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Samples stockmarket
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Options on equities, indices, currencies and futures
Interest rate derivatives and convertible bonds
Employee stock option valuation
Historical volatility and price distribution
Probability analysis
Portfolio Hedging & Trading profitability
Futures
On-Line quotations
Utilities
Value at Risk (VaRtools)
Options on equities, indices, currencies and futures
Interest rate derivatives and convertible bonds
Hoadley Options Tools Web Site
Latest Version Information & Download
Download MPT/CAPM portfolio optimizer
Download VaRtools additional samples spreadsheet
HoadleyOptions1Returns the price and hedge parameters or Europeanor American options. Uses absolute dates.
ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%
Optional arguments:Dividend_type D
Dividend_details: Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00
Binomial_steps 50
Results Calc type ValuePrice P #MACRO?Delta D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?
Index
http://www.hoadley.net/options
Help
C
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C
D
HoadleyOptions2Returns the price and hedge parameters or European or American options. Uses days rather than dates.
ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%
Optional arguments:Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1
Binomial steps 50
Results Calc Type ValuePrice: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?
Example with user function in VBA module:Results Calc Type ValuePrice: P #VALUE!Delta: D #VALUE!Gamma G #VALUE!Vega V #VALUE!Theta T #VALUE!Rho R #VALUE!
Index
http://www.hoadley.net/options
Help
C
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C
D
HoadleyImpliedVolatility1Returns the implied volatility of an option. Uses absolute dates.
ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Option_price 0.2560Risk_free_rate 5.75%
Optional arguments:Dividend_type D
Amt ex-divDividend_details 0.20 01-Feb-00
0.50 01-Mar-00
Binomial_steps 50
ResultsImplied volatility #MACRO?
Index
http://www.hoadley.net/options
Help
C
P
1
2
3
N
C
D
HoadleyImpliedVolatility2Returns the implied volatility of an option. Uses days rather than dates.
ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Option_price 1.205Risk_free_rate 5.75%
Optional arguments:Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1
Binomial_steps 50
ResultsUsed from a worksheet cell: #MACRO?
Used from a VBA module: #VALUE!
Index
http://www.hoadley.net/options
http://www.hoadley.net/options
Help
C
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1
2
3
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C
D
HoadleyPercentToTarget1Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".
ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Value_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%
Optional arguments:Target_percent 100%Option_price
Dividend_type DDividend_details:
Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00
Binomial_steps 50
Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?
Current option price COP #MACRO?Target option price TOP #MACRO?
Index
http://www.hoadley.net/options
Help
C
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1
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C
D
HoadleyPercentToTarget2Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".
ExampleInputsCalculation_type PPricing_model (European or American) 2Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%
Optional arguments:Target_percent 100%Option_price
Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1
Binomial steps 50
Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?
Current option price COP #MACRO?Target option price TOP #MACRO?
Index
http://www.hoadley.net/options
Help
C
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C
D
HoadleyImpliedUA1Returns an underlying asset ("UA") value (strike, spotdays, volatility, risk free rate) implied by either a givenoption price or option delta. Uses absolute dates.
Inputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type C 1 Option price #MACRO? #MACRO?Strike 100.00 2 Delta #MACRO? #MACRO?Spot 98.70 Seed_value (optional)Value_date 20-Dec-03Expiry_date 30-Jun-04 (actual days: 193) Volatility 30%Risk_free_rate 3.75%
Target_typeTarget_Value
Seed_value
Dividend_type D
Dividend Details Amt Ex-div1.50 01-Feb-041.80 01-Jun-04
Binomial_steps 100
Index
http://www.hoadley.net/options
Help
123
CP
NCD
Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate
#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###
Seed_value (optional)250
HoadleyImpliedUA2Returns an underlying asset ("UA") value (strike, spotdays, volatility, risk free rate) implied by either a givenoption price or option delta. Uses days.
Inputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type P 1 Option price #MACRO? #MACRO?Strike 60.00 2 Delta #MACRO? #MACRO?Spot 62.25 Seed_value (optional)Days_to_expiry 55Volatility 30%Risk_free_rate 3.75%
Target_typeTarget_Value
Seed_value
Dividend_type DDividends 1.5Days_to_ex_dates 25Dividend_count 1
Binomial_steps 100
Index
http://www.hoadley.net/options
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123
CP
NCD
Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate
#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###
Seed_value (optional)90
HoadleyOptionsNLNReturns an European or American option price basedon a Non LogNormal underlying price distribution.
ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 20.00Spot 20.00Days 182.5Volatility 25%Risk_free_rate 5%
Optional arguments:Dividend_type (optional) DDividends (optional) 0.50Days_to_ex_dates (optional) 20.0Dividend_count (optional) 1
Skewness (0ptional) -0.5Kurtosis (optional) 1.8
Binomial_steps (optional) 50
Results - Calculation of volatility smileGap between strike prices: 0.50Strike prices 15.00 15.50 16.00 16.50 17.00 17.50 18.00Non-log normal price ### ### ### ### ### ### ###Log normal option price ### ### ### ### ### ### ###Implied volatility ### ### ### ### ### ### ###
Index
http://www.hoadley.net/options
15.00
15.50
16.00
16.50
17.00
17.50
18.00
18.50
19.00
19.50
20.00
20.50
21.00
21.50
22.00
22.50
23.00
23.50
24.00
24.50
25.00
25.50
20%
21%
22%
23%
24%
25%
26%Volatility Smile
Strike
Vo
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Notes:1. The non-log normal and log normal prices are shown above for interest only. They are not used in calculating the volatility smile.
2. You can use Excel solver to simultaneously calculate the "true" volatility, skewness and kurtosis from observed market option prices by minimizing the sum of the squares of the differences between the non-log normal prices and the market prices.
"True" volatility: 25% 25% 25% 25% 25% 25% 25%
C
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18.50 19.00 19.50 20.00 20.50 21.00 21.50 22.00 22.50 23.00 23.50### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###
15.00
15.50
16.00
16.50
17.00
17.50
18.00
18.50
19.00
19.50
20.00
20.50
21.00
21.50
22.00
22.50
23.00
23.50
24.00
24.50
25.00
25.50
20%
21%
22%
23%
24%
25%
26%Volatility Smile
Strike
Vo
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25% 25% 25% 25% 25% 25% 25% 25% 25% 25% 25%
24.00 24.50 25.00 25.50### ### ### ###### ### ### ###### ### ### ###
25% 25% 25% 25%
HoadleyBarrier1Returns the option price, hedge parameter or implied volatility of a European or American single barrier option.
ExampleInputsCalc_type PPricing_model (European or American) 1Option_type PBarrier_type DIStrike 100.00Spot 100.00Barrier 80.00Days_to_expiry 365Volatility 25%Interest_rate 6.00%
Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122Dividend_count 1
Rebate 0.00Option_priceTri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300
Results Calc Type ValueOption price P #MACRO?Delta D #MACRO?Gamma G #MACRO?Theta T #MACRO?
Index
http://www.hoadley.net/options
http://www.hoadley.net/options
Help
C
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1
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C
D
UIUODIDOCDWM
HoadleyBarrier2Returns the option price, hedge parameter or implied volatility of a European or American double barrier option.
ExampleExampleCalc_type PPricing_model (European or American) 1Option_type PBarrier_type IStrike 100.00Spot 100.00Upper_barrier 110.00Lower_barrier 80.00Days_to_expiry 365.0Volatility 25%Interest_rate 6.00%
Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122Dividend_count 1
Rebate 0.00Option_price Tri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300
Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Theta T #MACRO?
Index
http://www.hoadley.net/options
Help
C
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1
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C
D
OI
CDWM
HoadleyBasketOptionReturns the price of a European option on a basket of underlying assets. The price is calculated analytically, not by simulation.This function is only available in the full version of the add-in.
