This Excel spreadsheet calculates Value-at-Risk (VaR) for a portfolio of up to 12 tickers
Parametric, Historical, Monte-Carlo simulated Value-at-Risk (VaR)
Mean, Standard Deviation, Variance, Correlation, Covariance
Incremental VaR for each ticker in the portfolio (without rebalancing)
Marginal VaR for each ticker in the portfolio (with rebalancing)
Cholesky Decomposition of the covariance matrix using built-in VBA function
An Excel VBA template interface for one-click trading execution on Interactive Brokers (IB) Trader Workstation (TWS)..
Fully customizable and open-source VBA code for developers who wish to implement their trading algorithm via the Excel platform.
An Excel VBA spreadsheet interface for automated trading execution on Interactive Brokers (IB) Trader Workstation (TWS).
Equity Index Participation
Given a specified equity ticker, list the indices which contain it, and the corresponding weight of the ticker within each index.
Backtest any strategy for any asset class.
in Excel (.xlsm)
in Python (.ipynb on Google Cloud Platform).
Bloomberg historical data will be provided.
Contact us at quantbible@quantbible.com for a private discussion.
Derivative Pricing for Interest Rate Derivatives
under Heath-Jarrow-Morton (HJM) Framework
for Term Structure of Interest Rates
with
Principal Components Analysis (PCA),
Monte Carlo Simulation (MCS),
Credit Valuation Adjustment (CVA)
Live Price, Historical Prices, Option Chain.
1 Ticker at a time.
1 or All Expiration Dates with 1 click,
Puts or Calls or Both Puts and Calls in a straddle view.
All strikes in ascending order.
Demo Video:
Generate option pricing and risk (Greeks) graphs under the Black-Scholes model.
Generate digital(binary) option pricing and risk (Greeks) graphs under the Black-Scholes model.
Scenario Analysis for digital(binary) options and it’s Greeks.
Back-test an option strategy to see how it performs. Understand where it made or lost money.
Supports up to 2 option legs.
Back-test an option strategy to see how it performs. Understand where it made or lost money.
Supports up to 4 option legs.
Create a beta-neutral relative-value portfolio of 2 securities.
Simple tool to calculate monthly payments for your loan.
This demonstrates the use of Excel’s =PMT() function.
Excellent and robust quantitative solutions.
