Hello,
I would like to know how can I set up a VBA code for looking different tenors for deposit rates (CADDEPO=) which are not available. Say I have a position on CAD deposit rate with maturity 40 days, now I need to have some kind of way to select the lower/nearer tenor (1M) and the upper/further tenor (2M) so I can interpolate the position in question (CAD with 40 days till maturity). I would welcome a hint that would work for repetitive finding of the lower and upper tenors, like if there would no be 1M tenor available then it would go to the 3W tenor until it founded the some data (same for the upper tenor).
Any hints would be much appreciated as I have no luck to figure this one out.
michal