VT_UK function

Actuarial Excel Addin

The VT_UK function returns a discount factor computed using the Bank of England spot-rate curves. It selects the curve for the requested date and type (nominal, real, or inflation) and computes discounting over t years using segment forward rates derived from adjacent spot points.

See also: VT_CIAVT_CURVESR_UKSR_CIASR_CURVECURVE_BUILD

* : Required parameter

Parameters
Default
Description
date *
--
Valuation date used to select one row of the spot curve table.
t *
--
Elapsed time in years from date. Must be greater than or equal to zero.
type
"nominal"
Curve type: nominal, real, or inflation (case-insensitive).

Example
Result
vt_uk("2026-05-31", 10)
Returns the nominal 10-year discount factor at end-May 2026.
vt_uk("2026-05-31", 12.25, "nominal")
Uses the 12-year spot for years 0 to 12, then applies the forward rate from 12 to 12.5 for 0.25 year.
vt_uk(A2, B2, "real")
Reads date and duration from worksheet cells and uses the real curve.
vt_uk("2026-05-31", 45, "inflation")
For durations beyond the last curve point, extends using the last forward rate indefinitely.

Notes
Description
Data source
Reads worksheets spot-curve-nominal, spot-curve-real, and spot-curve-inflation in uk_stats.xlsx.
Interpolation rule
If t lies between two durations, discount to the previous duration using that spot rate, then discount the remainder using the forward rate implied by the adjacent spot points.
Extrapolation rule
If t is beyond the last duration, discount to the last point with the last spot rate and discount the tail using the final forward rate segment.
Validation
Returns an error if type is invalid, if t is negative, or if the requested date is not found.