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Tools

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Analytics

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Risk-Engine

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Technology

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Data

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Pricing Analytics
		Random.xll	:	Random Generator Add-In.
		Options.xll	:	Standard Option pricing formulas. From Black-Scholes-Merton to exotics.
		Barriers.xll	:	Barrier Options: Barrier Black, Double Barriers w/ Rebates.
		Finite.xll	:	Finite Differencing Schemes,  European and  American Options alike.
		Warrants.xll	:	5 Standard Warrant Pricing Schemes. Closed End & Finite Difference.

Options Add-In

Real-time options Add-In.

Most of these routines are still sold today at a hefty premium. They should be free or at least original authors should be getting royalties, but that's another story. Most of these routines have been around for the past 20 years now. Source code in included in the On-Line help.

Normal, Bi-variate, Error density functions, Black-Scholes-Merton, Black76, Merton Jump-Diffusion, Geske, Margrabe, Barone-Adessi-Whaley, Cox-Ross-Rubenstein, etc.

View Source

Download Options Zip File

Zip file includes: Options.xll (Add-In), spreadsheet, on-line help and source.

View on-line help 

Download Individual Components:

Barriers Add-In

Real-time barrier Add-In.

this library contains single and double barrier pricing routines, including in and out rebates for double barriers. This library implements industry standard pricing schemes: black barrier decomposition, Kunitomo Ikeda, digital and lookback adapted algorithms for rebate pricing.

View Help

Download Barrier Zip File

Zip file includes: Barriers.xll (Add-In). On-line help and spreadsheet. The spreadsheet Demonstrates In / Out Arbitrage conditions against plain vanilla options.

Download Individual Components: