Basic VBA code

Attached a spreadsheet with the VBA code, please note this is aimed at the South African market and should be considered a beta version:

  • SpotLinearInterpolation – VBA code to determine the rate from today to a date in the future.
  • ForwardLinearInterpolation – VBA code to find the forward rate between the Start & End date relative to today.


  • BondPrice – VBA code to calculate the clean or dirty price of South African bonds.
  • bondRpP, bondDuration & bondDelta – VBA code to calculate the 1st derivative of the bond price.
  • bondConvexity – VBA code to calculate the 2nd derivative of the bond price.


  • OptionPrice – VBA code to price an option using Black-Scholes.
  • OptionDelta, OptionGamma,  OptionVega, OptionTheta, OptionRho, OptionITM – VBA code to price some of the option’s “greeks”.

Excel Calculator

About alundarwood

I am involved in market risk and performance analytics in the financial services industry. My expertise includes portfolio management, fixed income analysis, advanced derivative pricing and building software valuation models.
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