Finance Add-in for Excel: For use in Excel spreadsheets for the calculation of option and warrant prices (equities, currencies, stock indices, futures, barrier options, and Employee Stock Options), Greeks. implied volatility (using the Black-Scholes and binomial models), convertible bonds, historical volatility (including the EWMA and GARCH models), trading profitability, probabilities and optimal early exercise points. Also includes functions for futures pricing and contract valuation. Handles both lognormally distributed asset prices, and non-lognormally distributed (using the Gram-Charlier/Edgeworth expansion & Rubinstein implied binomial trees), values options using the SABR stochastic volatility model; and much more.
Interest rate derivatives (bonds, floating rate notes (FRNs or floaters), bond options, caps and floors, swaptions) are handled using either the Black-76 model or the Hull-White model (analytic and Hull-White trinomial interest rate trees). Also includes a Monte Carlo simulation components and components for the retrieval of on-line quotes and option chains into a spreadsheet.
Other portfolio investment related features include portfolio analysis using principal component analysis, asset allocation using the Black-Litterman model, portfolio optimization and efficient frontier, value at risk (VAR) and much more. The add-in provides functions which can be used directly in spreadsheet cells and which can be called from VBA modules/Macros. More information & download.
Options Analysis Applications
Options Strategy Analysis Tool: Assess, using pay-off diagrams, the profitability of any number of options trading strategies and deals. View Greeks graphically. Download to use.
See feature highlights for a quick overview.
Historic Volatility Calculator: An Excel-based application for the calculation and charting of historic volatility. Includes forecasting — construction of volatility term structures based on GARCH — and volatility smile/skew modelling. Data is automatically retrieved from Yahoo finance without the need for browsing or downloading data. Most exchanges around the world supported. Not password protected so application can be modified if required. More information & download.
Implied Volatility Calculator: An application which retrieves complete option chains from on-line providers and calculates implied volatilities for all options in the series. The application also produces a volatility surface combining the volatility skew (smile) and term structure for all strikes and expiry months. More information & download.
Open Positions Manager: An Excel-based sample application for the maintenance of a portfolio of open options and underlying asset positions. The portfolio management software can be used to perform sensitivity analyses (eg what will be my total exposure be if the market drops by 10%), to produce pay-off diagrams and optimal early exercise reports for open positions. Designed to be used as is, the application, which is not password protected, can be enhanced or tailored to meet individual user requirements. More information & download.
Portfolio Analysis & Design Applications
Portfolio Optimizer: An Excel-based application which will automatically download historical data from the web for a specified portfolio of stocks and analyze the portfolio in terms of volatility, beta, R-Squared, Sharpe ratio, and value at risk. The optimization component will estimate optimal portfolio weightings required to produce a range of returns for the lowest risk. The efficient frontier and security/capital market line are charted. More information & download .
Style Analyzer: Applies the returns-based methodology, originally developed by William F Sharpe, to analyze the investment style of a mutual fund or other investment portfolio.
This approach uses quadratic programming to determine the combination of positions in passive indices, style benchmarks, or asset classes that would best replicate the performance of a fund or investment portfolio over a specified time frame. More information & download.
Portfolio Simulator: Analysis of the future risks and returns for a mutual fund or other investment portfolio. Includes periodic asset weight rebalancing. More information & download.
Retirement Planner: Preparation of retirement plans using Monte Carlo simulation. Includes graphical representation of expected risks and returns during both the accumulation and retirement phases of the plan. More information & download.
On-line Options Pricing Analysis Calculators
Black-Scholes pricing analysis. Examine graphically how changes in stock price, volatility, time to expiration and interest rate affect the option price, time value, the derived Greeks (delta, gamma, theta, vega, rho) and the probability of the option closing in the money. Uses the Black-Scholes model. No software or files need to be downloaded.
Binomial tree graphical option calculator: Calculate option prices using either the Cox, Ross and Rubinstein binomial option pricing model, or the equal probabilities tree pricing model, and display the tree structure used in the calculation. Designed to calculate accurate prices and to illustrate tree-based pricing principles for both American & European options with discrete or continuous dividends.
Trinomial tree graphical option calculator: Calculate option prices using the trinomial tree pricing model, and display the tree structure used in the calculation. Designed to calculate accurate prices and to illustrate tree-based pricing principles for both American & European options with discrete or continuous dividends.
Barrier option calculator using trinomial lattice: Calculate barrier option prices, and hedge parameters, using a trinomial lattice, and display the tree structure used in the calculation. Key features include American & European option pricing, dividends as continuous yield or discrete payment, continuous or discrete monitoring of barrier, and two methods of computation enhancement. Analytic prices, where analytic formulas exist, are displayed for comparison.
Black-Scholes/Binomial convergence analysis: Display graphically the way in which options priced under the binomial model converge with Black-Scholes prices as the number of binomial steps increases. The impact of changes to the other pricing inputs can also be examined. See on-line calculators for futher information, or use it now .
American & European option pricing comparison, & dividend impact analysis Examine how dividends paid during the life of the option impact the price, and in particular the sensitivity of the option price to different ex-dividend dates. Also compare pricing for American & European options.
On-line Stock Price Distribution & Probability Calculators
Lognormal distribution analysis: Examine graphically the expected distribution of stock prices (assumed by the Black-Scholes pricing model), given a starting price and various assumptions for time, volatility and rate of return.