ExampleInputsOption_type CValue_date 05-Sep-03Expiry_date 17-Apr-04Risk_rate 3.50%Strike 760,000.00
PG IBM GE MSFTCorr_matrix PG 1.00 0.30 0.20 0.20(correlation matrix) IBM 1.00 0.25 0.30
GE 1.00 0.20MSFT 1.00
PG IBM GE MSFTVolatilities 27% 25% 33% 34%Prices 91.43 87.91 31.32 28.43No_units 2500 1750 5400 6300div_yields 2.10% 3.00% 1.30% 0.00%
Results - 1Option value #MACRO?
Results - 2Comparison with at-the-money options on the individual assets. The basket optionwill usually (depending on the correlation between the assets) be cheaper. Hedgingcurrency exposures and other risks can therefore be done more cheaply than bypurchasing individual options.
PG IBM GE MSFTIndividual option strikes (ATM) 228,575 153,843 169,128 179,109Individual option values ### ### ### #MACRO?
Strike for basket 730,655
Total of individual option values #MACRO?Basket option value #MACRO?
Index
http://www.hoadley.net/options
Help
CP
Early Exercise ClassReturns all optimal early exercise points for a range of spot prices for a given option specification. Onlyrelevant for American options.
Example:Inputs ResultsOption dates:Deal date 13-Sep-01Expiry date 20-Dec-01Ex-dividend date 1: 03-Oct-01Ex-dividend date 2: 31-Oct-01
Inputs:Option_type C OptimalStrike 17.50 Spot Early Exercise Option PriceDays_to_expiry 98 Price Threshold at ThresholdVolatility 33.9% 20.50 On 02-Oct-01Risk_free_rate 5.00% 21.00 On 02-Oct-01
21.50 On 02-Oct-01Dividend_type D
Div 1 Div 2 19.50 On 30-Oct-01Dividends 0.25 0.5 20.00 On 30-Oct-01Days_to_ex_dates 20 48 20.50 On 30-Oct-01Dividend_count 2 21.00 On 30-Oct-01
21.50 On 30-Oct-01Current stock price: 17.65
Range of spot prices to be searched: 13.5014.0014.5015.0015.5016.0016.5017.0017.5018.0018.5019.0019.5020.0020.5021.0021.50
Index
http://www.hoadley.net/options
Help
CPNCD
Probability Option Price of reachingat Threshold Threshold
3.0000 2.6%3.5000 1.2%4.0000 0.5%
2.0000 17.3%2.5000 12.5%3.0000 8.8%3.5000 6.0%4.0000 4.0%
HoadleyBondReturns the price, yield to maturity, duration or modified duration of a coupon bond.
ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4
Term structure: Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Optional arguments:Price_type (quoted or cash)Bond_priceYield_typePrev_ex_date Results Calc_type ValueQuoted ("clean") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?
Cash ("dirty") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?
Duration D #MACRO?Modified Duration MD #MACRO?
Index
http://www.hoadley.net/options
Help
Hoadley FR NoteReturns the price, or the effective margin over swap, for a floating rate note ("floater")This function is only available in the full version of theadd-in.
ExampleInputsCalc_type PPrincipal 100.00Value_date 29-Feb-04maturity_date 27-Jul-07Current_coupon 4.10%Reset_frequency 4Contract_margin 1.00%Effective_margin 1.50%
Term_structure Years Rate0.25 5.50%0.50 5.80%1.00 6.10%2.00 6.30%3.00 6.50%4.00 6.60%
Optional arguments:Price_type (Quoted or cash)Market_price yield_type Dprev_ex_date
Gross_up_factor 0.7coupon_multiplier
ResultsQuoted ("clean") price P #MACRO?Effective margin EM #MACRO?
Cash ("dirty") price P #MACRO?Effective margin EM #MACRO?
Index
http://www.hoadley.net/options
Help
HoadleyConvBondReturns the price and other related information of aconvertible bond with call and/or put features.This function is only available in the full version of the add-in.
ExampleInputs ResultsCalc_type PQ Convertible bond price (quoted)Redemption 100.00 Convertible bond price (cash)Valuation_date 02-Oct-03Maturity_Date 25-Mar-05 Bond price (quoted)Coupon_rate 8.00% Bond price (cash)Coupon_frequ 2 Accrued interestRisk_free_rate 5.00% Delta per shareCredit_spread 2.50% Option value
Share_price 24.00Volatility 25%Conversion_ratio 4.0
Optional arguments:conversion_date
Dividend_type D
Dividend_details: Amt Ex-divDividend 1 0.30 04-Feb-04Dividend 2 0.32 10-Aug-04Dividend 3 0.34 03-Feb-05
Call_price 103.00Call_date 01-Jan-04Call_triggercall_notice
Put_pricePut_date
Trinomial_steps 200get_accrued 0
Index
http://www.hoadley.net/options
HelpHelp
NDC
10
Calc_type ValuePQ #MACRO?PC #MACRO?
BQ #MACRO?BC #MACRO?AI #MACRO?D #MACRO?O #MACRO?
HoadleyBondOptBlkReturns the price, hedge parameters, or implied volatilityof an option on a coupon bond using the Black-76 model.
ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Option_type CStrike 95.00Option_expiry 7-Dec-03Yield_vol 20.0%
Optional arguments:Price_type (quoted or Cash) QOption_price
Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?Price volatility at option maturity PV #MACRO?
Implied volatility IV #MACRO?
Index
http://www.hoadley.net/options
Help
CPQC
HoadleyBondOptHWReturns the price or hedge parameters of a Eurpoean or American coupon bond option using either the Hull-White analytic model (European), or Hul-White interest rate trinomial trees (European or American).
ExampleInputsCalc_type PPricing model 1Principal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Option_type CStrike 95.00Option_expiry 7-Dec-03Short_rate_vol 1.5%Reversion_rate 10%
Optional arguments:Price_type (quoted or cash) QTri_steps 20
Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?
Index
http://www.hoadley.net/options
Help
123
CPQC
HoadleyCapFloorBlkReturns the price, hedge parameters or implied volatility of interest rate caps and floors using the Black-76 model.
ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Volatility 20%
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Optional arguments:Year_basis 365Cap_floor_price
Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?
Implied volatility IV #MACRO?
Index
http://www.hoadley.net/options
Help
360365
CPQCCF
HoadleyCapFloorHWReturns the price, hedge parameters or implied volatilityof interest rate caps and floors using the Hull-Whitemodel.
ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Optional arguments:Year_basis 365Cap_floor_price
Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?
Index
http://www.hoadley.net/options
Help
360365
CPQCCF
HoadleySwaptionBlkReturns the price, hedge parameters or implied volatilityof a Eurpoean Swaption (an option on an interest rateswap) using the Black-76 model.
ExampleInputsSwap_type PFCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Volatility 20%
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Optional arguments:Year_basis 365Option_price
Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?
Implied volatility IV #MACRO?
Index
http://www.hoadley.net/options
Help
RFPF
360365
HoadleySwaptionHWReturns the price, hedge parameters or implied volatilityof a Eurpoean Swaption (an option on an interest rateswap) using the normal analytic or trinomial tree models.
ExampleInputsSwap_type PFCalc_type PCalc_model 1Principal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%
Term_structure Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%
Optional arguments:Year_basis 365Tri_steps 20
Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?
Index
http://www.hoadley.net/options
Help
RFPF
360365
123
HoadleyEurodollarReturns the price, hedge parameters, or implied volatility of an option on an Eurodollar time deposit futurescontract.
ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 93.25Futures_price 93.15Days 450Volatility 10%Risk_free_rate 6.00%
Optional arguments:Binomial_steps (optional) 50Option_price (optional)
Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?
Implied volatility IV #MACRO?
Index
http://www.hoadley.net/options
Help
CP
123
HoadleyESO1Returns the fair value of an employee stock option priced according to the basic US Financial Accounting Standards Board (FASB) 123 standard.
