Get Zero-Coupon Rates

Fetch Zero-Coupon Rates via Excel Add-in

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Fetches Zero-Coupon rates for a specified index and date.

Note: By default, this function returns a simple rate. You can change the compounding type using the optional compounding parameter.

Zero Rates

=BlueGamma.ZERO_RATE(index, date, [valuation_date], [compounding])

• Parameters:

  • index: e.g., "SOFR", "1M EURIBOR".

  • date: e.g., "2024-01-01".

  • valuation_date (optional): The date that the Zero Rate is calculated on. If you leave this blank, it defaults to the current date (today).

  • compounding (optional): The compounding type. One of "Simple", "Compounded", or "Continuous". Defaults to "Simple".

• Example:

      =BlueGamma.ZERO_RATE("SOFR", "2026-06-30", "2025-01-01")
      =BlueGamma.ZERO_RATE("SOFR", "2026-06-30", "2025-01-01", "Continuous")