Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.

All available articles about Derivatives Pricing in Excel through Deriscope.

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
  5413 Hits
  0 Comments
5413 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
  8468 Hits
  0 Comments
8468 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
  4748 Hits
  0 Comments
4748 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
  4444 Hits
  0 Comments
4444 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
  3927 Hits
  0 Comments
3927 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
  17436 Hits
  0 Comments
17436 Hits
0 Comments

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 variati...
Continue reading
  2795 Hits
  0 Comments
2795 Hits
0 Comments

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. 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...
Continue reading
  2176 Hits
  0 Comments
2176 Hits
0 Comments

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 t...
Continue reading
  2680 Hits
  0 Comments
2680 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
  4135 Hits
  0 Comments
4135 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
  2399 Hits
  0 Comments
2399 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
  10645 Hits
  0 Comments
10645 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
  5619 Hits
  0 Comments
5619 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
  1330 Hits
  0 Comments
1330 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
  1353 Hits
  0 Comments
1353 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
  1711 Hits
  0 Comments
1711 Hits
0 Comments