Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
If you choose a category from the list on the left and click on the appearing envelope icon, you will be notified by email when a new article is posted in that category.

Articles relating to foreign exchange related products that may be built in Excel using Deriscope

Pricing FX Options in Excel using Risk Reversal and Butterfly Market Quotes. The USD / Indian Rupee Case

cover
Back in 2017 I had shown in a 13-min video titled Option pricing in Excel with Implied Volatility Surface using QuantLib how an option on the EURO STOXX 50 index can be priced using not a single vol quote, but rather a table of market volatilities spanning several option expiries and strikes.On this post I will turn my attention to the pricing...
Continue reading
  1514 Hits
  0 Comments
1514 Hits
0 Comments

Almost Corporate-Ready Unlimited-Currency FX Option Portfolio Pricing with and without Excel

cover
The question whether Excel can be trusted for pricing and risk managing derivative transactions seems to be a never ending one.If you are curious about my own opinion on this matter, you may jump to the end of this article. In the sequel, I will confront this issue through the real-world case of pricing and managing a book of FX options.In my last ...
Continue reading
  4972 Hits
  0 Comments
4972 Hits
0 Comments

Valuing a Portfolio of Multi-Currency FX Options and Producing its Value at Risk in Excel using Deriscope

cover
The topic here is not about simple option pricing but rather about dealing with the complexity introduced by the simultaneous existence of several different currencies in the context of calculating the Price and Value at Risk of a portfolio of European FX options.If you are not familiar with the basics of European option pricing in Excel using Deri...
Continue reading
  6045 Hits
  0 Comments
6045 Hits
0 Comments

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 know...
Continue reading
  16373 Hits
  0 Comments
16373 Hits
0 Comments

FX Spots, Forwards, Swaps and Curves in Excel

cover
​Assume you possess Nd units of a currency DOM regarded as domestic currency. For example, you live in the US and hold 1,000 USD, ie. Nd = 1,000 and DOM = USD.For whatever reasons, you want to replace this money with their equivalent number of units Nf of another currency FOR regarded as foreign currency. For concreteness think of FOR like if it we...
Continue reading
  42086 Hits
  0 Comments
42086 Hits
0 Comments

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 to t...
Continue reading
  3529 Hits
  0 Comments
3529 Hits
0 Comments

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 currenc...
Continue reading
  7791 Hits
  0 Comments
7791 Hits
0 Comments

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 price...
Continue reading
  10468 Hits
  0 Comments
10468 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
  22106 Hits
  0 Comments
22106 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
  15265 Hits
  0 Comments
15265 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
  1901 Hits
  0 Comments
1901 Hits
0 Comments