Ioannis Rigopoulos

Detailed profile at my About page

Ioannis Rigopoulos

Monte Carlo Pricing of any European Structured Product in Excel: Revisiting the Morgan Stanley Trigger Plus 2024 Note

cover
In my previous article  I showed how one can use Deriscope in Excel to calculate the price of a particular type of a structured product that pays the minimum of two equity indices observed at some specified future terminal time. As example was used the Trigger Plus note issued by Morgan Stanley on April 1, 2019, which is based on the value of ...
Continue reading
  379 Hits
  0 Comments
379 Hits
0 Comments
Ioannis Rigopoulos

Perfect Bloomberg Price Match of an Interest Rate Swap in Excel by using Dual Bootstrapping

cover
Up until the financial crisis of 2008, the price calculation of an interest rate swap involved only the so-called Libor curve. The latter was essentially the discount factors (or equivalently zero rates or forward rates) implied by market-traded instruments, such as deposits, futures, forwards and swaps. The Libor curve was used to derive everythin...
Continue reading
  1317 Hits
  0 Comments
1317 Hits
0 Comments
Ioannis Rigopoulos

Pricing Structured Products in Excel: The Morgan Stanley Trigger Plus 2024 Note

cover
Various structured products can be precisely priced in Excel using Deriscope and its underlying QuantLib analytics. In this article I will focus on the Trigger Plus product issued by Morgan Stanley on April 1, 2019. It is based on the value of the worst performing of the Dow Jones Industrial Average and the Russel 2000 Index due April 4, 2024. It o...
Continue reading
  795 Hits
  0 Comments
795 Hits
0 Comments
Ioannis Rigopoulos

Currency Swaps and Basis Curves in Excel

cover
​ The basic concepts of spot fx rates , forward fx contracts, fx swaps and the construction of foreign yield curves out of fx forward rates have been described in detail in my previous fx rates article . While these instruments cover the short end of the maturity spectrum – typically about a year -, the tenor of so-called currency swaps (also ...
Continue reading
  1353 Hits
  0 Comments
1353 Hits
0 Comments
Ioannis Rigopoulos

FX Spots, Forwards, Swaps and Curves in Excel

cover
​ Assume you possess N d units of a currency DOM regarded as domestic currency. For example, you live in the US and hold 1,000 USD , ie. N d = 1,000 and DOM = USD . For whatever reasons, you want to replace this money with their equivalent number of units N f of another currency FOR regarded as foreign currency. For concreteness think of FOR like i...
Continue reading
  4097 Hits
  0 Comments
4097 Hits
0 Comments
Ioannis Rigopoulos

Bond Key Rate Duration (KRD) in Excel: Calculating and Understanding

cover
You are all familiar with the concept of bond Duration , which tells us how much a bond's price changes if its yield goes up or down by a small amount. While there exist several different Duration definitions that produce slightly different results, the one that is most closely related to the Key Rate Duration is the Modified Duration D , which may...
Continue reading
  2564 Hits
  0 Comments
2564 Hits
0 Comments
Ioannis Rigopoulos

Risk free Yield Curve Building in Excel using Negative Overnight Index Swap (OIS) Rates

cover
Long are the dates when all-purpose risk free yield curves were produced out of deposits, futures and swaps. Since the credit crisis of 2007/08, banks realized they should use different curves for different purposes. In the intervening years, quants have proven mathematically that uncollateralized contingent flows should be discounted using a curve...
Continue reading
  1077 Hits
  0 Comments
1077 Hits
0 Comments
Ioannis Rigopoulos

Overnight Index Swap (OIS): Pricing and Understanding using Excel

cover
Overnight Index Swaps ( OIS ) may be priced in Excel using the free and open source derivatives analytics QuantLib library through the Deriscope Excel interface. An OIS contract is very similar to a plain vanilla interest rate swap , the only difference being that each payment in the floating leg is calculated according to a floating number F that ...
Continue reading
  3393 Hits
  0 Comments
3393 Hits
0 Comments
Ioannis Rigopoulos

How to compute the VaR: Step-by-Step Excel Guide

cover
The purpose of this article is to show you step-by-step how you can calculate the Value at Risk (VaR) of any portfolio by generating all simulation samples in the spreadsheet. This is great for understanding what's going on but it becomes too complex and slow when the number of samples generated by the simulation exceeds 100. If you don't...
Continue reading
  2214 Hits
  0 Comments
2214 Hits
0 Comments
Ioannis Rigopoulos

