|
| Title: |
GARCH (simple) |
Posted on 08/28/2004 01:35 PM |
| Descriptions: |
This is a simple implementation of the GARCH(1,1) model. This is done in EXCEL and uses SOLVER. The data for the S&P 500 quotes are historical quotes from finance.yahoo.com. |
| Functions: |
No functions |
| Code: |
Download (17334 downloads) |
| Author: |
GregV
|
| Title: |
Binomial Option Pricing |
Posted on 08/28/2004 01:35 PM |
| Descriptions: |
The binomial pricing procedure programmed in VBA. The example uses the blackscholes() function. |
| Functions: |
binCall(S, K, T, rf, sigma, n) |
| Code: |
Download (12180 downloads) |
| Author: |
GregV
|
| Title: |
Black Scholes Function |
Posted on 08/27/2004 01:35 PM |
| Descriptions: |
Simple function to calculate the Black Scholes call price. |
| Functions: |
BlackScholes(Underlying, Strike, RiskFree, expTime, Volatility) |
| Code: |
Download (11467 downloads) |
| Author: |
GregV
|
| Title: |
Super Black Scholes |
Posted on 10/19/2004 02:11 PM |
| Descriptions: |
This black scholes function also can return the greeks (delta, gamma, theta, vega and rho). |
| Functions: |
option_e(Put_Call As String, S As Double, e As Double, Tmt As Double, r As Double, q As Double, sigma As Double, Command As String) As Double |
| Code: |
Download (10181 downloads) |
| Author: |
JMS
|
| Title: |
Black Scholes Implied Volatility |
Posted on 10/19/2004 02:04 PM |
| Descriptions: |
Calculates the implied volatility of an european option. This function uses the super black scholes function. |
| Functions: |
option_e_implvola(Put_Call As String, S As Double, e As Double, Tmt As Double, r As Double, q As Double, O As Double) As Double |
| Code: |
Download (9034 downloads) |
| Author: |
JMS
|
| Title: |
Forward Rate |
Posted on 10/21/2004 11:30 PM |
| Descriptions: |
Computes the forward rate with given dates and present values. |
| Functions: |
forward_r(Date_v As Object, PV_v As Object, Sett_d As Date, Eff_d As Date, Life As Long) As Double |
| Code: |
Download (7240 downloads) |
| Author: |
JMS
|
| Title: |
Bond Price Curve |
Posted on 10/21/2004 11:26 PM |
| Descriptions: |
Calculates the Bond Price Curve for a given coupon, given dates and gives present values. |
| Functions: |
B_Price_Curve(Sett_d As Date, Mat_d As Double, Cpn As Double, Date_v As Object, PV_v As Object) As Double |
| Code: |
Download (6430 downloads) |
| Author: |
JMS
|
| Title: |
Sharpe Ratio |
Posted on 11/10/2004 01:41 PM |
| Descriptions: |
A ratio developed by Bill Sharpe to measure risk-adjusted performance. It is calculated by subtracting the risk free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. |
| Functions: |
ratio_sharpe(ptf As Range, bench As Range) |
| Code: |
Download (6235 downloads) |
| Author: |
Jack
|
| Title: |
GARCH (with Variance Targeting) |
Posted on 08/28/2004 01:35 PM |
| Descriptions: |
This is an implementation of GARCH(1,1) that only optimizes 2 parameters by employing variance targeting techniques. This is done in EXCEL and uses SOLVER. The data for the S&P 500 quotes are historical quotes from finance.yahoo.com. |
| Functions: |
No functions |
| Code: |
Download (5599 downloads) |
| Author: |
GregV
|
| Title: |
Interest Rate Risk Calculation |
Posted on 10/25/2004 01:42 AM |
| Descriptions: |
Computes the interest risk of a bond (change in price per % change in interest) |
| Functions: |
EuroFutIR(SettDate As Date, StartDate As Date, MatDate As Date, Buckets As Object, DateVec As Object, PVFact As Object) As Variant |
| Code: |
Download (5316 downloads) |
| Author: |
JMS
|
| Title: |
Max Drawdown |
Posted on 11/10/2004 01:37 PM |
| Descriptions: |
