Tip #2001-5: Using Reuters Real-Time Page Information in Financial
Models
Many fixed-income market professional who trade the international swaps and
derivative markets rely heavily on spreadsheet pricing models for their trading
decisions. They need to bring in pricing information into their Excel workbooks
from numerous sources, quickly manipulate the pricing information to determine
their risk exposure and profit potential. They need to monitor information from
not only the fixed-income markets, but also the treasury, currency and futures
markets to make a profitable trading decision.
A common feature of the real-time pricing information used in the
fixed income, swaps and derivatives models is that it is page
based. For example, Reuters subscribers see the British
Bankers Association of Libor rates for various currencies posted
on LIBOR01 page. This page contains the rates for 1 week to one
year with all the months in between for 7 different currencies.
What’s nice about seeing information displayed on a page is that
you can view a lot of information quickly and make comparisons.
However, if you want to perform calculations on some of these numbers,
you need to extract them into separate worksheet cells. For example,
if you have a financial model, which needs to use only the 3-month
Libor rate for the US Dollar, you will need to parse this information
from this page into a single cell. Once the specific number is extracted
from the line of text, you will be able to reference this rate and
perform calculations on this information. When the rate is updated,
the worksheet cells dependent upon this information will recalculate
to reflect these changes.
In this Willow Tip, we will focus on how to parse information from some widely
watched real-time pages. From our knowledge and experience of working with
page-based data, we have come up simple and easy way to organize and parse the
information. This method allows you to have greater control over the parsed
information, greatly reduces errors and simplifies the task of maintaining your
financial models.
If you are a Reuters subscriber, we have created an Excel workbook, PageParse.xls,
which you can download. This workbook has several examples of real-time page
data from 2 widely used Reuters pages (LIBOR01 and RTRSWP2). You can easily
modify or expand the real-time page data to suit your particular needs.
Some Design and Data Organization Tips
How can I create my own?
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