Pricing of Risk Scaling Options in Excel

cover
You are all familiar with simple European call options  that are securities promising to pay their holders at some agreed future time T the difference S(T) – K between the price S(T) realized by a monitored underlying S at time T and a fixed amount K , under the condition that S(T) is greater than K . The last long sentence may be compressed t...
Continue reading
  726 Hits
  0 Comments
726 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from IEX

cove_20181001-153146_1
IEX (Investors Exchange)  is a new United States national stock exchange launched in New York in September 2016. Since February 2017 IEX publishes free of charge their trading data in real time. These include live and historical prices of over 8,000 US stocks and mutual funds plus financial information and news. Deriscope Initialization Derisc...
Continue reading
  1611 Hits
  0 Comments
1611 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from TrueFX

cover
TrueFX is a provider of real time forex rates between the most liquid currencies. Both current prices and bid/offer quotes are streamed as quoted by various brokers.  Deriscope Initialization   Deriscope is an Excel AddIn specializing in derivatives valuation and live feeds acquisition in Excel. Its newest version also allows you to recei...
Continue reading
  986 Hits
  0 Comments
986 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from Alpha Vantage

cover
Alpha Vantage is a provider of live and historical prices of global stocks, indices and forex rates (both fiat and crypto) as well as time series of statistical indicators. Live feeds are based on one-minute intraday series. Historical data include daily close, open, high, low and volume quotes and go back at least 20 years. Alpha Vantage prov...
Continue reading
  1287 Hits
  0 Comments
1287 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from Barchart

cover
Barchart  is – among else - a provider of live and historical prices of global stocks, indices, mutual funds, futures, options and forex rates (both fiat and crypto). In the free version of their service, live feeds are restricted to less than 25 symbols per query and 400 queries per day whereas the historical data may extend up to the last 6 ...
Continue reading
  934 Hits
  0 Comments
934 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from Yahoo Finance

cover
Yahoo Finance  is a provider of market information that includes live and historical prices of global stocks, indices, mutual funds, futures, options, commodities as well as forex (both fiat and crypto) and US treasury bond rates. Depending on the sourcing exchange, live feeds may be instant or delayed by a few minutes according to this t...
Continue reading
  5335 Hits
  0 Comments
5335 Hits
0 Comments
Ioannis Rigopoulos

Market Data in Excel from World Trading Data

cover
World Trading Data  is a provider of live and historical prices of global stocks, indices, US mutual funds and forex rates. Their expanding database currently covers over 58,000 stocks around the world, 25,000 US-based mutual funds and 20,000  fiat currency combinations . Live feeds are generally delayed by a few minutes, as is usual...
Continue reading
  1488 Hits
  0 Comments
1488 Hits
0 Comments
Ioannis Rigopoulos

Yahoo Finance Live Feeds in Excel after their API Discontinuation in November 2017

cover
On the fateful Wednesday of November 1 st , 2017 Yahoo decided to stop their – until then – free service of delivering real time market data as a text stream through a special URL. For hundreds of businesses and individuals who had relied for years on Yahoo's benevolent free service, this single action meant only one thing: Instant death! You may c...
Continue reading
  491 Hits
  0 Comments
491 Hits
0 Comments
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
  1421 Hits
  0 Comments
1421 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
  3814 Hits
  0 Comments
3814 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
  3758 Hits
  0 Comments
3758 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
  1453 Hits
  0 Comments
1453 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
  2751 Hits
  0 Comments
2751 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
  2767 Hits
  0 Comments
2767 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
  4979 Hits
  0 Comments
4979 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
  2924 Hits
  0 Comments
2924 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
  1894 Hits
  0 Comments
1894 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
  2844 Hits
  0 Comments
2844 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
  1350 Hits
  0 Comments
1350 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
  8944 Hits
  0 Comments
8944 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
  2643 Hits
  0 Comments
2643 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
  1728 Hits
  0 Comments
1728 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
  5134 Hits
  0 Comments
5134 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
  2098 Hits
  0 Comments
2098 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
  1915 Hits
  0 Comments
1915 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
  3165 Hits
  0 Comments
3165 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
  2156 Hits
  0 Comments
2156 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
  1656 Hits
  0 Comments
1656 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
  1499 Hits
  0 Comments
1499 Hits
0 Comments
Ioannis Rigopoulos

Introduction to Deriscope – Part 5: Live Feeds

cover
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, company financial...
Continue reading
  6069 Hits
  0 Comments
6069 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
  1303 Hits
  0 Comments
1303 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
  931 Hits
  0 Comments
931 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
  1352 Hits
  0 Comments
1352 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
  2396 Hits
  0 Comments
2396 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
  622 Hits
  0 Comments
622 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 )  In this post I will guide you through another Excel spreadsheet called DsTradingSimulatorFX.xlsm that you can also download for free. This new spread...
Continue reading
  2115 Hits
  0 Comments
2115 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
  1538 Hits
  0 Comments
1538 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
  510 Hits
  0 Comments
510 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
  550 Hits
  0 Comments
550 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
  712 Hits
  0 Comments
712 Hits
0 Comments