Computing the IRR for floating rate notes in VBA

[Kapital]

Just recently signed up as I am struggling with computing the IRR on a floating rate bond in VBA. The honest truth is I don't know where to start. I would like to eventually down the track use the bloomberg add-in in excel to download the necessary parameters such that IRR automatically updates after say every quarterly coupon payment. Could anyone with any experience shed some light? I was hoping to start with something simple and then build it out into greater complexity.

 

[Alexei]

There will be few ways how to solve this: if you are using Excel, you can use the built-in function, IRR. If you are using .net VBA, then http://msdn.microsoft.com/en-us/library/microsoft.visualbasic.financial.irr.aspx will help. Finally, if you are reinventing the wheel, then implementation of the NPV function along with a numerical solver would be needed. In the latter case, the Newton method would be good with a quadratic convergence for single roots.

 

[Kapital]

Thanks alot Alexei. I will give it a go.