### 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.

Equity Index Participation

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

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).

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.

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.

- 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

- 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

Excellent and robust quantitative solutions.