Forward Bond Valuation
Methodology
For details on the methodology see
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Fries, Lichtner: Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps. (2015).
http://ssrn.com/abstract=2444452.
Spreadsheet
The spreadsheets in OpenOffice/LibreOffice (ods) format.
In order to run the spreadsheet you have to install the Java Object Handler for Spreadsheets, "Obba".
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Forward Bond and Total Return Swap Valuation.zip
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Valuation of Forward Bonds and Total Return Swaps.
The sheet calibrates a set of different curves (including discounting curves (e.g., OIS) and forward curves) from swaps. It also calibrates funding curves.
It contains functionality for the valuation of forward bonds and total return swaps.
Valuation part contributed by Mark Lichtner. Based on the Curve Calibration Sheet.
Disclaimer
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