CIR Bond Price Calculator Excel Template
CIR Bond Price Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
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Price range: $0.00 through $20.00
Professional CIR bond pricing Excel template. Calculate zero-coupon bond prices, yields, and Feller condition status using the Cox-Ingersoll-Ross model.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use — no download | ✓ | — |
| Works offline | — | ✓ |
| Customize formulas & layout | — | ✓ |
| Save & share with colleagues | — | ✓ |
| Integrate into your own models | — | ✓ |
| Print-ready formatting | — | ✓ |
About This Template
Calculate zero-coupon bond prices using the Cox-Ingersoll-Ross (CIR) interest rate model with this professional Excel template. The CIR model is a fundamental tool in fixed income analytics, providing a closed-form solution for bond pricing under mean-reverting interest rates with guaranteed non-negativity.
What You Can Calculate
This template computes all key CIR model outputs:
- Zero-Coupon Bond Price - The fair value per $1 face value using the CIR closed-form solution
- Zero-Coupon Yield - Continuously compounded yield to maturity derived from the bond price
- Long-Run Yield - The asymptotic yield as maturity approaches infinity
- Model Parameters - Gamma, B(tau), and ln(A(tau)) intermediate calculations for transparency
- Feller Condition Status - Whether the model parameters ensure strictly positive rates
Required Inputs
Enter five CIR model parameters to price your bond:
- Current Short Rate (r) - The instantaneous interest rate (must be non-negative)
- Mean Reversion Speed (kappa) - How quickly rates revert to equilibrium
- Long-Run Mean (theta) - The risk-neutral equilibrium rate level
- Volatility (sigma) - The volatility parameter (effective volatility is sigma times sqrt(r))
- Time to Maturity (T) - Years until the bond matures
Methodology
The template implements the standard CIR bond pricing formula: P(t,T) = A(tau) * exp(-B(tau) * r), where gamma = sqrt(kappa^2 + 2*sigma^2). The Feller condition (2*kappa*theta >= sigma^2) is checked to indicate whether zero rates are attainable under the given parameters.
Assumptions
- Single-factor model with constant parameters
- Mean-reverting dynamics with square-root diffusion
- Risk-neutral pricing measure (Q-measure)
- Default-free zero-coupon bonds
Frequently Asked Questions
The Excel template lets you save your CIR model scenarios, build sensitivity tables by varying parameters, and integrate bond pricing into your own financial models. You own the file and can customize it.
Yes. Coupon bonds can be priced as portfolios of zero-coupon bonds. Add rows for each coupon payment date and sum the present values using the CIR formula with each maturity.
The Excel formulas are identical to the web calculator's JavaScript implementation. Both use the closed-form CIR solution with the same gamma, B(tau), and ln(A(tau)) calculations.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only — no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
