Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
If you choose a category from the list on the left and click on the appearing envelope icon, you will be notified by email when a new article is posted in that category.

Yield Curve Building in Excel using Bond Prices (QuantLibXL vs Deriscope)

cover
With this article I want to show you how to create a yield curve in Excel by bootstrapping bond prices, using the open source QuantLib analytics library. I will present both alternative spreadsheet interfaces to QuantLib, which are the QuantLibXL and Deriscope.For a production-ready setup using actual Bloomberg quotes of US Treasuries, look at Boot...
Continue reading
  11249 Hits
  0 Comments
11249 Hits
0 Comments

Yield Curve Building in Excel using Deposits, Futures and Swaps

cover
With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are a mixture of deposit rates, futures prices and swap rates.I have already written how you may build a yield curve using a single type of market instruments, such as deposits, futures or swaps...
Continue reading
  5941 Hits
  0 Comments
5941 Hits
0 Comments

Yield Curve Building in Excel using Swap Rates

cover
With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are swap rates. I will also show you how to apply dual bootstrapping when an exogenous yield curve is present.For short term maturities – typically less than a year – the yield curve may be built out...
Continue reading
  15711 Hits
  0 Comments
15711 Hits
0 Comments

Yield Curve Building in Excel using Futures

cover
With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are futures prices. The futures convexity will be taken into account.I explained how you may build a yield curve in Excel out of forward rates in my previous article.In reality, forward rates are sel...
Continue reading
  6439 Hits
  0 Comments
6439 Hits
0 Comments

Yield Curve Building in Excel using Forward Rates

cover
With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are forward rates.My previous article focused on building a yield curve in Excel out of deposit rates in general and Libor rates in particular.These rates cover the short range of the maturity s...
Continue reading
  6866 Hits
  0 Comments
6866 Hits
0 Comments

Yield Curve Building in Excel using Deposit (LIBOR) Rates

cover
With this article I want to show you how to create a yield curve in Excel using the open source QuantLib analytics library, when the input market data are deposit rates – such as Libor rates -, which are a special type of interest rates called zero rates. As I describe in my article about interest rates, a deposit rate - effectively the interest ra...
Continue reading
  10917 Hits
  0 Comments
10917 Hits
0 Comments

Beyond Black Scholes: American Option Price Dependence on Dividend Payment Time

cover
With this article I want to show you how to create and price American options on an underlying that pays dividends – such as American stock options expiring after the ex-dividend date - in Excel using the open source QuantLib analytics library.In my previous article I showed you how to calculate the fair price of an American option on an under...
Continue reading
  5593 Hits
  0 Comments
5593 Hits
0 Comments

Beyond Black Scholes: American Options without Dividends

cover1
With this article I want to show you how to create and price American options on a non-dividend-paying underlying – such as American stock options - in Excel using the open source QuantLib analytics library.America has been traditionally touted as the "land of choice" and American Options honor their name by granting their holders an additional cho...
Continue reading
  5464 Hits
  0 Comments
5464 Hits
0 Comments

Beyond Black Scholes: European Options with Discrete Dividends

cover
With this article I want to show you how to create and price European options on an underlying that pays discrete dividends – such as European stock options - in Excel using the open source QuantLib analytics library.In my previous article I presented an overview of the QuantLib models that can be used in Excel towards pricing the simplest non-line...
Continue reading
  4716 Hits
  0 Comments
4716 Hits
0 Comments

Introduction to Deriscope – Part 5: Live Feeds

cover
Overview Deriscope enables you to receive in Excel live feeds from several different providers.These feeds include real time or almost real time prices of financial securities (stocks, ETFs, indices, currencies, cryptocurrencies, futures and options), bid/offer quotes and sizes, time series of historical prices and statistical indicators, comp...
Continue reading
  20820 Hits
  0 Comments
20820 Hits
0 Comments

Introduction to Deriscope – Part 4: Spreadsheet

FormSplitRanges
In my Introduction to Deriscope – Part 3 I showed you the most basic features of the Deriscope wizard by using it to create the pricing formula of a Stock Option.Now, I show you several advanced Deriscope features that help you build efficient Excel spreadsheets.Table of Contents Deriscope Formula Syntax RulesColor RulesSyntax Rule: One i...
Continue reading
  3456 Hits
  0 Comments
3456 Hits
0 Comments

