Portfolio Optimization for 4 Securities Using Lagrange Multipliers
Portfolio Optimization for 4 Securities Using Lagrange Multipliers
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
Excel Historical Data Downloader for Interactive Brokers (IB) Trader Workstation (TWS)
This solution provides a historical time-series downloader in Excel for Interactive Brokers (IB) Trader Workstation (TWS).
It provides the user with one-click solution to download historical data from IB.
Excel Trading Execution Template for Interactive Brokers (IB) Trader Workstation (TWS)
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.
Excel Automated Trading Execution Spreadsheet for Interactive Brokers (IB) Trader Workstation (TWS)
An Excel VBA spreadsheet interface for automated trading execution on Interactive Brokers (IB) Trader Workstation (TWS).
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 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)
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)
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:
Option Pricing & Risk (Greeks) Graph Generation Tool
Generate option pricing and risk (Greeks) graphs under the Black-Scholes model.
Option Pricing & Risk (Greeks) for Digital(Binary) Options on NADEX
Generate digital(binary) option pricing and risk (Greeks) graphs under the Black-Scholes model.
Option Pricing & Risk (Greeks) for Digital(Binary) Options on NADEX with Scenario Analysis
Scenario Analysis for digital(binary) options and it’s Greeks.
Option Strategy (2 Legs) P&L Attribution Back-Test
Back-test an option strategy to see how it performs. Understand where it made or lost money.
Supports up to 2 option legs.
Option Strategy (4 Legs) P&L Attribution Back-Test
Back-test an option strategy to see how it performs. Understand where it made or lost money.
Supports up to 4 option legs.
Portfolio Construction Tool: Beta Neutral Relative Value
Create a beta-neutral relative-value portfolio of 2 securities.
Loan Mortgage Monthly Payment Calculator
Simple tool to calculate monthly payments for your loan.
This demonstrates the use of Excel’s =PMT() function.
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
What others say about us
Excellent and robust quantitative solutions.
