Customized solutions for quantitative finance

Risk: Value-at-Risk (VaR) Calculator for Portfolio of 12 Tickers

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

Equity Index Participation

Equity Index Participation
Given a specified equity ticker, list the indices which contain it, and the corresponding weight of the ticker within each index.

Trading Strategy BackTesting (in Excel or Python)

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 for a private discussion.

Option Chain Downloader

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:

Customized Quantitative Solutions for Derivative Pricing and Risk

  • Excel: Theoretical exploration of option theory and Greeks for Currencies, Fixed Income, Commodities, Equities
  • Excel, Bloomberg: Backtest option strategies like spreads, collars, straddles, covered calls, etc…
  • Excel, IB TWS API: Link with Interactive Brokers account for trading

Options, Derivatives, Warrants

Pricing, Valuation

Risk, Greeks

  • Model for Underlying: Normal, Log-Normal
  • Discounting at risk-free-rate
  • Exercise: European, American
  • Put, Call
  • Digital, Analog
  • Risk, Greeks: Delta, Gamma, Speed, Vega, Volga, Vanna, Theta, Rho (ppmu+ppr), Charm (Delta-Decay)
  • Implementation in Excel, Python
  • Automatically create customized price, risk, profit & loss (PnL) charts

About Us

  • Customizable

    Fully customizable to meet your needs.

  • Implementation

    Implementation in Excel, Python, Matlab

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QQ Bird

Excellent and robust quantitative solutions.

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