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Yield Curve Building in Excel using Forward Rates

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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...
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Yield Curve Building in Excel using Deposit (LIBOR) Rates

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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...
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8469 Hits
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Beyond Black Scholes: American Option Price Dependence on Dividend Payment Time

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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...
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Beyond Black Scholes: American Options without Dividends

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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...
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Beyond Black Scholes: European Options with Discrete Dividends

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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...
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Introduction to Deriscope – Part 5: Live Feeds

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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...
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Introduction to Deriscope – Part 4: Spreadsheet

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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 variati...
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Introduction to Deriscope – Part 3: Pricing a Stock Option

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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. 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 YouTube Stock Option Pricing video...
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Introduction to Deriscope – Part 2: Creating a Stock Option

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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 t...
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Introduction to Deriscope – Part 1: Why Deriscope?

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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...
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4137 Hits
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Beyond Black Scholes: European Options without Dividends

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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...
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2400 Hits
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Using a Forex Trading Simulator in Excel

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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...
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10646 Hits
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Using a Stock Trading Simulator in Excel

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

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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...
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1332 Hits
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What is the fair price of one dollar?

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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...
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Can Excel Spreadsheet Cells contain Objects directly?

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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...
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1713 Hits
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