Calculates the max drawdown. The peak to trough decline during a specific record period of an investment or fund. It is usually quoted as the percentage between the peak to the trough. |
| Functions: |
max_drawdown(matrice As Range) |
| Code: |
Download (5184 downloads) |
| Author: |
Jack
|
| Title: |
Theoretical Implied Volatility of an Index Option |
Posted on 09/27/2004 01:35 PM |
| Descriptions: |
Here is a code that calculates the theoretical implied volatility of an index option from the implied vols of the options of the index members. It can be used for the set up of dispersion trades. |
| Functions: |
TheorMWImpliedVol(Wgt As Object, SingleVols As Object, CorrMat As Object) As Double |
| Code: |
Download (4814 downloads) |
| Author: |
JMS
|
| Title: |
Payer Swaption Price (basis points) |
Posted on 10/25/2004 01:35 AM |
| Descriptions: |
Calcualtes the price of a payer swaption (bp) |
| Functions: |
swaption_P_bp(Date_v As Object, PV_v As Object, Sett_d As Date, Eff_d As Date, swap_life As Long, exp_d As Date, strike_r As Double, vola As Double) As Double |
| Code: |
Download (4401 downloads) |
| Author: |
JMS
|
| Title: |
GARCH (with leverage effect) |
Posted on 08/28/2004 01:35 PM |
| Descriptions: |
This is an implementation of a GARCH(1,1) with a leverage effect. This is done in EXCEL and uses SOLVER. The data for the S&P 500 quotes are historical quotes from finance.yahoo.com. |
| Functions: |
No functions |
| Code: |
Download (4393 downloads) |
| Author: |
GregV
|
| Title: |
Yield Coupon Bond (ISMA) |
Posted on 10/21/2004 11:29 PM |
| Descriptions: |
Calculates the yield of a coupon bearing bond (ISMA) |
| Functions: |
B_Yield_ISMA(Sett_d As Date, Mat_d As Date, Cpn As Double, Price As Double) As Double |
| Code: |
Download (4221 downloads) |
| Author: |
JMS
|
| Title: |
Future and Option Settelment Date Calculation |
Posted on 10/12/2004 01:54 AM |
| Descriptions: |
This file contains all the functions necessary in calculation future and option settelment dates. Third friday of the month expiration calculation, by month, quarter and year. You can also calculate previous and next settlement dates. |
| Functions: |
vbaThirdFriday(ByVal aDate As Date) As Date
vbaNextSettlement(ByVal aDate As Date) As Date
vbaPrevSettlement(ByVal aDate As Date) As Date |
| Code: |
Download (4142 downloads) |
| Author: |
JMS
|
| Title: |
Rainbow Option Price |
Posted on 10/19/2004 02:08 PM |
| Descriptions: |
Calculates the price of a (two-coloured rainbow) option delivering the best of two risky assets or cash. |
| Functions: |
rainbow_2colour(S1, S2, K, t, r, q1, q2, v1, v2, rho)
rainbow_bestof2(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (4073 downloads) |
| Author: |
JMS
|
| Title: |
Caplet Valuation |
Posted on 10/25/2004 01:38 AM |
| Descriptions: |
Valuation of caplets (given dates and PVs) |
| Functions: |
caplet(Sett_d As Date, from_d As Date, to_d As Date, Strike As Double, vola As Double, Date_v As Object, PV_v As Object, underrate As Double) As Double |
| Code: |
Download (3840 downloads) |
| Author: |
JMS
|
| Title: |
Information Ratio |
Posted on 11/10/2004 01:38 PM |
| Descriptions: |
In investing terminology, the ratio of expected return to risk, as measured by standard deviation. Usually, this statistical technique is used to measure a manager's performance against a benchmark. |
| Functions: |
ratio_info(ptf As Range, bench As Range) |
| Code: |
Download (3700 downloads) |
| Author: |
Jack
|
| Title: |
Caps Valuation |
Posted on 10/25/2004 01:39 AM |
| Descriptions: |
Valuation of caps |
| Functions: |