ExampleInputsPricing_model (European or American) 1Exercise_price 87.00Stock_price 87.00Expected_life 5.3Volatility 30%Risk_free_rate 4.50%Dividend_yield 2.50%Vesting_period 2.0Employee_exit_rate 5%
Optional arguments:Binomial_steps 200
ResultsFair value of option: #MACRO?
Index
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12
HoadleyESO2Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123 standard.
Example of company ESO grant scheduleInputsGrant date: 1-Jan-03Exercise price: 95.70Current stock price: 87.00Maximum option life in years: 10Volatility: 30%Risk free rate: 4.50%Dividend yield: 2.50%Trinomial steps 200
ResultsVesting period (years):
Percent of grant vested:
Employee category
Senior managers 56,000 3% 2.5 Option valueTotal expense
Expected option life
Middle managers 41,000 5% 2.3 Option valueTotal expense
Expected option life
Professional staff 45,500 8% 1.9 Option valueTotal expense
Expected option life
Support staff 15,000 15% 1.5 Option valueTotal expense
Expected option lifeTotal options granted: 157,500
Index
Options granted
Employee exit rate
Exercise multiple
http://www.hoadley.net/options
Help
Vesting schedule1.5 2.0 2.5 3.0
40% 20% 20% 20%
Details by vesting period
#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?Total option expense for 1-Jan-03 grant: #MACRO?
Total Expense
HoadleyHistoricVolatilityReturns the annualized volatility of an asset based on a sample of historical prices. Volatility can be calculated in four ways.
ExamplesInputs
Day Date High Low Open Close DividendMon 21-Jan-02 102.00 100.00 100.00 101.50Tue 22-Jan-02 102.00 100.50 101.50 104.00Wed 23-Jan-02 101.50 99.00 101.50 99.00Thu 24-Jan-02 100.00 97.50 100.00 97.50Fri 25-Jan-02 99.00 98.00 98.00 98.50
Mon 28-Jan-02 99.50 98.00 98.00 99.00Tue 29-Jan-02 101.00 98.00 99.00 100.00Wed 30-Jan-02 100.50 98.00 100.00 99.00Thu 31-Jan-02 103.00 100.00 100.00 101.00Fri 01-Feb-02 95.50 94.00 95.50 95.00 5.00
Mon 04-Feb-02 98.00 95.00 95.00 96.00Tue 05-Feb-02 97.00 96.00 96.00 96.50Wed 06-Feb-02 96.50 94.00 94.00 96.00Thu 07-Feb-02 95.00 93.50 95.00 94.50Fri 08-Feb-02 93.50 92.50 93.50 93.00
Results Calc type ValueClose Price Volatility: C ###High-Low Volatility: HL ###High-Low-Close Volatility: HLC ###High-Low-Open-Close Volatility: HLOC ###EWMA volatility EWMA ###decay_factor (EWMA): EWMAL ###GARCH volatility: GARCH ###
Index
http://www.hoadley.net/options
25-Jan-02
28-Jan-02
29-Jan-02
30-Jan-02
31-Jan-02
01-Feb-02
04-Feb-02
05-Feb-02
06-Feb-02
07-Feb-02
08-Feb-02
0%
200%
400%
600%
800%
1000%
1200%
Weekly Moving Average Volatility
Date
Vo
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Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)
Note: you would not normally use EWMA or GARCH with such a small sample.They are is included here for illustrative purposes only.
WeeklyMoving Average
#################################
25-Jan-02
28-Jan-02
29-Jan-02
30-Jan-02
31-Jan-02
01-Feb-02
04-Feb-02
05-Feb-02
06-Feb-02
07-Feb-02
08-Feb-02
0%
200%
400%
600%
800%
1000%
1200%
Weekly Moving Average Volatility
Date
Vo
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Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)
HoadleyGARCHUses the GARCH model to return the annualized volatility, forecast volatility and a number of 'GARCH' parameters of an asset based on a sample of historical closing prices. This function is only available in the full version of the add-in.
Example:Inputs ResultsHistorical stock prices Current volatility #MACRO?
Week Close Long term forecast #MACRO?1 101.502 101.50 Volatility forecast3 100.00 Week ahead Volatility4 97.50 0 #MACRO?5 98.50 1 #MACRO?6 99.00 2 #MACRO?7 100.00 3 #MACRO?8 99.00 4 #MACRO?9 101.00 5 #MACRO?
10 102.00 6 #MACRO?11 103.00 7 #MACRO?12 101.00 8 #MACRO?13 100.00 9 #MACRO?14 98.00 10 #MACRO?15 99.00 11 #MACRO?16 99.00 12 #MACRO?17 98.00 13 #MACRO?18 100.00 14 #MACRO? Term Structure:19 105.00 15 #MACRO? Option life in weeks:20 110.00 16 #MACRO? Volatility:21 115.00 17 #MACRO?22 110.00 18 #MACRO?23 116.00 19 #MACRO?24 110.00 20 #MACRO?25 106.00 21 #MACRO?
22 #MACRO?23 #MACRO?24 #MACRO?25 #MACRO?26 #MACRO?27 #MACRO?28 #MACRO?29 #MACRO?30 #MACRO?31 #MACRO?
Index
http://www.hoadley.net/options
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31
24.0%
224.0%
424.0%
624.0%
824.0%
1024.0%
1224.0%Forecast Volatility
Forecast week
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Help
Notes:
1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.
2. The term structure shows that, for example, if you are pricing a 12 week option then the best estimate of the volatility fro historical data would be 26%.
3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH
4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.
4 8 12 16 20### ### ### ### ###
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31
24.0%
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424.0%
624.0%
824.0%
1024.0%
1224.0%Forecast Volatility
Forecast week
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Notes:
1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.
2. The term structure shows that, for example, if you are pricing a 12 week option then the best estimate of the volatility fro historical data would be 26%.
3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH
4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.
HoadleyPriceDistReturns skewness and kurtosis coefficients, and standarderrors of skewness and kurtosis, from a sample of historical asset prices
ExampleInputs Results ValueClosing pricesFor one year Skewness: ###
10.61 Excess kurtosis ###10.6510.75 Standard error of skewness: ###10.58 Standard error of kurtosis ###10.3810.73 Significance tests:10.76 Skewness T ratio: ###10.85 Kurtosis T ratio: ###10.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.579.609.689.559.559.69
Index
http://www.hoadley.net/options
Help
Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
9.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.149.309.259.279.329.40
9.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.028.989.049.069.129.07
9.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95
10.029.849.959.98
10.2510.3210.2510.3010.2310.13
9.969.959.829.989.869.809.929.91
10.1310.029.959.949.869.89
10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39
Comment
(based on daily sampling)(based on daily sampling)
Skewness not statistically different from normality.Kurtosis is significantly different from that expectedfrom a lognormal distribution of prices.(see help file for significance testing)
Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
HoadleyAutoCorrelReturns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriatefor the data.
ExampleInputs ResultsClosing prices Confidence level: 2%For one year data_type: 3
lag1 ### #MACRO? ### 5.412
10.61 2 ### #MACRO? ### 7.82410.65 3 ### #MACRO? ### 9.83710.75 5 ### #MACRO? ### 13.38810.58 10 ### #MACRO? ### 21.16110.38 20 ### #MACRO? ### 35.02010.73 30 ### #MACRO? ### 47.96210.7610.8510.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.57
Index
Null hypothesis: there is no autocorrelation for this data_type
Auto-corre-lation
Ljung-Box statistic
Chi-square
P-value
Chi-square critical
value
http://www.hoadley.net/options
Help
Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.
2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
9.609.689.559.559.699.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.14
9.309.259.279.329.409.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.02
8.989.049.069.129.079.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95
10.029.849.959.98
10.25
10.3210.2510.3010.2310.139.969.959.829.989.869.809.929.91
10.1310.029.959.949.869.89
10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39
123
Returns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriate
Meaning#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?
Null hypothesis: there is no autocorrelation for this data_type
Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.
2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
HoadleyProbAtEndReturns the probability of the spot price being above orbelow a target price at the end of the specified number of days.
