Bloomberg Workflow for Swap Curve Sensitivities in Excel

Summary

The document addresses how to define plain vanilla interest rate swaps in Bloomberg and obtain their curve sensitivities over time through Excel. The suggested workflow is to create and save swap deals in Bloomberg’s SWPM interface using its swap uploader, then assign each deal an identifier that can be referenced from the Excel add-in. The response also mentions Bloomberg’s Derivatives Toolkit as an alternative for users with an Anywhere subscription, allowing swaps to be structured, priced, and analyzed within a spreadsheet.

This is a brief software workflow suggestion, not a detailed calculation guide. It gives no field-by-field setup instructions, sensitivity conventions, sample spreadsheet formulas, or validation results. The identifier approach is described tentatively, and availability depends on the relevant Bloomberg products and subscription access. Users would need to check their terminal and add-in configuration to confirm which method supports their deals and desired curve bumps.

Key ideas

• Save swap deals through the SWPM uploader to make them accessible from Excel.
• The response suggests referencing saved swaps in the add-in by their assigned identifier.
• Bloomberg’s Derivatives Toolkit is presented as another way to structure and analyze swaps in a sheet.
• The document does not specify sensitivity formulas or demonstrate results.

Tags

# Find Interest Rate Swap BUMPs from Bloomberg in Excel


# Find Interest Rate Swap BUMPs from Bloomberg in Excel












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?

## Answer by Kch (score 1, accepted)

https://quant.stackexchange.com/a/49174

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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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.