cap(Sett_d As Date, last_fix_d As Date, base_rate As Double, factor As Double, prev_d As Date, next_d As Date, Mat_d As Date, vola As Double, Date_v As Object, PV_v As Object) As Double |
| Code: |
Download (3677 downloads) |
| Author: |
JMS
|
| Title: |
Black Scholes Probability of Surpassing a Frontier |
Posted on 10/19/2004 02:10 PM |
| Descriptions: |
Calculates the probability of a black scholes options to go above a certain frontier. |
| Functions: |
prob_above(S As Double, X As Double, t As Double, r As Double, q As Double, v As Double) As Double |
| Code: |
Download (3533 downloads) |
| Author: |
JMS
|
| Title: |
Money Market Forward Rate |
Posted on 10/25/2004 01:38 AM |
| Descriptions: |
Computes the money market forward rate |
| Functions: |
mmforw(Sett_d As Date, from_d As Date, to_d As Date, Date_v As Object, PV_v As Object) As Double |
| Code: |
Download (3518 downloads) |
| Author: |
JMS
|
| Title: |
Compute Interest Rate Risk of a Bond |
Posted on 10/25/2004 01:40 AM |
| Descriptions: |
Computes the interest risk of a bond (change in price per % change in interest) |
| Functions: |
BondIR(SettDate As Date, StartDate As Date, MatDate As Date, Cpn As Double, CpnsPerYear As Long, Buckets As Object, DateVec As Object, PVFact As Object) As Variant |
| Code: |
Download (3500 downloads) |
| Author: |
JMS
|
| Title: |
Valuation of Floors |
Posted on 10/25/2004 01:40 AM |
| Descriptions: |
Valuation of floors (given dates and PVs) |
| Functions: |
floor(Sett_d As Date, strike_r As Double, first_fixing_d As Date, last_payment_d As Date, vola As Double, Date_v As Object, PV_v As Object) As Double |
| Code: |
Download (3358 downloads) |
| Author: |
JMS
|
| Title: |
Receiver Swaption Price (basis points) |
Posted on 10/25/2004 01:36 AM |
| Descriptions: |
Calcualtes the price of a receiver swaption (bp) |
| Functions: |
swaption_R_bp(Date_v As Object, PV_v As Object, Sett_d As Date, Eff_d As Date, swap_life As Long, exp_d As Date, strike_r As Double, vola As Double) As Double |
| Code: |
Download (3264 downloads) |
| Author: |
JMS
|
| Title: |
Yield Coupon Bond (Braess) |
Posted on 10/21/2004 11:30 PM |
| Descriptions: |
Calculates the yield of a coupon bearing bond (Braess). |
| Functions: |
B_Yield_Braess(Sett_d As Date, Mat_d As Date, Cpn As Double, Price As Double) As Double |
| Code: |
Download (3186 downloads) |
| Author: |
JMS
|
| Title: |
Implied Dividend Yield |
Posted on 10/25/2004 01:34 AM |
| Descriptions: |
Calculates the implied dividend yield from a given price and a given dividend |
| Functions: |
ImplDivYield(Maturity As Double, DiscountedDiv As Double, Ref As Double) As Double |
| Code: |
Download (3111 downloads) |
| Author: |
JMS
|
| Title: |
Outperformance Options Price |
Posted on 10/19/2004 02:05 PM |
| Descriptions: |
Computes the price of an outperformance option |
| Functions: |
outperf(S_ref, S_out, t, q_ref, q_out, v_ref, v_out, rho) As Double |
| Code: |
Download (3082 downloads) |
| Author: |
JMS
|
| Title: |
Leland and Toft 96 Structural Model of Debt |
Posted on 10/01/2004 12:50 AM |
| Descriptions: |
A function that solves for Debt, Value of the Firm, Equity and Leverage for the Leland and Toft (1996) structural model of debt in EXCEL-VBA. |
| Functions: |
getDebt(c, p, bV, sigma, rho, r, delta, tau, alpha, T, ret)
SetCoupon() |
| Code: |
Download (3058 downloads) |
| Author: |
GregV
|
| Title: |
Worst to Deliver Option Greeks |
Posted on 10/19/2004 02:13 PM |
| Descriptions: |
These functions calculate the worst to deliver option greeks (delta, gamma, vega, theta and rho). These functions use the worst to deliver option function. |
| Functions: |
rainbow_worseof2_delta(S1, S2, t, q1, q2, v1, v2, rho, take_12)