ExampleProb_type ATarget_price 55.00Spot 50.00Days 365Volatility 30%Expected_return 5%
Optional arguments:Dividend_type DDividends 2.50Days_to_ex_dates 182.5Dividend_count 1
Results Prob_typeA #MACRO? #VALUE!B #MACRO? #VALUE!
Probability of being above when expected return = 0 #MACRO? #VALUE!and dividend = 0 (equivalent to a stock #MACRO? #VALUE!with a dividend yield equal to expected return)
Index
From a work- sheet cell
From VBA module
Probability of spot being above target at end:Probability of spot being below target at end:
http://www.hoadley.net/options
Help
NCD
HoadleyProbAnyTime1Returns the probability of the spot price ever being above or below
This function is only available in the full version of the the add-in.
Example showing probabilities by volatility and spot priceInputsProb_type ATarget_price 60.00Spot 50.00Days 300Volatility 30%Expected_return 10%
Optional arguments:Dividend_yield 0%Observations_per_day 1
ResultsThe following table shows the probability of the spot price being above the target at any time. The "at end probability" is shown for comparison.
Spot PriceVolatility Any time during period At end of period
45.00 50.00 55.00 60 45.00 50.00 55.00 60.005% ### ### ### ### ### ### ### ###
10% ### ### ### ### ### ### ### ###15% ### ### ### ### ### ### ### ###20% ### ### ### ### ### ### ### ###25% ### ### ### ### ### ### ### ###30% ### ### ### ### ### ### ### ###35% ### ### ### ### ### ### ### ###40% ### ### ### ### ### ### ### ###45% ### ### ### ### ### ### ### ###50% ### ### ### ### ### ### ### ###55% ### ### ### ### ### ### ### ###60% ### ### ### ### ### ### ### ###
a target price at any time during a specified number of days.
Index
http://www.hoadley.net/options
Help
HoadleyProbAnyTime2Returns the probability of the spot price moving outside a target range at any time during a specified number of days. It also will return the probability of movingoutside both prices in the range, or remaining within the range at all times.This function is only available in the full version of the add-in.
ExampleResultsprob_type Eupper_target 55.00lower_target 45.00spot 50.00days 100.00volatility 30%expected_return 7.00%
Optional arguments:dividend_yield 0.00%observations_per_day 0.00
Results Prob_type ValueProbability of being either above or below target at any time E #MACRO?Prob of remaining within target range at all times N #MACRO?Probability of being both above upper and below lower targets B #MACRO?Probability of being between target prices at some time W #MACRO?
Probability of being above upper target at any time A #MACRO?Probability of being below lower target at any time B #MACRO?
Probability of being above upper target at end of period A #MACRO?Probability of being below lower target at end of period B #MACRO?
IndexHelp
HoadleyProbDistReturns an array containing the probability distribution for a range of asset prices. The skewness and kurtosis of the distribution can be specified to handle non-lognormally distributed prices. This function is only available in the full version of the add-in.
ExampleInputsspot 70.00days 180volatility 35%expected_return 5.0%
Optional arguments:dividend_yield 0%skewness -0.50Excess kurtosis 1.50
ResultsProbability Distribution
non-Price gap: 1.00 Prices lognormal lognormal
30.00 #MACRO? #MACRO?31.00 #MACRO? #MACRO?32.00 #MACRO? #MACRO?33.00 #MACRO? #MACRO?34.00 #MACRO? #MACRO?35.00 #MACRO? #MACRO?36.00 #MACRO? #MACRO?37.00 #MACRO? #MACRO?38.00 #MACRO? #MACRO?39.00 #MACRO? #MACRO?40.00 #MACRO? #MACRO?41.00 #MACRO? #MACRO?42.00 #MACRO? #MACRO?43.00 #MACRO? #MACRO?44.00 #MACRO? #MACRO?45.00 #MACRO? #MACRO?46.00 #MACRO? #MACRO?47.00 #MACRO? #MACRO?48.00 #MACRO? #MACRO?49.00 #MACRO? #MACRO?50.00 #MACRO? #MACRO?51.00 #MACRO? #MACRO?52.00 #MACRO? #MACRO?53.00 #MACRO? #MACRO?54.00 #MACRO? #MACRO?55.00 #MACRO? #MACRO?56.00 #MACRO? #MACRO?57.00 #MACRO? #MACRO?58.00 #MACRO? #MACRO?59.00 #MACRO? #MACRO?
Index
http://www.hoadley.net/options
30.0031.0032.0033.0034.0035.0036.0037.0038.0039.0040.0041.0042.0043.0044.0045.0046.0047.0048.0049.0050.0051.0052.0053.0054.0055.0056.0057.0058.0059.0060.0061.0062.0063.0064.0065.0066.0067.0068.0069.0070.0071.0072.0073.0074.0075.0076.0077.0078.0079.0080.0081.0082.0083.0084.0085.0086.0087.0088.0089.0090.0091.0092.0093.0094.0095.0096.0097.0098.0099.00100.00101.00102.00103.00104.00105.00106.00107.00108.00109.00110.00111.00112.00113.00114.00115.00116.00117.00118.00119.00120.00121.00122.00123.00124.00125.00126.00127.00128.00129.00130.00
Price Probability Distribution
Log-normal
Non log-normal
Asset Price
Help
Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.
This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.
60.00 #MACRO? #MACRO?61.00 #MACRO? #MACRO?62.00 #MACRO? #MACRO?63.00 #MACRO? #MACRO?64.00 #MACRO? #MACRO?65.00 #MACRO? #MACRO?66.00 #MACRO? #MACRO?67.00 #MACRO? #MACRO?68.00 #MACRO? #MACRO?69.00 #MACRO? #MACRO?70.00 #MACRO? #MACRO?71.00 #MACRO? #MACRO?72.00 #MACRO? #MACRO?73.00 #MACRO? #MACRO?74.00 #MACRO? #MACRO?75.00 #MACRO? #MACRO?76.00 #MACRO? #MACRO?77.00 #MACRO? #MACRO?78.00 #MACRO? #MACRO?79.00 #MACRO? #MACRO?80.00 #MACRO? #MACRO?81.00 #MACRO? #MACRO?82.00 #MACRO? #MACRO?83.00 #MACRO? #MACRO?84.00 #MACRO? #MACRO?85.00 #MACRO? #MACRO?86.00 #MACRO? #MACRO?87.00 #MACRO? #MACRO?88.00 #MACRO? #MACRO?89.00 #MACRO? #MACRO?90.00 #MACRO? #MACRO?91.00 #MACRO? #MACRO?92.00 #MACRO? #MACRO?93.00 #MACRO? #MACRO?94.00 #MACRO? #MACRO?95.00 #MACRO? #MACRO?96.00 #MACRO? #MACRO?97.00 #MACRO? #MACRO?98.00 #MACRO? #MACRO?99.00 #MACRO? #MACRO?
100.00 #MACRO? #MACRO?101.00 #MACRO? #MACRO?102.00 #MACRO? #MACRO?103.00 #MACRO? #MACRO?104.00 #MACRO? #MACRO?105.00 #MACRO? #MACRO?106.00 #MACRO? #MACRO?107.00 #MACRO? #MACRO?108.00 #MACRO? #MACRO?109.00 #MACRO? #MACRO?110.00 #MACRO? #MACRO?111.00 #MACRO? #MACRO?112.00 #MACRO? #MACRO?113.00 #MACRO? #MACRO?
