Sorry, but we no longer offer this product.
Options Analysis Spreadsheet add-ins
Options @nalyst is a powerful Excel add-in function library that is used by market makers, portfolio managers, risk managers and treasurers for analyzing a wide variety of options. Use the Excel functions to create or enhance your Excel-based financial applications and models.
Benefits
Improved accuracy and speed. Pre-defined functions reduce errors and ensure consistency when used in multiple instances and are optimized in machine code to be much faster than standard cell formulas or macros.
Extensive Option Pricing Functionality including American and European calls and puts; modified Black-Scholes pricing model; binomial pricing model; MacMillan and Barone-Adesi and Whaley pricing model; Roll, Geske and Whaley pricing model; Jump-diffusion pricing model; 1st and 2nd order price sensitivities including delta, gamma, theta, rho, and kappa; holding cost adjustment to allow options on equities, futures (Black model), bonds, commodities and foreign currency (Garman-Kohlhagen model); FASB compliant for employee stock options; three dividend adjustment methods for equity options; implied and historical volatility
Excel Functions for Option Pricing including
- bond option price
- binomial option price and hedge ratio
- Eurodollar futures option price
- Black option price
- Black-Scholes option price
- Garman-Kohlhagen option price
- Whaley-Adesi option price
- Roll, Geske and Whaley option price
- jump-diffusion option price
Excel Functions for Option Price Sensitivities including
- price sensitivities using bond option model
- price sensitivities using binomial model
- rice sensitivities using Eurodollar futures options model
- price sensitivities using Black model
- price sensitivities using Black-Scholes model
- price sensitivities using Garman-Kohlhagen model
- price sensitivities using Whaley-Adesi model
- price sensitivities using Roll, Geske and Whaley model
- price sensitivities using jump-diffusion model
All sensitivity functions can compute:
- delta 1st derivative w.r.t. underlying price
- gamma 2nd derivative w.r.t. underlying price
- theta 1st derivative w.r.t. time to expiration
- kappa 1st derivative w.r.t. volatility (vega)
- rho 1st derivative w.r.t. risk-free rate
- psi 1st derivative w.r.t. dividends (to yield for bond options, to storage cost for commodity options, to foreign interest rate for foreign exchange options)
- omega price elasticity
- "zeta" 1st derivative w.r.t. strike price
Powerful Excel functions for calculating option volatility including:
- implied volatility using bond option model
- implied volatility using the binomial model
- implied volatility using Eurodollar futures option model
- implied volatility using Black model
- implied volatility using Black-Scholes
- implied volatility using Garman-Kohlhagen model
- implied volatility using Whaley-Adesi model
- implied volatility using Roll, Geske and Whaley model
- implied volatility using jump-diffusion model
- volatility using historical close-to-close prices
- volatility using historical high-low prices
- volatility using historical high-low-close prices
- volatility using historical high-low-open-close prices
- volatility using exponentially-weighted asset returns
Sophisticated date calculations including calendar day addition (actual or 30/360); month addition; calendar day count (actual or 30/360); date of last day of month in which a date falls; last occurrence of a given day of the week in a month; number of days in a given month; number of months between 2 dates; nth occurrence of a given day of the week in a month; day of the week on which a date falls; number of days in a given year; date of next quarter or other year division.
Extended Business Day Functions including business day addition; business day count; closest business day; first business day of month in which a date falls; holiday count; list holidays in various locations; list supported holiday centers; IMM dates; business day test; last business day of month in which a date falls; next business day; previous business day.
New Conversion Functions including decimal to fraction conversion; fraction to decimal conversion; interest rate periodicity conversion and scaling; nominal/real yield conversion.
FASB approved for ruling 123.
