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Pricing Models

Free Excel VBA Code in Finance and Statistics  
Many free Excel VBA open source codes in finance and statistics. Examples include option pricing models with greeks, random numbers generator, Monte Carlo simulation and many more.
Submitted: Jan 12, 2005
Financial Modeling  
Financial Modelig presents important models in finance and shows how they can be solved numerically and/or simulated using Excel.
Submitted: Sep 02, 1999
Credit Derivatives  
This new add-in prices Credit Default Swaps and Credit Default Options. A protection buyer pays a regular (or one-off) fee and in return, if there is a credit default, he receives a one-off compensation payment. The system can imply the default probabilities (or recovery rates) from traded credit default swaps and/or credit options.
Submitted: Sep 11, 1999
Finance and Statistics  
Finance and Statistics Models Set (Set 1) contains different topics in finance and statistics from simple model such as computing standard deviation and mean to more advanced models such as Monte Carlo simulation, multivariate standard normal distribution, multiple regression, and option pricing models
Submitted: Feb 08, 2005
UNIVGARCH - Garch Add-in  
UNIVGARCH implements various Garch models (including N-GARCH, E-GARCH and O-GARCH). Proprietary optimization techniques implemented under 32-bit Windows are utilized which finally enable the practical use of Garch models in a trading environment.
Submitted: Sep 11, 1999
2-Factor Interest Rate Volatility Add-in  
This new module implements the cutting edge 2-factor "Brace-Gatarek-Musiela" (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals), including fitting expected correlations between different parts of the curve.
Submitted: Sep 11, 1999
UNIVSWAP - Swap Add-in  
The Swap add-in is an interest rate and cross-currency swap add-in. The add-in builds a No-Arbitrage term structure model for interest rates and volatilities (using mean reversion) from any combination of bonds, swaps, bills, deposits and/or futures. This term structure is used to consistently price instruments, including Bonds, Swaps, FRAs, IRGs, Caps, Collars, Floors, American and European style swaptions.
Submitted: Sep 11, 1999
Quantifi XL  
Quantifi XL is an extensive suite of addin functions for Excel. It is a powerful tool for traders and others who need access to advanced pricing and risk analysis of credit products from within Excel. Quantifi XL consists of over 120 functions covering everything from accrued interest calculations to advanced credit derivative pricing.
Submitted: Jul 20, 2004
Pricing Estimate Template for Excel  
The Microsoft® Excel 97 Pricing Estimate template provides an easy way to prepare and track sales quotes for customers and other clients.
Submitted: Sep 11, 1999
INSIGHT  
This package includes Excel Add-ins and templates for performing: Monte Carlo Simulation, Discrete Event Simulation, Time Series Analysis, Decision Trees, Markov Chains and Numerous forms of Optimization.
Submitted: Sep 12, 1999
Toteboard.net  
Custom Excel based financial models and tools. A must see!
Submitted: Jun 09, 2003
UNIVOPT - Options Add-in  
The options add-in calculates option prices and implied volatilities using the Black, Black-Scholes, Garman-Kolhagen, Cox-Rubinstein (binomial) models, as well as proprietary models for normally distributed underlying instruments.
Submitted: Sep 11, 1999
Numerical Searching Methods and Option Pricing Models Set.  
Numerical Searching Methods and Option Pricing Set (Set 3) contains topics in applying different numerical searching methods to solve mathematical equations and implied volatility from option pricing models. It also includes vanilla option pricing models on future, currency (foreign exchange), stock index, and stock that pays a known dividend.
Submitted: Feb 08, 2005
UNIVEXOT - Exotics Add-in  
The Exotics add-in calculates prices, sensitivities and implied volatilities of Exotic options, including Average price (Asian), Barrier and double Barrier (Knock-out and Knock-ins), Digital, Compound, Contingent, Ladder, Lookback and one and two Touch options on bonds, commodities, currencies, futures and shares (including constant dividend streams and discrete dividend payments).
Submitted: Sep 11, 1999
Futures / FRAs Arbitrage Module  
This is an optional module for Excel users of our Universal Swap Add-in who require the analysis of the arbitrage opportunities between interest rate futures, FRAs and Swaps. The module is designed to be used by traders in a fast moving market. Therefore ease of use is maximized. Grids are calculated and displayed for forward futures, FRAs and Swaps to enable the quick comparison of the arbitrage opportunity between the markets. Trades are entered and the positions are continuously marked to market.
Submitted: Sep 11, 1999
ROI and ROE Measure  
Worksheet model used to calculate Return on Investment (ROI) and Return on Equity (ROE) that also provides easy methods of changing input values and seeking a final ROE.
Submitted: Sep 07, 1999
Random Numbers Generator and Statistics Set  
Random Numbers Generator and Statistics Set (Set 2) provides 12 random numbers generators that allow you to generate histogram from the probability distribution given the parameters you have specified. You also have the option to output random numbers from the distribution on the spreadsheet
Submitted: Feb 08, 2005
UNIVFDIF - Finite Difference Add-in  
This new add-in implies the local volatility surface and then prices and calculates the full sensitivities of European, American style and Bermudan variable strike Exotic options (including discrete windowed and double barriers) on bonds, commodities, currencies, futures and shares (including discrete dividend payments).
Submitted: Sep 11, 1999
Cost Estimating Form  
An updated template for estimating job costs, based on unit material costs and/or labor hours. You enter items, unit prices, etc. This program does all the extensions and subtotaling automatically.
Submitted: Sep 11, 1999
Comparative Ratio Analysis  
RMA comparative ratios are available in the reference section of most business libraries. Lending institutions use the RMA ratios as one measure of a business that is applying for a loan. You can use Excel formulas to compare actual data to RMA ratios and show variances. Use Goal seek to experiment with changes the the actual needed to bring data in line with RMA averages.
Submitted: Sep 07, 1999
Analytical extensions to UNIVEXOT  
This module implements the latest research papers on the analytical pricing of exotic options (including continuous and discrete barriers and continuous and discrete lookbacks). These analytical models are accessible by simply changing the model number when using UNIVEXOT.
Submitted: Sep 11, 1999



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