SR_CURVE function

Actuarial Excel Addin

The SR_CURVE function returns a spot rate from a curve produced by curve_build (for example from source cia or UK sources) at duration t.

See also: CURVE_BUILD VT_CURVESR_CIASR_UKVT_UKVT_CIA

* : Required parameter

Parameters
Default
Description
curve *
--
Curve object from curve_build as 2 rows (durations, spot rates) or 2 columns (transposed).
t *
--
Duration in years. Must be greater than or equal to zero. If t = 0, result is 0.

Example
Result
SR_Curve(curve_build(_date, "uk-nominal", C2:E5), 10)
Returns the 10-year spot rate from the built UK nominal curve.
SR_Curve(curve_build(_date, "cia", C2:E5), 10)
Returns the 10-year spot rate from the built CIA curve.
SR_Curve(A2#, 12.25)
Reads a spilled curve_build result from A2# and resolves a spot rate at 12.25 years.
SR_Curve(A2#, 0)
Returns 0.

Where:
_date
Is a valid date.
C2:E5
Contains four rows of adjustment triplets (interval, a0, a1).

Notes
Description
Interpolation/extrapolation
Rate resolution follows the same curve rules used by UK spot helpers (exact node, forward interpolation, and tail extrapolation).
Validation
Returns an error if t is negative, if the curve payload cannot be parsed, or if the resolved rate is less than or equal to -100%.