The purpose of this advanced-level workshop is to give the participants hands-on experience with interest rate modelling in MICROSOFT™ Excel™ and Visual Basic™ for Applications. We start with an introduction to the VBA environment and demonstrate how sub-routines and user functions can be programmed, tested and implemented. The participants will then program a pricing function in VBA that will be used in conjunction with the Excel Solver to "Bootstrap" and smooth swap and bond curves using the "cubic splining" technique. Further, we shall program and implement a stochastic term structure model using the "forward induction" technique. The model is then calibrated to match the observed term structure and observed volatilities. We then use this model to price selected instruments such as caps, swaptions and CMS swaps. We then explain and demonstrate how "Principal components analysis" can be used to decompose historical terms structure variations into independent factors. Participants estimate these factors and use them in conjunction with the Excel Solver to create "factor portfolios". Participants will also learn how to combine PCA with simple, Excel-based Monte Carlo simulation to create return distributions for the calculation of "Value-at-Risk" and other risk measures. Finally, we explain the GARCH methodology for estimating non-stationary volatility. Participants will fit a GARCH model to a historical series of short term interest rates and use the results to make volatility forecasts for option pricing and other purposes.