114.00 #MACRO? #MACRO?115.00 #MACRO? #MACRO?116.00 #MACRO? #MACRO?117.00 #MACRO? #MACRO?118.00 #MACRO? #MACRO?119.00 #MACRO? #MACRO?120.00 #MACRO? #MACRO?121.00 #MACRO? #MACRO?122.00 #MACRO? #MACRO?123.00 #MACRO? #MACRO?124.00 #MACRO? #MACRO?125.00 #MACRO? #MACRO?126.00 #MACRO? #MACRO?127.00 #MACRO? #MACRO?128.00 #MACRO? #MACRO?129.00 #MACRO? #MACRO?130.00 #MACRO? #MACRO?
http://www.hoadley.net/options
30.0031.0032.0033.0034.0035.0036.0037.0038.0039.0040.0041.0042.0043.0044.0045.0046.0047.0048.0049.0050.0051.0052.0053.0054.0055.0056.0057.0058.0059.0060.0061.0062.0063.0064.0065.0066.0067.0068.0069.0070.0071.0072.0073.0074.0075.0076.0077.0078.0079.0080.0081.0082.0083.0084.0085.0086.0087.0088.0089.0090.0091.0092.0093.0094.0095.0096.0097.0098.0099.00100.00101.00102.00103.00104.00105.00106.00107.00108.00109.00110.00111.00112.00113.00114.00115.00116.00117.00118.00119.00120.00121.00122.00123.00124.00125.00126.00127.00128.00129.00130.00
Price Probability Distribution
Log-normal
Non log-normal
Asset Price
Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.
This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.
Monte Carlo Simulation ClassWill produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected return and duration.This object is only available in the full version of the add-in.
Examples:
1. Calculating probabilitiesInputs: Results:Upper target 60.00 Probabilities:Lower target 45.00 Above upper target at expirationSpot 50.00 Above upper target at any timeDays 100 Below lower target at expirationVolatility 30% Below lower target at any timeExpected return 10% Touching either targetDividend type D Touching neither targetDividend amount 2.00 Touching both targetsDays to ex dividend 60 Being between targets at any timeNumber of dividends 1Prices per day 1 Average end price:Iterations 2,000
2. Deriving a call price from simulationThis illustrates how simulation can be used to derive the price of an option (in this case a call).The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very closeTo the Black-Scholes price.Inputs: Results:Spot price 100.00Strike 98.00 Call price from simulation:Volatility 30%Days 50 Call price from Black-Scholes:Risk free interest rate 5%Number of iterations 30,000
3. Production of normal distribution curveA simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is proof that the prices produced by the simulation object are Lognormally distributed.Inputs: Results:Current price 90 Gap between prices:Volatility 30%Days 365 PriceExpected return 7% 24Iterations 50,000 26(Change iterations to, say, 5,000 and 28 see the effect) 30
323436
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2426283032343638404244464850525456586062646668707274767880828486889092949698100
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Simulated & Analytic Lognormal Probability Distributions
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38404244464850525456586062646668707274767880828486889092949698
100102104106108110112114116118120122124126128130132134136138140142144
2426283032343638404244464850525456586062646668707274767880828486889092949698100
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Simulated & Analytic Lognormal Probability Distributions
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146148150152154156158160162164166168170172174176178180182184186188190192194196198200202204206208210212214216218220222
Will produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected
Above upper target at expiration 10.1%Above upper target at any time 19.6%Below lower target at expiration 30.8%Below lower target at any time 51.5%
70.5%29.6%
0.6%Being between targets at any time 100.0%
49.36
The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very close
5.82
###
A simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is proof that the prices produced by the simulation object are
Gap between prices: 2Simulation Analytic
Frequency Prob Prob below Prob0 0.000 #MACRO? 0.0000 0.000 #MACRO? ###0 0.000 #MACRO? ###3 0.000 #MACRO? ###3 0.000 #MACRO? ###8 0.000 #MACRO? ###
16 0.000 #MACRO? ###
33 0.001 #MACRO? ###57 0.001 #MACRO? ###
102 0.002 #MACRO? ###125 0.003 #MACRO? ###200 0.004 #MACRO? ###214 0.004 #MACRO? ###303 0.006 #MACRO? ###384 0.008 #MACRO? ###458 0.009 #MACRO? ###530 0.011 #MACRO? ###666 0.013 #MACRO? ###704 0.014 #MACRO? ###863 0.017 #MACRO? ###
1035 0.021 #MACRO? ###1024 0.020 #MACRO? ###1074 0.021 #MACRO? ###1218 0.024 #MACRO? ###1292 0.026 #MACRO? ###1284 0.026 #MACRO? ###1434 0.029 #MACRO? ###1461 0.029 #MACRO? ###1502 0.030 #MACRO? ###1475 0.030 #MACRO? ###1527 0.031 #MACRO? ###1468 0.029 #MACRO? ###1554 0.031 #MACRO? ###1476 0.030 #MACRO? ###1451 0.029 #MACRO? ###1416 0.028 #MACRO? ###1345 0.027 #MACRO? ###1317 0.026 #MACRO? ###1334 0.027 #MACRO? ###1274 0.025 #MACRO? ###1198 0.024 #MACRO? ###1128 0.023 #MACRO? ###1071 0.021 #MACRO? ###1046 0.021 #MACRO? ###973 0.019 #MACRO? ###954 0.019 #MACRO? ###851 0.017 #MACRO? ###858 0.017 #MACRO? ###776 0.016 #MACRO? ###702 0.014 #MACRO? ###678 0.014 #MACRO? ###639 0.013 #MACRO? ###613 0.012 #MACRO? ###583 0.012 #MACRO? ###491 0.010 #MACRO? ###473 0.009 #MACRO? ###428 0.009 #MACRO? ###381 0.008 #MACRO? ###398 0.008 #MACRO? ###352 0.007 #MACRO? ###345 0.007 #MACRO? ###
263 0.005 #MACRO? ###281 0.006 #MACRO? ###223 0.004 #MACRO? ###231 0.005 #MACRO? ###211 0.004 #MACRO? ###202 0.004 #MACRO? ###191 0.004 #MACRO? ###167 0.003 #MACRO? ###146 0.003 #MACRO? ###153 0.003 #MACRO? ###128 0.003 #MACRO? ###121 0.002 #MACRO? ###107 0.002 #MACRO? ###
89 0.002 #MACRO? ###88 0.002 #MACRO? ###80 0.002 #MACRO? ###84 0.002 #MACRO? ###60 0.001 #MACRO? ###68 0.001 #MACRO? ###51 0.001 #MACRO? ###40 0.001 #MACRO? ###48 0.001 #MACRO? ###42 0.001 #MACRO? ###33 0.001 #MACRO? ###33 0.001 #MACRO? ###25 0.001 #MACRO? ###36 0.001 #MACRO? ###14 0.000 #MACRO? ###25 0.001 #MACRO? ###
8 0.000 #MACRO? ###13 0.000 #MACRO? ###18 0.000 #MACRO? ###20 0.000 #MACRO? ###14 0.000 #MACRO? ###
9 0.000 #MACRO? ###13 0.000 #MACRO? ###
4 0.000 #MACRO? ###5 0.000 #MACRO? ###7 0.000 #MACRO? ###
49,919 1.00 ###
HoadleyHedgeReturns an array containing the number of options and/or number of units in theunderlying to achieve specific hedge ratio targets with respect to one or moreof a portfolio's position delta, position gamma and position vega. An examplewould be making a portfolio both delta and vega neutral.This function is only available in the full version of the add-in.
Portfolio examplePortfolio: general valuation details Note: Spot 27.80 1. The function must be entered as an Excel array formula. See helpValuation date 20-Apr-04 for details.Volatility 30.0% 2. Set the "use_underlying" argument to TRUE or FALSE to see the impactRisk free rate 4.00% on hedging of using or not using trades in the underlying.
Portfolio: holdings and current position greeksOptions portfolio: Put or Call Strike Expiry QTY
C 25.00 30-Sep-04 3000C 26.00 31-Aug-04 2000P 27.00 30-Nov-04 -1000P 30.00 30-Jun-04 3000C 30.00 30-Nov-04 -2000
Underlying position: 780Net portfolio position: Current Postion greeks:
Target portfolio hedge ratios (greeks):Required adjustment to portfolio greeks:
Options to be used for adjusting hedge ratiosPut or Call Strike Expiry
Option 1 (currently in portfolio) C 25.00 30-Sep-04Option 2 (currently in portfolio) P 27.00 30-Nov-04
Option 3 (not currently in portfolio) C 28.00 31-Dec-04
Hedging resultsHedge Change in number of unitsType Underlying Option 1 Option 2 Option 3
Delta D #MACRO? #MACRO? #MACRO? #MACRO?Delta, gamma DG #MACRO? #MACRO? #MACRO? #MACRO?