Introduction to Deriscope – Part 3: Pricing a Stock Option

SelectPriceScreenshot
In my Introduction to Deriscope – Part 2 I showed you how to create a Stock Option object in Excel and how to access the list of functions that apply to that object. Now I will show you how to use the most important of these functions, the Price, which calculates the fair price of the calling object. Alternatively, you may watch my YouTub...
Continue reading
  2790 Hits
  0 Comments
2790 Hits
0 Comments

Introduction to Deriscope – Part 2: Creating a Stock Option

Initial
In Introduction to Deriscope – Part 1 I listed the main reasons for using Deriscope. Now I will show you the main features of Deriscope using as example the creation of a Stock Option object.Table of Contents The Deriscope TaskpaneThe Input AreaThe Type SelectorThe Function SelectorThe Browse AreaThe Go ButtonThe Created ObjectTrivial Obj...
Continue reading
  3424 Hits
  0 Comments
3424 Hits
0 Comments

Introduction to Deriscope – Part 1: Why Deriscope?

cover
Deriscope is described by … Wikipedia at https://en.wikipedia.org/wiki/fascinatingnewproducts/bestever/deriscope as a "wizard-guided Excel Add-In dedicated to the pricing of Financial Derivatives". Well, it is a bit early for such a Wikipedia entry given Deriscope's recent birth date of August 2017. But the above description still applies and makes...
Continue reading
  4883 Hits
  0 Comments
4883 Hits
0 Comments

Beyond Black Scholes: European Options without Dividends

option-signs
Options are the simplest non-trivial financial derivatives around.They are part of the curriculum of every university course on Finance for a good reason: They are everywhere! They are traded on regulated exchanges around the world, change hands over the counter between … consenting adults, enhance or "infect" all sorts of contracts as "embedd...
Continue reading
  3008 Hits
  0 Comments
3008 Hits
0 Comments

Using a Forex Trading Simulator in Excel

DsSimulatorFXOper
In my last post I showed you how to use the Deriscope Stock Trading Simulator Excel spreadsheet to place simulated BUY and SELL market orders on US stocks traded on IEX (the Investors Exchange) In this post I will guide you through another Excel spreadsheet called DsTradingSimulatorFX.xlsm that you can also download for free. This new spreadsh...
Continue reading
  13541 Hits
  0 Comments
13541 Hits
0 Comments

Using a Stock Trading Simulator in Excel

DsSimulatorOper
As I promised you in my previous article I am back with a review of a Stock Trading Simulator that works in Excel and does not suffer from the mentioned drawbacks that hamper all other available free simulators.​Here comes a spreadsheet called DsTradingSimulator.xlsm that you can download for free from https://www.deriscope.com/freedownload.ph...
Continue reading
  7744 Hits
  0 Comments
7744 Hits
0 Comments

Should I use a Trading Simulator to learn how to trade?

Investopedia-OrderStock
Have you ever thought of being a trader? I mean trading things like stocks, currencies, options or anything else that you can buy and sell almost instantly - typically online - by pressing a button and not illiquid assets, such as houses or antique furniture. Wouldn't it be great to get some sense of what real world trading looks like before s...
Continue reading
  1693 Hits
  0 Comments
1693 Hits
0 Comments

What is the fair price of one dollar?

cover
Understanding the concept of "TRADABLE" will reveal a surprising answer to this question! A few years ago, when I was still working as a quant for a big bank in London, my typical good morning question waiting for me in the office would be an abstruse sentence such as:What is the fair price of a custom-made inflation bond convertible into equi...
Continue reading
  1694 Hits
  0 Comments
1694 Hits
0 Comments

Can Excel Spreadsheet Cells contain Objects directly?

Cover
Could Deriscope pace the way for the new generation Excel beast — Object-Oriented UDFs — and what would that mean for the financial industry in particular?Most of financial analysis software libraries used by major banks are written in so-called "Object-Oriented" programming languages, such as C++.In the past, before the Object-Oriented paradigm be...
Continue reading
  2083 Hits
  0 Comments
2083 Hits
0 Comments