|
| 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 (15152 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 (10385 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 (9980 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 (8973 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 (7787 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 (6338 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 (5540 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 (5382 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 (4801 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 (4565 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 (4437 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 (4185 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 (3804 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 (3758 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 (3595 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 (3567 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 (3455 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 (3294 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 (3193 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 (3124 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 (3005 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 (2981 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 (2943 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 (2821 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 (2766 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 (2712 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 (2653 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 (2609 downloads) |
| Author: |
GregV
|
| 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 (2599 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 (2532 downloads) |
| Author: |
JMS
|
| 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 (2524 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 (2474 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 (2473 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 (2448 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 (2435 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 (2418 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 (2416 downloads) |
| Author: |
GregV
|
| 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 (2415 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 (2414 downloads) |
| Author: |
JMS
|
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