Vega V #MACRO? #MACRO? #MACRO? #MACRO?Delta, vega DV #MACRO? #MACRO? #MACRO? #MACRO?
Delta,gamma,vega DGV #MACRO? #MACRO? #MACRO? #MACRO?
Index
http://www.hoadley.net/options
Help
10
1. The function must be entered as an Excel array formula. See help
2. Set the "use_underlying" argument to TRUE or FALSE to see the impacton hedging of using or not using trades in the underlying.
Delta Gamma Vega#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?
1.000#MACRO? #MACRO? #MACRO?
0 0 0#MACRO? #MACRO? #MACRO?
Delta Gamma Vega Use_underlying#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? 1#MACRO? #MACRO? #MACRO?
Change in position greeks New position greeksDelta Gamma Vega Delta Gamma Vega
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
HoadleyPLExpiryReturns the profit or loss of an option trade at option expiry.
Example:Inputs
Option_type C CNo_options 4,000 -4,000Strike 9.50 11.00Initial_option_price 1.153 0.421
ResultsStock price at expiry 7.50 8.00 8.50 9.00 9.50P/L for option trade 1 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?P/L for option trade 2 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Total deal profit/loss #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Index
Option trade 1
Option trade 2
http://www.hoadley.net/options
Help
7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.50
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10.00 10.50 11.00 11.50 12.00 12.50#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.50
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HoadleyPLIfCloseReturns the profit or loss of an option trade if closed at any time prior to expiry.
Example:InputsPricing_model 2Option_type PNo_options -1,000Strike 50Expiry_date 31-Dec-03Volatility 30%Risk_free_rate 5%Initial_option_price 6.2
Optional arguments:Dividend_type D
Dividend_details Amt Ex-div1.00 10-Apr-03
Binomial_steps 50
ResultsStock price 35.00 40.00 45.00 50.00 55.00Profit/Loss at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Profit/Loss at analysis date 1 31-Mar-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 2 31-Jul-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 3 31-Oct-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Index
Analysis dates
http://www.hoadley.net/options
Help
35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00
0
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Expiry
31-Oct-03
31-Jul-03
31-Mar-03
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123
CPNCD
60.00 65.00 70.00 75.00#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?
35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00
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Expiry
31-Oct-03
31-Jul-03
31-Mar-03
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HoadleyPLUnderlyingReturns the profit or loss of a position in the underlying asset as at a specified date. The function takes into account dividends received or paid.
Example:InputsNo_units 1,000Initial_price 20.00Initial_transaction_date 1-Jan-03Analysis_date 30-Jun-03
Optional arguments:Dividend_type D
Dividend_details Amt Ex-divDividend 1 1.00 1-Mar-03Dividend 2 0.60 1-Jun-03
Results: Payoff diagram for covered callStock price 16.00 17.00 18.00 19.00 20.00Stock P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Call option details:strike: 20.00Initial option price 0.512Option P/L at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Total covered call P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
IndexHelp
16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00
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Stock Price at Expiry
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21.00 22.00 23.00 24.00 25.00#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00
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HoadleyFuturesPriceReturns the forward or futures price of an investment asset.
ExampleInputsCalc_type PValue_date 07-Apr-03Maturity_date 30-Nov-03Spot 102.00Risk_free_rate 3.25%
Optional arguments:Income_type D
Income_details: Amt DateIncome payment 1 (eg coupon) 2.50 04-May-03
Income payment 2 2.50 04-Nov-03
Futures_price
Results -1 Calc Type ResultsFutures price P #MACRO?
Implied risk free rate IR #MACRO?
Results - 2 ResultsStrike: 100Price volatility 12%Call/Put CSpot option (uses spot price): #MACRO?Futures option (uses futures price): #MACRO?This example shows that a European futures option is worthexactly the same as a spot option if the option matures at thesame time as the futures contract. This example proves theconsistency of the futures and options functions.
Index
Option details
Help
CPNCD
HoadleyFuturesConValReturns the profit or loss of a position in the underlyingasset as at a specified date.
ExampleInputsValue_date 10-May-03Maturity_date 03-Dec-03Spot 102.00Delivery_price 98.74Risk_free_rate 2.50%Income_type CIncome_details 2.50%
Results ValueContract value #MACRO?
IndexHelp
NCD
Returns the Value at risk for a portfolio of instruments linearly dependent on market variables.This function is only available in the full version of the add-in.
ExampleInputs
S&P 500 NASDAQ DAX 100 US$/EuroVolatilities 18.5% 37.0% 24.0% 9.7%
S&P 500 NASDAQ DAX 100 US$/EuroCorr_matrix S&P 500 1.00 0.92 0.36 -0.17
NASDAQ 1.00 0.41 -0.15DAX 100 1.00 -0.23
US$/Euro 1.00
S&P 500 NASDAQ DAX 100 US$/EuroPositions (US$) 780,000 -250,000 450,000 300,000
VaR_days 5Conf_interval 1%Trading_days_pa 252
Results ValueValue at risk (US$): ###
Correlation matrix positive semi-definite: ###Overall portfolio volatility: ###
VaRtools - HoadleyVaRLinear
Index
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options
Help
Returns the Value at risk for a portfolio of instruments which may not all be linearly dependent on market variables. Can also be used to generate a set of correlated asset prices.The simulation class must be used from a VBA module (macro); it is not a function.The VaR simulation component is only available in the full version of the add-in.
ExampleInputs - general
Market variable IDs MSFT GenElec 10_Yr_BondCurrent prices (not required for linear assets) 27.60 30.21 4.8%Exchange rates 1 1 1
Annual volatilities 32% 19% 23%Correlation matrix MSFT 1 0.8 -0.2
GenElec 1 -0.1010_Yr_Bond 1
VaR period in days 5Confidence interval 1%Trading days per year 252Simulation iterations 10,000Filter by position type (0 = include all) 0(set to 1 to compare simulated VaR with analytic)
Inputs - Positions
Long holding in stock 1 MSFT 5,520,210Short holding in stock 1 GenElec -1,078,500
Option position (note: position value 2 MSFT 55,300 12,080not required for option position)
Ten year bond (using duration method) 3 10_Yr_Bond 2,200,000 9.3
VaRtools - VaR simulation class
Index
Position type
Market Variable ID
Position value
Position delta, or duration
Position gamma
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options
Help
0123
Results
VaR from simulation 643,213
Analytic VaR for linear positions ###
Error status:OK
linear positions ('filter by position' = 1), the simulated VaR will be very close to the analytic VaR.
Note: When the simulation is filtered to only include
Returns an array mapping future cash flows (eg from bonds) at any time periods to anynumber of user-specified time vertices. The function uses quadratic interpolation topreserve the value and market risk of the original cash flows. The cash flow map canthen be used in the VaRLinear function or in the VaR simulation component.This function is only available in the full version of the add-in.
