Deriscope™ is an Excel Add-In freeware specializing in derivatives valuation. It helps you create spreadsheets with real time data (stock and fx live quotes) that deal with the pricing of options and financial derivatives in general. It draws on QuantLib's analytical power to calculate the price, risk and various other properties of selected financial instruments as described in detail at Scope .

Deriscope facilitates data input by supplying instrument definitions filled with typical values that you may replace with your own custom data. It also supplies certain live market data, such as stock tickers and current prices,

Deriscope also significantly simplifies the process of spreadsheet construction through an included spreadsheet generation tool.

Deriscope makes no attempt to sanitize the output of QuantLib algorithms. This is so by design so that Deriscope may be also used as a QuantLib test tool. For example the "AnalyticBarrier" pricing method calculates option prices as if the rebate were zero, even if a non-zero rebate is provided. This is obviously a QuantLib bug, but Deriscope still outputs the calculated wrong price. As a second example, the "FDHestonHullWhiteVanilla" pricing method in combination with a Finite Difference Scheme of type "ExplicitEuler" results in negative option prices. Again Deriscope respects the QuantLib processing and reports the faulty prices. It is up to the user to decide which QuantLib models still belong to development stage and are therefore prone to errors.

Deriscope is free. You may start using it right now. Simply go to Download page to get the latest available version.

The following are some of Deriscope's advantages that distinguish it from other similar products in the market:

Excel Integration

Not without a reason Excel is the main productivity tool of option traders around the world. Even though several applications exist that are capable of financial instruments price valuation, they nonetheless constrain user interaction to within some proprietary user interface program. Typically these proprietary programs lack the flexibility Excel offers with respect to common tasks, such as copying and pasting values around and modifying them through custom formulas. As a result, a derivatives analyst often must carry out the pricing of options in the proprietary application and then copy and paste the results in Excel, where one can continue with the analysis. In a real world this approach is implemented through automatic, behind the scenes, transfer of data between Excel and the pricing application. Unfortunately due to the enormous data complexity involved, this Excel - Pricing Application link is fragile and not readily extensible to new option products.

Deriscope addresses this problem simply by not wasting resources into building some proprietary user interface program. It just employs Excel as its sole graphical user interface program. Why reinvent the wheel with respect to data input / output since Excel already does an excellent job in that field? So Deriscope capitalizes on Excel's ability to manage data inputs and outputs and leverages it by supplying a computational power backed up by QuantLib. It is not a stand-alone executable application, but rather an Excel Add-In that is loaded automatically in Excel when the latter starts. It does not litter Excel's existing menu (or ribbon in the latest versions) with its own items. It only creates a taskpane that is visible on the right and acts as both information board and workplace in real-time interaction with the spreadsheet contents. Choices made by you on the taskpane affect the spreadsheet and, inversely, spreadsheet selections leave their mark on the taskpane!

Analytics Reliability - QuantLib

When using a third party software for financial product valuation, the most critical question is, how accurate the numbers produced by that software are. Particularly in the world of financial derivatives, the mathematical complexity of the pricing algorithms is so great that very few companies endeavour into producing and maintaining their own code. Most banks for example simply rely on the prices offered to them by external entities who claim to understand the complex financial options and their risks. In reality, very few companies are in possession of robust analytics libraries that cover a broad area of options and derivative products in general. These companies are typically not willing to share their option pricing expertise with third parties.

Rather than relying on proprietary analytics, Deriscope delegates the option pricing job to the QuantLib software library, which has been in existence since the year 2000 and is actually used by thousands professionals worldwide. In a sense Deriscope acts as the Excel interface to the QuantLib pricing library. This fact bestows Deriscope with the reliability sought by the average user with regard to number accuracy. In other words, Deriscope is necessarily as reliable as QuantLib with regard to both the mathematical algorithms as well as their implementation, since it makes direct use of the binary QuantLib library.

This fact also makes Deriscope an excellent way to get acquainted with QuantLib and test its several features and models directly in Excel without the need to use a programming language.

More related info at Technology page.

User Friendly Interface

This is probably what places Deriscope way apart from its competitors.

Most of "Options Calculator" type of products employ their own graphical user interface, as mentioned above. This allows them to structure the work area with several columns, rows, tabs and extra windows in order to facilitate user interaction. Unfortunately the same strategy fails handsomely when the "Options Calculator" app runs in Excel. As a result, practically all Excel-based Options Calculators consist of a bunch of regular Excel formulas with ugly long names, which you are expected to know and remember. Even worse, these formulas expect comma separated values as input, which are impossible to know or understand without an open manual set aside.

Deriscope puts an end to this suffering by incorporating just one single spreadsheet formula, called ds, from the Deriscope's initials. In most cases this formula simply takes as input a single spreadsheet range containing the required data in form of key/value pairs. This makes both the spreadsheet and the formulas extremely readable and maintainable.

Even more, very seldom would you opt to type the formula by hand in Excel's formula entry bar. Deriscope provides a convenient button in its dedicated taskpane which can be used to paste the ds formula along with its input data in the selected spreadsheet range.

What about if one doesn't know where to start, in order to accomplish one's task, let's say pricing a Stock Option that has certain properties, for example being "american" and expiring in 63 days?

