Interest Rate Market Calculators

 

Pricing Calculator Setup

This document refers how to set up your excel so that the numbers are all calculated correctly. Please follow the instructions explicitly, otherwise it won't function and produce the numbers correctly.

Interest Rate Market Fair value calculator - set up

Fair Value Calculator

This is an excel spreadsheet and does the fair value calculation for the futures and options, as well as a bond calculator (as per the bond pricing formula)

Fair value calculator 

Bond calculator

The Bond Calculator application is a pricing tool that is based upon the bond pricing methodology employed by the JSE. The outputs generated mimic those in the daily valuation reports and allows users to price Plain Vanilla and Inflation Linked instruments listed on the Exchange.
The list of instruments available on the application will be updated on a daily basis.

DISCLAIMER
Although all reasonable care has been exercised in the development, specification and compilation of the Bond Calculator, the JSE does not accept liability of whatsoever nature for any loss, damage or expense that may be incurred as a direct or indirect consequence of reliance placed upon the Bond Calculator and use of the Bond Calculator is at the user’s own risk. The JSE retains copyright to all material contained herein. 

Current available calculations:

-Spot

-Price to Yield

-Inflation linked

-Repo

-Inflation linked repo

 Related Documents

 

 

Interest Rate Market Fair value calculator - Setup ChangedInterest Rate Market Fair value calculator - Setup Changedhttps://www.jse.co.za/content/JSECalculatorsItems/InterestRateMarketFairValueCalculatorSetupChanged.pdfpdf
Fair value calculator - excellFair value calculator - excellhttps://www.jse.co.za/content/JSECalculatorsItems/Fair value calculator - excell.xlsmxlsm