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): Valuation date or datetime, interpreted as UTC. Accepts a date or datetime cell, DATE(y,m,d) + TIME(h,m,s), or an ISO string like "2026-07-17T14:30:00". Date-only values price at end of day (23:59:59 UTC). Defaults to live.
  • 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")