Below is a list of Excel spreadsheets demonstrating various aspects of Deriscope.
Click on any link to download the respective spreadsheet for free.

Introduction

Introduction to Deriscope - Part1

Vanilla Option Pricing in Excel

Building an interest rate yield curve

All Assets

Building an interest rate yield curve out of market bond prices using the Nelson-Siegel and Svenson methods

Options

Pricing a European FX Option using the analytical Heston model for stochastic volatility and the Andersen Piterbarg complex log formula

Pricing a European Stock Index Option using as input an implied volatility surface spanned by option expiry and strike

Pricing a European Stock Option without dividends using 19 different applicable QuantLib models. Table of comparative option prices included

Pricing an American Stock Option without dividends using 13 different applicable QuantLib models. Table of comparative option prices

 

Credit

Pricing a CDS (Credit Default Swap) using the ISDA convention

Live Feeds

Accessing historical data from Yahoo Finance

Accessing time series and statistical indicators from Alpha Vantage

Accessing live prices from Alpha Vantage. Both synchronous and asynchronous fetch

Accessing live prices from IEX (Investors Exchange). Both synchronous and asynchronous fetch

Accessing asynchronously the live top order book from IEX (Investors Exchange). Bid/ask quotes and respective sizes included

Accessing all data made available by IEX (Investors Exchange)

Accessing asynchronously live bid/ask Forex quotes from TrueFX

Stock Trading Simulator using live feeds from IEX (Investors Exchange)

Forex Trading Simulator using live feeds from TrueFX