Deriscope | Options & Derivatives Pricing And Risk

Deriscope™ is an application specializing in financial derivatives valuation. It comes with an Excel-integrated wizard - the first of its kind in the financial industry - that helps you create spreadsheets with real time stock, ETF, forex, cryptocurrency, futures, option and commodity prices, historical time series and company data that deal with the pricing and risk management of diverse

Actived: Monday Jan 20, 2020


Bond Key Rate Duration (KRD) in Excel: Calculating and

The dirty price off the yield curve comes as 99.219255 in cell D23, which differs from the true bond price of 97.222222 calculated in cell D18! You may think there is some different settlement time interval involved. Also all coupons paid prior to maturity add zero contribution to this 5Y KRD figure.

Category:  coupon Get Code

Currency Swaps and Basis Curves in Excel - Resources

The basic concepts of spot fx rates, forward fx contracts, fx swaps and the construction of foreign yield curves out of fx forward rates have been described in detail in my previous fx rates article.While these instruments cover the short end of the maturity spectrum – typically about a year -, the tenor of so-called currency swaps (also know

Category:  coupon Get Code


1. Receive coupons from the bond plus redemption valued off the bond is-suer curve. 2. Pay coupons on the fixed side of the swap equal in amount to the bond coupons. Cash flows are present-valued off the Libor curve. 3. Receive payments of Libor plus the asset swap spread from swap coun-terparty. These payments are priced off the Libor curve.

Category:  coupon Get Code

Bond_Functions - Deriscope

Then all coupons - regardless of being fixed or floating - are replaced with fixed payments of an amount equal to one basis point on a notional of 100, i.e. an amount of 0.01 Then the NPV of all these replaced coupons is calculated using the applicable discounting curve mentioned above. There exist 2 distinct methods for obtaining the NPV:

Category:  coupon Get Code

Pricing Structured Products in Excel: The Morgan Stanley

Various structured products can be precisely priced in Excel using Deriscope and its underlying QuantLib analytics. In this article I will focus on the Trigger Plus product issued by Morgan Stanley on April 1, 2019. It is based on the value of the worst performing of the Dow Jones Industrial Average and the Russel 2000 Index due April 4, 2024. It o

Category:  coupon Get Code

Version History of Deriscope

A new ribbon group item called Deriscope - a top menu item in versions earlier than Excel 2007 - appears that allow the user to switch on and off the Deriscope taskpane. A similar option is made available through the Tools button and Excel's context menu appearing after a mouse right-click.

Category:  coupon Get Code

Related topics