SR_CIA function

Actuarial Excel Addin

The SR_CIA function returns a nominal spot rate developed by Fiera Capital for the CIA. It selects the curve for the requested exact date and derives the spot rate at duration t using direct lookup, forward interpolation, or forward extrapolation.

See also: SR_UKSR_CURVEVT_CIAVT_UKVT_CURVE

* : Required parameter

Parameters
Default
Description
date *
--
Exact valuation date used to select one row of the spot curve table.
t *
--
Duration in years from date. Must be strictly greater than zero.

Example
Result
SR_CIA("2026-05-31", 10)
Returns the Canadian nominal 10-year spot rate for 31-May-2026.
SR_CIA("2026-05-15", 1)
Uses the exact spot-cia row for 15-May-2026 and returns the 1-year spot rate directly.
SR_CIA(A2, B2)
Reads date and duration from worksheet cells and uses the Canadian nominal curve.
SR_CIA("2026-05-31", 45)
For durations beyond the last curve point, extends using the last implied forward segment and converts the result back to a spot rate.

Notes
Description
Data source
Reads worksheet spot-cia in Aubin Stat.xlsm.
Date matching
Lookup is by exact date. The function does not use month-level matching.
Exact match
If t matches an available duration exactly, the function returns the corresponding spot rate directly.
Short duration rule
If t is smaller than the first available duration, the function returns the first spot rate without forward-rate calculation.
Interpolation rule
If t lies between two durations, the function capitalizes to the lower duration using that spot rate, then applies the forward rate implied by the adjacent spot points, and converts the result back into a spot rate at t.
Extrapolation rule
If t is beyond the last duration, the function uses the last forward segment beyond the final grid point and converts the accumulated value back into a spot rate at t.
Validation
Returns an error if t is less than or equal to zero or if the requested exact date is not found.