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Blog-style articles that help you understand derivatives better by pricing them in Excel.
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All available articles about Derivatives Pricing in Excel through Deriscope.

Yield Curve Building in Excel using Futures

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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 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...
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7786 Hits
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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 spectr...
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8837 Hits
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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.  Table Of Contents​ Deposit Contract Description What is a Yield Curve?Why do we nee...
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13732 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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6794 Hits
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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.  Table Of Contents​ American Options: What are they?Creating an object of type Stock OptionGenerating the pricing formulasPricing Ou...
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6870 Hits
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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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5515 Hits
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Introduction to Deriscope – Part 4: Spreadsheet

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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...
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4383 Hits
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Introduction to Deriscope – Part 3: Pricing a Stock Option

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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...
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3419 Hits
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Introduction to Deriscope – Part 2: Creating a Stock Option

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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...
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4283 Hits
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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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5880 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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3672 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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2114 Hits
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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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2590 Hits
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