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I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. My goal is to calculate the bumps of these swaps over time with respect to their relevant curves. I can do it manually (and one-by-one) through Bloomberg terminal in SWPM (Risk panel) but I was wondering if there is a way to use Excel Bloomberg add-in to calculate the bumps automatically. So the problem is twofold:

1- How to define a plain vanilla interest rate swap with its parameters to Bloomberg? 2- How to get curve sensitivities as an output?

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  • $\begingroup$ Probably best to reach out to the BBG helpdesk $\endgroup$ – oronimbus Oct 12 at 18:24
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Use the swap uploader on SWPM to save the deals and "CUSIP" them (starts with "S" and has a Corp tail). I believe you can then reference them through the Excel add-in by the "CUSIP"

Another way using Excel is if you have an Anywhere subscription, you can make use of the Derivatives toolkit and structure/price/analyze your swaps all in the sheet.

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