ExampleInputsStandard time vertices in years (maturity dates) 0.25 0.50 1.00Zero rates with continuous compounding 4.50% 5.00% 6.00%Bond price volatilities (% pa) 0.96% 1.60% 3.20%
0.25 0.50 1.00Correlation matrix 0.25 1.0 0.9 0.6
0.50 1.0 0.71.00 1.0
Cash flows: Maturity Amount0.30 120,0000.80 968,0001.20 875,000
Note: The function must be entered as an Excel array formula (crtl-shift-enter)
Results -1Time vertices (years) 0.25 0.50 1.00Mapped cash flows (PV of equivalent bond positions): ### ### ###
Correlation matrix positive semi-definite: ###Five day VaR at 1% confidence interval: ###
Results - 2: Same result but showing detailed mapTime vertices (years) 0.25 0.50 1.00Cash flow 1: Year received: 0.3; Amount: 120,000 ### ### ###Cash flow 2: Year received: 0.8; Amount: 968,000 ### ### ###Cash flow 3: Year received: 1.2; Amount: 875,000 ### ### ###Total ### ### ###
VaRtools - HoadleyCashFlowMap
Index
Download VaRtools additional samples spreadsheethttp://www.hoadley.net/options
Help
1
23
Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.
ExampleResults
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Note: The function must be entered as an Excel array formula (crtl-shft-enter)
Inputs: Historic closing pricesDate S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £9-Sep-00 1494.50 6600.74 16501.55 6703.36 934.78 1.419012-Sep-00 1489.26 6581.96 16130.90 6675.01 932.19 1.411313-Sep-00 1481.99 6555.52 16040.23 6697.80 922.98 1.403214-Sep-00 1484.91 6478.19 16190.52 6568.89 907.58 1.412515-Sep-00 1480.87 6555.50 16213.28 6637.91 913.68 1.406116-Sep-00 1465.81 6417.30 16213.28 6614.65 910.61 1.398719-Sep-00 1444.51 6410.15 16061.16 6522.38 894.96 1.401420-Sep-00 1459.90 6403.50 16124.19 6529.95 895.87 1.408121-Sep-00 1451.34 6279.87 16458.31 6405.43 878.38 1.410722-Sep-00 1449.05 6199.16 16311.05 6254.77 864.69 1.436723-Sep-00 1448.72 6205.92 15818.25 6258.58 869.69 1.457926-Sep-00 1439.03 6257.13 15992.90 6336.28 879.55 1.453527-Sep-00 1427.21 6213.21 15928.62 6294.06 874.75 1.459228-Sep-00 1426.57 6269.34 15639.95 6319.79 880.92 1.461129-Sep-00 1458.29 6264.06 15626.96 6311.03 883.78 1.463830-Sep-00 1436.51 6294.24 15747.26 6266.63 878.32 1.47643-Oct-00 1436.23 6284.46 15902.51 6349.24 890.32 1.46754-Oct-00 1426.46 6345.04 15912.09 6400.43 890.32 1.45675-Oct-00 1434.32 6334.94 16149.08 6296.13 884.63 1.45616-Oct-00 1436.28 6381.98 16099.26 6335.12 892.67 1.45017-Oct-00 1408.99 6391.23 15994.24 6258.41 877.15 1.445810-Oct-00 1402.03 6264.84 15994.24 6110.06 872.56 1.446511-Oct-00 1387.02 6247.68 15827.72 6143.30 870.75 1.450912-Oct-00 1364.59 6117.63 15513.57 5956.12 855.40 1.460613-Oct-00 1329.78 6131.94 15550.64 5990.70 845.08 1.474314-Oct-00 1374.17 6209.58 15330.31 6064.21 859.07 1.450117-Oct-00 1374.62 6285.73 15512.32 6088.04 857.61 1.446118-Oct-00 1349.97 6203.25 15340.22 6067.15 852.25 1.451119-Oct-00 1342.13 6148.24 14872.48 5937.35 843.10 1.442920-Oct-00 1388.76 6218.91 14811.08 6066.48 862.33 1.446321-Oct-00 1396.93 6276.27 15198.73 6149.44 863.69 1.4509
VaRtools - HoadleyCorrel
Index IndexHelp
24-Oct-00 1395.78 6315.90 15097.96 6182.34 864.96 1.451525-Oct-00 1398.13 6438.38 15148.19 6323.74 884.58 1.450126-Oct-00 1364.90 6367.83 14840.47 6277.90 880.52 1.449927-Oct-00 1364.44 6302.32 14858.43 6208.42 883.86 1.435228-Oct-00 1379.58 6366.55 14582.20 6268.93 899.11 1.454731-Oct-00 1398.66 6388.40 14464.56 6296.84 903.65 1.45121-Nov-00 1429.40 6438.42 14539.60 6397.66 921.39 1.44972-Nov-00 1421.22 6457.61 14872.39 6409.05 918.70 1.45203-Nov-00 1428.32 6392.01 14837.78 6400.31 921.34 1.44594-Nov-00 1426.69 6385.44 14837.78 6398.92 925.15 1.44897-Nov-00 1432.19 6430.99 15371.44 6352.24 928.29 1.42718-Nov-00 1431.87 6466.91 15340.33 6386.07 921.48 1.43439-Nov-00 1409.28 6477.37 15399.64 6336.03 916.65 1.425010-Nov-00 1400.14 6442.19 15060.05 6271.15 912.28 1.432911-Nov-00 1365.98 6400.22 14988.54 6147.49 899.63 1.426714-Nov-00 1351.26 6274.80 14664.64 6037.73 880.44 1.438115-Nov-00 1382.95 6412.90 14660.04 6225.98 906.82 1.431316-Nov-00 1389.81 6432.30 14799.14 6301.78 907.62 1.427317-Nov-00 1372.32 6430.40 14587.03 6283.06 894.88 1.423518-Nov-00 1367.72 6440.10 14544.30 6161.92 885.02 1.423321-Nov-00 1342.62 6344.98 14531.65 6021.79 870.04 1.423422-Nov-00 1347.35 6382.15 14408.46 6081.02 872.17 1.418323-Nov-00 1322.36 6221.36 14301.31 5944.70 855.38 1.406824-Nov-00 1322.36 6287.26 14301.31 6053.04 866.23 1.406825-Nov-00 1341.77 6327.55 14315.35 6145.65 876.65 1.399828-Nov-00 1348.97 6374.69 14720.39 6171.33 879.49 1.417529-Nov-00 1336.09 6249.80 14658.87 6069.22 871.12 1.416330-Nov-00 1341.91 6164.88 14507.64 6060.65 873.23 1.42291-Dec-00 1314.95 6142.20 14648.51 5928.08 849.89 1.42652-Dec-00 1315.23 6170.42 14835.33 5928.50 859.23 1.44165-Dec-00 1324.97 6158.67 14954.73 5791.51 846.16 1.45106-Dec-00 1376.54 6298.98 14695.05 5994.89 868.39 1.43387-Dec-00 1351.46 6273.32 14889.37 5985.24 873.11 1.44348-Dec-00 1343.55 6231.37 14720.36 5984.69 867.90 1.44479-Dec-00 1369.89 6288.33 14696.51 5939.32 874.94 1.445312-Dec-00 1380.20 6370.35 15015.70 6077.88 888.85 1.456313-Dec-00 1371.18 6390.41 15114.64 6047.66 884.02 1.448414-Dec-00 1359.99 6402.96 15168.68 5962.29 870.58 1.456915-Dec-00 1340.93 6263.81 14927.19 5905.65 855.08 1.456416-Dec-00 1312.15 6175.81 14552.29 5839.54 843.69 1.456419-Dec-00 1322.74 6246.48 14483.90 5887.49 843.96 1.475620-Dec-00 1305.60 6294.98 14132.37 5958.86 857.91 1.465321-Dec-00 1264.74 6176.71 13914.43 5766.30 831.38 1.478622-Dec-00 1274.86 6115.48 13423.21 5758.92 824.13 1.473523-Dec-00 1305.97 6097.53 13427.08 5783.73 828.88 1.481826-Dec-00 1305.97 6097.53 13931.61 5783.73 828.88 1.481827-Dec-00 1315.19 6097.53 14007.85 5783.73 828.88 1.481828-Dec-00 1328.92 6218.17 13981.49 5857.15 835.87 1.481829-Dec-00 1334.22 6223.22 13946.96 5920.60 839.78 1.481830-Dec-00 1320.28 6222.46 13785.69 5926.42 851.29 1.49602-Jan-01 1320.28 6222.46 13785.69 5926.42 851.29 1.4960
Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.
