Ioannis Rigopoulos
Detailed profile at my About page
Ioannis Rigopoulos

Using Quantos to gain exposure on Foreign Assets without the Currency Risk: Yes, but be careful!

cover
A common usage of quanto call options is to benefit from the price appreciation of a foreign asset and on the same time stay immune on exchange rate variations. A European style quanto call option on a foreign asset S with strike K is always cash settled and pays its holder on expiry time T the amount max{S(T) – K, 0} converted into domestic curren...
Continue reading
  196 Hits
  0 Comments
196 Hits
0 Comments
Ioannis Rigopoulos

USD Swaption Pricing in Excel using SABR Stochastic Volatility and Market Vol Cube from CME

cover
The pricing of exotic interest rate products cannot ignore the so called market volatility cube that is made daily available by several swaption brokers. Traders often use the SABR Stochastic volatility model in order to estimate vols off the provided grid. In this article I will show you how to price an out-of-the-money swaption by applying SABR c...
Continue reading
  785 Hits
  0 Comments
785 Hits
0 Comments
Ioannis Rigopoulos

USD Swaption Pricing in Excel using the Bachelier Model and Market Normal Vols from CME

cover
The Chicago Mercantile Exchange ( CME ) clears European swaption trades on 3-month USD LIBOR since April 2016 and has thus become the first major exchange that lists Over-The-Counter (OTC) interest rate products with optionality. The standardized swaption contracts have 5 different expiries - 1M, 3M, 6M, 1Y, 2Y – and 7 underlying swap tenors - 1Y, ...
Continue reading
  839 Hits
  0 Comments
839 Hits
0 Comments
Ioannis Rigopoulos

Parametric Yield Curve Fitting to Bond Prices under constraints: The National Bank of Georgia case

cover
Both the Nelson Siegel method and its Svensson extension are very popular among central and other banks when the time spectrum of interest rates needs to be derived from market bond prices. As I have explained in my related article , QuantLib is capable of solving the respective parametric equations treating the model parameters as unknown. Due to ...
Continue reading
  545 Hits
  0 Comments
545 Hits
0 Comments
Ioannis Rigopoulos

Accessing and Manipulating Historical Data from Yahoo Finance in Excel

cover
Yahoo Finance displays historical data for stock prices, indices, bond yields, fx rates, commodity prices etc on their website and allow anyone to download a text file with these data for free. Deriscope automates this process through a special spreadsheet formula called dsLive that takes as input the handle name of an object containing the specs o...
Continue reading
  456 Hits
  0 Comments
456 Hits
0 Comments
Ioannis Rigopoulos

Asian Option Pricing in Excel using QuantLib: Monte Carlo, Finite Differences, Analytic models for Arithmetic and Geometric Average. Example with live EUR/USD rate

cover
Asian options come in different flavors as described below, but to the extent they have European exercise rights they can be priced by QuantLib using primarily Monte Carlo , but under certain circumstances using also Finite Differences or even analytic formulas. The main feature of an Asian option is that it involves the average of the realized pri...
Continue reading
  752 Hits
  0 Comments
752 Hits
0 Comments
Ioannis Rigopoulos

Swaption Pricing in Excel: 14 Free QuantLib Models plus Implied Volatility Surface and Cube

cover
Most people are unaware of the fact that free and open source QuantLib comes with a great variety of modelling approaches when it comes to pricing an interest rate European swaption in Excel that surpasses what is offered by expensive commercial products. In fact, 14 different modelling approaches are implemented, whereby the Black approach does no...
Continue reading
  1670 Hits
  0 Comments
1670 Hits
0 Comments
Ioannis Rigopoulos

Credit Default Swap (CDS) Pricing in Excel using QuantLib

cover
Free and open source QuantLib supports the precise valuation of Credit Default Swaps ( CDS ) in Excel. A CDS contract specifies N payment times T 1 , T 2 , …, T N at which, counterparty A (the Protection Seller ) receives a pre-agreed fixed amount from counterparty B (the Protection Buyer ) provided that a pre-defined credit event – such as the def...
Continue reading
  520 Hits
  0 Comments
520 Hits
0 Comments
Ioannis Rigopoulos

Over 30 Bond Risk Management Functions in Excel: Clean & Dirty Price, Yield, Duration, Convexity, BPS, DV01, Z-spread etc

cover
Free and open source QuantLib is capable of calculating several risk measures associated with the pricing of bonds  and allows you to get in Excel quantities like clean and dirty price, duration, convexity, BPS, DO01, Z-spread etc. I have already showed you how to build a yield curve out of clean bond prices using either a parametric  or ...
Continue reading
  530 Hits
  0 Comments
530 Hits
0 Comments
Ioannis Rigopoulos

Excel Builder and Cash Flow Viewer for Non-Standard Interest Rates Swaps

cover
Building, pricing and analyzing even non-standard interest rate swaps in Excel becomes a simple exercise when the Deriscope interface to the open source QuantLib analytics library is employed. We have already encountered a simple interest rate swap contract in the Yield Curve Building in Excel using Swap Rates article, where vanilla swaps were used...
Continue reading
  630 Hits
  0 Comments
630 Hits
0 Comments
Ioannis Rigopoulos

Time for a coffee break? Understanding Time and its implications on Interest Rates

