 15 Feb 2028
Bundesanleihe DE0001135481 27 Apr 2012 4 Jul 2044

Data shared by all bonds

&Sched_B8:1.1 &SharedBnd.1
Type= Schedule Type=
Function= CREATE Function=
Open End= 0 Handle=
Implied= 0 Issuer=
Start Date= 8 Feb 2018 Currency=
Define Tenor= 0 Settle Days=
End Date= 4 Jul 2044 Notional=
Step= %1Y Issue Date=
Date Bump= %F Accrual Schedule=
Date Bump End= %F Rate=
Calendar= %DE Rate Def=
DayCount= %ACT/365F Pmt Delay=
Rule= Backward Redemption=
End Of Month= 0 Ex Coupon Prd=
Ex Coupon EOM=
&IntRtSpec_B24:1.1
Type= Int Rate Spec
Function= CREATE
Compounding= Simple
DayCount= %ACT/365F
e yield curve is built
Accrual Schedule= Rates= Bond &EURCrv_J2:1.1
&Sched_F3:1.1 0 &FxdBnd_H3:1.1 Type=
&Sched_F4:1.1 0.005 &FxdBnd_H4:1.1 Function=
&Sched_F5:1.1 0.025 &FxdBnd_H5:1.1 Trade Date=
Issuer=
Currency=
TS Daycount=
Fxd Rate Bond Modelled Qty=
CREATE Interp Method=
SharedBnd Build Method=
%PUBLIC|DE Tolerance=
%EUR Market Data=
2
100 &YldCrvBnd_J15:1.1
27 Apr 2012 Type=
&Sched_B8:1.1 Function=
0.025 Input Method=
&IntRtSpec_B24:1.1
%0D{DE|F} Set=
100% #Bond
%0D &FxdBnd_H3:1.1
0 &FxdBnd_H4:1.1
&FxdBnd_H5:1.1
 Maturity DF
Yield Curve 1 Mar 2018 #NAME?
Create 1 Mar 2019 #NAME?
13 Feb 2018 1 Mar 2020 #NAME?
%Riskless Issuer 1 Mar 2021 #NAME?
%EUR 1 Mar 2022 #NAME?
%ACT/ACT 1 Mar 2023 #NAME?
Fwd Rate 1 Mar 2024 #NAME?
Backwd Flat 1 Mar 2025 #NAME?
Iterative BS 1 Mar 2026 #NAME?
1E-12 1 Mar 2027 #NAME?
&YldCrvBnd_J15:1.1 1 Mar 2028 #NAME?
1 Mar 2029 #NAME?
1 Mar 2030 #NAME?
Yield Curve Bnd 1 Mar 2031 #NAME?
CREATE 1 Mar 2032 #NAME?
By Clean 1 Mar 2033 #NAME?
1 Mar 2034 #NAME?
1 Mar 2035 #NAME?
#Price
99.73
98.18
126.18