US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?
US$/Yen US$/EURO 0.0094 0.86640.0094 0.86180.0094 0.86070.0093 0.86460.0093 0.86140.0093 0.86310.0094 0.85440.0093 0.85360.0094 0.84750.0094 0.85290.0093 0.88170.0093 0.87330.0093 0.88010.0093 0.88130.0093 0.88290.0093 0.88250.0092 0.88170.0092 0.87640.0091 0.87280.0092 0.86950.0092 0.86970.0092 0.86900.0093 0.86820.0093 0.87390.0093 0.86250.0093 0.85950.0092 0.84860.0092 0.84990.0093 0.84760.0092 0.83960.0092 0.8376
0.0092 0.83600.0093 0.83720.0092 0.82870.0092 0.82900.0092 0.84270.0092 0.84500.0092 0.84760.0092 0.85760.0092 0.86010.0093 0.86360.0093 0.86120.0093 0.86070.0093 0.85630.0093 0.85890.0093 0.86350.0093 0.86010.0092 0.85810.0092 0.85940.0092 0.85430.0092 0.85270.0091 0.84890.0091 0.84560.0091 0.84330.0091 0.84210.0090 0.83980.0090 0.84890.0091 0.85500.0090 0.86010.0091 0.87050.0090 0.87300.0090 0.88940.0090 0.88500.0091 0.88460.0090 0.88980.0090 0.88810.0090 0.87790.0090 0.87720.0089 0.87560.0089 0.88740.0089 0.89750.0089 0.89580.0089 0.89110.0089 0.90680.0089 0.91410.0089 0.92350.0089 0.92350.0089 0.92890.0089 0.93060.0089 0.92570.0087 0.93890.0087 0.9389
Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.
ExampleResults
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £ US$/YenS&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Note: The function must be entered as an Excel array formula (crtl-shft-enter)
Inputs: Historic closing pricesThis is examples uses the closing prices on the Correl sheet.
VaRtools - HoadleyCorrelEWMA
Index
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options
Help
Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.
US$/EURO #MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?
Returns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.
ExampleResults
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £ US$/YenS&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Note: The function must be entered as an Excel array formula (crtl-shft-enter)
Inputs: Historic closing pricesThis is examples uses the closing prices on the Correl sheet.
VaRtools - HoadleyCovar
Index
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US$/EURO #MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?
Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.
ExampleResults
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £ US$/YenS&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Note: The function must be entered as an Excel array formula (crtl-shft-enter)
Inputs: Historic closing pricesThis is examples uses the closing prices on the Correl sheet.
VaRtools - HoadleyCovarEWMA
Index
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Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.
US$/EURO #MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?
Converts asset volatilities and correlations to a covariance matrix of a specified number of days.The default matrix is for a period of one day.This function is only available in the full version of the add-in.
ExampleInputs
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £
Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?(daily) FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Notes: 1. The above matrix should be the same as the covariance matrix on the covar sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)
VaRtools - HoadleyCorrToCovar
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US$/Yen US$/EURO #MACRO? #MACRO?
US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?
US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?
Converts a covariance matrix to a correlation matrix.This function is only available in the full version of the add-in.
ExampleInputs
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £
Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Notes: 1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)
VaRtools - HoadleyCovarToCorr
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US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?
US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?
Checks that a matrix (correlation, covariance) is positive definite.The VaR simulation component requires positive definite matrices in order togenerate correlated scenarios using the Cholesky decomposition.This function is only available in the full version of the add-in.
ExampleInputs and Results
Matrix
Positive definite (and therefore also 1.0 0.5positive semi-definite 0.5 4.0 #MACRO? #MACRO?
Not positive definite but 1.0 2.0positive semi definite 2.0 4.0 #MACRO? #MACRO?
Neither positive definite nor -1.0 2.0positive semi-definite 2.0 2.0 #MACRO? #MACRO?
VaRtools - HoadleyCheckPD
Index
Positive definite
Positive semi-definite
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Checks that a matrix (correlation, covariance) is positive semi-definiteThe HoadleyVaRLinear functions requires positive semi-definite matrices.This function is only available in the full version of the add-in.
ExampleSee the examples on the CheckPD sheet
VaRtools - HoadleyCheckPSD
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Returns the volatility of a portfolio consisting of any number of linearinstruments.This function is only available in the full version of the add-in.
ExampleInputs
Volatilities 15.0% 17.5%Expected annual returns 10% 13%
US EAFECorrelation matrix US 1.00 0.35
EAFE 1.00
Matix positive semi-definite? ###
Results: Portfolio scenarios
0% 100% 13.0% ###5.00% 95% 12.9% ###
10.00% 90% 12.7% ###15.00% 85% 12.6% ###20.00% 80% 12.4% ###25.00% 75% 12.3% ###30.00% 70% 12.1% ###35.00% 65% 12.0% ###40.00% 60% 11.8% ###45.00% 55% 11.7% ###50.00% 50% 11.5% ###55.00% 45% 11.4% ###60.00% 40% 11.2% ###65.00% 35% 11.1% ###70.00% 30% 10.9% ###75.00% 25% 10.8% ###80.00% 20% 10.6% ###85.00% 15% 10.5% ###90.00% 10% 10.3% ###95.00% 5% 10.2% ###
100.00% 0% 10.0% ###
VaRtools - HoadleyPortfolioVol
Index Index
US equities
EAFE equities
% US equities
% EAFE equities
Portfolio return
Portfolio volatility
Help
13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%
9.5%
10.0%
10.5%
11.0%
11.5%
12.0%
12.5%
13.0%
13.5%Efficient Frontier
Portfolio VolatilityP
ort
foli
o R
etu
rn
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13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%
9.5%
10.0%
10.5%
11.0%
11.5%
12.0%
12.5%
13.0%
13.5%Efficient Frontier
Portfolio Volatility
Po
rtfo
lio
Re
turn
100% US
100% EAFE
HoadleyGetQuotesA subroutine which can be called from a VBA module to return stock quotes from Yahoo.
ExampleClick on heading fields below to select/change columns
Symbol Name Date Last Trade Change
IBM INTL BUS MACHINE 27-Dec-02 77.36 -1.14MSFT MICROSOFT CP 27-Dec-02 52.97 -0.42Dell DELL COMPUTER 27-Dec-02 27.02 -0.36GE GENERAL ELEC CO 27-Dec-02 24.70 -0.41F FORD MOTOR CO 27-Dec-02 9.58 -0.21C CITIGROUP 27-Dec-02 35.17 -0.85BA BOEING CO 27-Dec-02 32.33 -0.30BAC BANK OF AMERICA 27-Dec-02 69.17 -0.67MER MERRILL LYNCH 27-Dec-02 38.30 -1.24XOM EXXON MOBIL 27-Dec-02 34.64 -0.68
ANZ.AX ANZ BANKING GRP 27-Dec-02 17.70 0.03NCP.AX NEWS CORP 27-Dec-02 11.81 -0.16
#VALUE! (yahoo format string) Unhide YahooFormatString sheet to view format character table
Index
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Click on heading fields below to select/change columns
Day's High Day's LowClick on column
79.18 76.61 77.25 headings to change54.00 52.9 52.86 selection.27.45 26.83 27.0325.30 24.54 24.75
9.80 9.53 9.6436.06 34.85 35.1733.09 32.14 32.3370.20 68.9 69.1239.48 38.08 38.2735.52 34.6 34.58
17.74 17.53 17.711.93 11.76 11.81
Unhide YahooFormatString sheet to view format character table
Last Trade (Real-time)
HoadleyRateConConverts a rate or yield from one compounding frequency to another. eg quarterly to continuously compounded.
ExampleInputsRate to be converted 10.000%source_frequ 4target_frequ 0
ResultsConverted rate: #MACRO?
Converted back to original rate: #MACRO?
Index
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