rainbow_worseof2_gamma(S1, S2, t, q1, q2, v1, v2, rho, take_12)
rainbow_worseof2_vega(S1, S2, t, q1, q2, v1, v2, rho, take_12)
rainbow_worseof2_theta(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (2995 downloads) |
| Author: |
JMS
|
| Title: |
Payer Swaption Price (ticks) |
Posted on 10/25/2004 01:36 AM |
| Descriptions: |
Calcualtes the price of a payer swaption (ticks) |
| Functions: |
swaption_P_tick(Date_v As Object, PV_v As Object, Sett_d As Date, Eff_d As Date, swap_life As Long, exp_d As Date, strike_r As Double, vola As Double, freq As Long) As Double |
| Code: |
Download (2962 downloads) |
| Author: |
JMS
|
| Title: |
Outperformance Option Greeks |
Posted on 10/19/2004 02:08 PM |
| Descriptions: |
These functions return the greeks (delta, gamma, vega, theta) of an outperformance options. These functions use the outperformance option functions. |
| Functions: |
outperf_delta(S1, S2, t, q1, q2, v1, v2, rho, take_12)
outperf_gamma(S1, S2, t, q1, q2, v1, v2, rho, take_12)
outperf_vega(S1, S2, t, q1, q2, v1, v2, rho, take_12)
outperf_theta(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (2938 downloads) |
| Author: |
JMS
|
| Title: |
Cheapest to Deliver Option |
Posted on 10/19/2004 02:00 PM |
| Descriptions: |
Calculates the price of a cheapest to deliver option. This function uses the outperformance option functions. |
| Functions: |
CTD(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (2938 downloads) |
| Author: |
JMS
|
| Title: |
Price of Coupon Bearing Bond (ISMA) |
Posted on 10/21/2004 11:27 PM |
| Descriptions: |
Calculates the price of a coupon bearing bond (ISMA adjusted). |
| Functions: |
B_Price_ISMA(Sett_d As Date, Mat_d As Double, Cpn As Double, Yield As Double) As Double |
| Code: |
Download (2928 downloads) |
| Author: |
JMS
|
| Title: |
Coupon Bearing Bond (Braess) |
Posted on 10/21/2004 11:29 PM |
| Descriptions: |
Calculates the price of a coupon bearing bond (Braess). |
| Functions: |
B_Price_Braess(Sett_d As Date, Mat_d As Date, Cpn As Double, Yield As Double) As Double |
| Code: |
Download (2908 downloads) |
| Author: |
JMS
|
| Title: |
Cheapest to Deliver Option Greeks |
Posted on 10/19/2004 02:03 PM |
| Descriptions: |
Calculates the Greeks (Delta, Gamma, Vega, Theta) of the cheapest to deliver option. This function uses the cheapest to deliver option and outperformance option functions. |
| Functions: |
CTD_delta(S1, S2, t, q1, q2, v1, v2, rho, take_12)
CTD_gamma(S1, S2, t, q1, q2, v1, v2, rho, take_12)
CTD_vega(S1, S2, t, q1, q2, v1, v2, rho, take_12)
CTD_theta(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (2904 downloads) |
| Author: |
JMS
|
| Title: |
Receiver Swaption Price (ticks) |
Posted on 10/25/2004 01:37 AM |
| Descriptions: |
Calcualtes the price of a receiver swaption (ticks) |
| Functions: |
swaption_R_tick(Date_v As Object, PV_v As Object, Sett_d As Date, Eff_d As Date, swap_life As Long, exp_d As Date, strike_r As Double, vola As Double, freq As Long) |
| Code: |
Download (2898 downloads) |
| Author: |
JMS
|
| Title: |
Worst to Deliver Option |
Posted on 10/19/2004 02:11 PM |
| Descriptions: |
Calculates the price of a worst to deliver option. |
| Functions: |
rainbow_worseof2(S1, S2, t, q1, q2, v1, v2, rho) |
| Code: |
Download (2894 downloads) |
| Author: |
JMS
|
| Title: |
Leland 94 Structural Model |
Posted on 08/28/2004 01:35 PM |
| Descriptions: |
VB function to return the total value of the firm, the value of debt and the value of equity using the Leland 94 structural model. |
| Functions: |
Leland(V, C, tau, alpha, r, sigma, tRet) |
| Code: |
Download (2891 downloads) |
| Author: |
GregV
|
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