Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
Articles relating to foreign exchange related products that may be built in Excel using Deriscope

Currency Swaps and Basis Curves in Excel

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​ 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 ...
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FX Spots, Forwards, Swaps and Curves in Excel

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​ 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...
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Pricing of Risk Scaling Options in Excel

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

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

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

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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...
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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 spread...
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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 ...
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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 e...
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