Cover
With this article I want to give you an intuitive feeling of the concept of interest rate and also show you how to work with various types of interest rates – such as a compounded interest rate - in Excel as accurately as market professionals do. Contrary to the four-dimensional space-time of relativistic physics, financial stochastic processes evo...
Continue reading
  173 Hits
  0 Comments
173 Hits
0 Comments
Ioannis Rigopoulos

Parametric Yield Curve Fitting to Bond Prices: The Nelson-Siegel-Svensson method

cover1
When it comes to building a yield curve out of bond prices, QuantLib can handle both non-parametric and parametric methods, both deliverable to Excel through Deriscope. The former have been demonstrated at my previous article . The latter impose a parametric form on some mathematical quantity implied by the produced yield curve. The following param...
Continue reading
  960 Hits
  0 Comments
960 Hits
0 Comments
Ioannis Rigopoulos

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

cover
With this article I want to show you how to create a bond yield curve in Excel, i.e. a yield curve out of bond prices, using the open source QuantLib analytics library. I will present both alternative spreadsheet interfaces to QuantLib, which are the QuantLibXL and Deriscope. The main use of a yield curve is that it allows us to calculate the ...
Continue reading
  434 Hits
  0 Comments
434 Hits
0 Comments
Ioannis Rigopoulos

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 sw...
Continue reading
  472 Hits
  0 Comments
472 Hits
0 Comments
Ioannis Rigopoulos

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 ou...
Continue reading
  1073 Hits
  0 Comments
1073 Hits
0 Comments
Ioannis Rigopoulos

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 ...
Continue reading
  458 Hits
  0 Comments
458 Hits
0 Comments
Ioannis Rigopoulos

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 maturit...
Continue reading
  310 Hits
  0 Comments
310 Hits
0 Comments
Ioannis Rigopoulos

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 r...
Continue reading
  614 Hits
  0 Comments
614 Hits
0 Comments
Ioannis Rigopoulos

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 unde...
Continue reading
  529 Hits
  0 Comments
529 Hits
0 Comments
Ioannis Rigopoulos

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 ch...
Continue reading
  369 Hits
  0 Comments
369 Hits
0 Comments
Ioannis Rigopoulos

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-lin...
Continue reading
  248 Hits
  0 Comments
248 Hits
0 Comments
Ioannis Rigopoulos

Introduction to Deriscope – Part 5: Live Feeds

cover
Deriscope enables you to get live feeds that include last traded stock prices, forex rates, bid/offer quotes, historical time series and financial data from various providers in Excel. Currently these providers are the Yahoo Finance, Alpha Vantage, IEX (Investors Exchange) and TrueFX. The special function dsLive takes as input an object of type Liv...
Continue reading
  911 Hits
  0 Comments
911 Hits
0 Comments
Ioannis Rigopoulos

Introduction to Deriscope – Part 4: Spreadsheet

FormSplitRanges
In this article I show you how to manipulate the formulas created by the wizard in order to build functional Excel spreadsheets.  Deriscope Formula Syntax Rules ​ The main spreadsheet formula that Deriscope exposes to Excel is ds(r1, r2, …) where r1, r2 , … are ranges containing primarily key-value pairs. Also available are the dsi and dsv var...
Continue reading
  478 Hits
  0 Comments
478 Hits
0 Comments
Ioannis Rigopoulos

Introduction to Deriscope – Part 3: Pricing a Stock Option

SelectPriceScreenshot
In my previous article 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. As I pointed out, the most important of these functions is the Price, which calculates the fair price of the calling object. The Price function is a so called Local function, in the sense that it is inv...
Continue reading
  256 Hits
  0 Comments
256 Hits
0 Comments
Ioannis Rigopoulos

Introduction to Deriscope – Part 2: Creating a Stock Option

Initial
In my previous article I listed the main reasons for using Deriscope. Now I will show you how to use Deriscope to create a Stock Option object. Rather than typing the formula by hand, I will ask the wizard to create the formula for me. After I start Excel and press on the Enable and Show Wizard button inside the Deriscope ribbon tab, the Deriscope ...
Continue reading
  344 Hits
  0 Comments
344 Hits
0 Comments
Ioannis Rigopoulos

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
  744 Hits
  0 Comments
744 Hits
0 Comments
Ioannis Rigopoulos

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 "embe...
Continue reading
  164 Hits
  0 Comments
164 Hits
0 Comments
Ioannis Rigopoulos

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 ) Enter heading here...  In this post I will guide you through another Excel spreadsheet called DsTradingSimulatorFX.xlsm that you can also download for...
Continue reading
  380 Hits
  0 Comments
380 Hits
0 Comments
Ioannis Rigopoulos

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. ​ Apologies for the long time gap since my earlier post, but I wanted to provide you with the very latest version of the Simulator describ...
Continue reading
  364 Hits
  0 Comments
364 Hits
0 Comments
Ioannis Rigopoulos

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 ...
Continue reading
  127 Hits
  0 Comments
127 Hits
0 Comments
Ioannis Rigopoulos

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 e...
Continue reading
  124 Hits
  0 Comments
124 Hits
0 Comments
Ioannis Rigopoulos

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 paradig...
Continue reading
  190 Hits
  0 Comments
190 Hits
0 Comments