Well, no manual is needed! The Deriscope taskpane provides "browsers" that allow you to browse through the available instruments - thus selecting the "Stock Option" instrument -, then browse through the available functions for the chosen instrument - thus selecting the "Price" function - and finally browsing through the possible input data for the chosen function - thus selecting "american" and "63 days". So in a few seconds, an Excel formula delivering the price of this particular Stock Option, will have been pasted in the selected spreadsheet cell. Afterwards, this formula can be manipulated in the spreadsheet just like any other Excel formula.

What about the more complex situation where you want to set up a whole workbook containing instrument definitions, model parameters, market data and a section where the "output" with the derivative's price and risks are reported?

Most - if not all - competitors currently solve this need by providing a static set of so called "template spreadsheets", which demonstrate how such a workbook is built.

This approach suffers from 4 issues:

a) It is "static". This means it relies on "template spreadsheets" that are like snapshots that cannot adjust to a changing environment. If a week later a new application update is installed - perhaps for fixing some pricing bugs -, it often happens that the static snapshots called "template spreadsheets" are not also updated so that they are not any more in synch with the actual formulas.

b) The correct "template spreadsheet" that corresponds to your need must be identified and located by you. Not an easy task in certain cases!

c) Several instrument variations often require workbooks that do not exactly fit with the master "template spreadsheet". It is practically impossible for the authoring company to provide "template spreadsheets" for each imaginable situation. So the standard practice is to provide just a few ones that cover the most representative areas and let you use your imagination on how to tweak things around to match the needs of a side variety.

d) The "template spreadsheet" contains dummy data that bear no relation to what you envision to use. In effect, you must visit every single cell containing input to involved formulas and replace its content accordingly.

Deriscope solves all the afore-mentioned issues in the most elegant fashion imaginable. It does not rely on static "template spreadsheets". It rather creates the required "template spreadsheets" on the fly through a proprietary workbook generator. This generator takes into account the data you have input in the taskpane so far and creates from scratch a new workbook that contains all the sections and sheets required to accomplish the requested task.

Information Everywhere

You want to price an option and you notice there is a field called "volatility" where your entry is expected. Of' course, having a Master and two Ph.Ds, you know what volatility means. The problem is, there are several definitions for volatility around. Many of those definitions are actually applicable to your current context. In a situation like this, you would be glad to work with Deriscope, because you would instantly see your answer to your question at the taskpane's bottom - an area exclusively reserved for information display.

Deriscope has promoted "Information" to one of its founding pillars because we are very aware of the constant frustration field practitioners feel due to the lack of exact definitions of fields where they are supposed to enter values. A wrongly interpreted field would lead to an equally wrong data entry resulting ultimately to a wrong output.

Another unique feature of the kind of information Deriscope delivers, is that it is dynamically created taking into account the current context. This allows it to be composed, not just of text, but also of dynamic entities that change as the context changes, such as numbers, charts or links to other objects.

Apart from "usage" type of information, Deriscope also enhances numerical outputs with relevant dynamically generated information. So, for example, a delta calculation output consisting of the number .043 will be also accompanied with some text explaining how this number is to be interpreted, for example something similar to "refers to the change in the option's price caused by a 1 unit increase in the underlying's price, divided by that increase". As a matter of fact, because the information is generated dynamically, the words "option" and "underlying" above would be replaced by the links to the actual instruments involved. Similarly the actual numerical values of the base option price and the unshifted underlying price would be also shown integrated in the information message.

Finally Deriscope brings information relay to its ultimate frontiers with its unique ability to create dynamic textual reports on the actual evolution of the pricing algorithm. If most commercial pricing systems behave like black boxes with regard to their employed algorithms, Deriscope is the ultimate "open box", in the sense that the curious user is able to follow the pricing algorithm step-by-step in real time. This feature comes particularly handy, when things go wrong, often due to incorrect data entry. Deriscope's capacity to trace its own steps and convert them to words, allows it to provide you with informative error messages when a fault occurs.

Automated Tasks

Deriscope automates most of your spreadsheet work except direct input data entry. It sets up the appropriate Deriscope formula for you and then pastes it in the area you indicate. It supplies you with a list of valid values anywhere - both in taskpane and spreadsheet - you need to enter some value. It even creates a whole workbook for you that contains all the formulas required for a specific pricing job neatly separated in sheets and sections.

Live Feeds

Stock tickers and associated live and historical prices for a number of countries worldwide are made available to the end user through a link to the free service of Yahoo Finance. Deriscope cannot guarantee the accuracy or the timely update of the displayed "live" data. Note that most "live" data reported by Yahoo Finance are actually time delayed, generally up to 20 minutes.

It is likely that Deriscope will be integrated with some true live data source in the future, but this could translate into a significant cost to the end user, as robust live feed providers are quite expensive.

In case you have already access to third party live feeds, you should be able to input the respective live feed formulas directly into the spreadsheet cells as needed. In this manner you can integrate the existing live feeds with the Deriscope analytics at the spreadsheet level. Watch this video tutorial for more information on how to work with live feeds through Deriscope.

Who may need Deriscope?

If you are a QuantLib user, then given the fact that Deriscope acts as a user-friendly Excel interface to QuantLib, you should be able to draw a couple of benefits by using it. In particular it could enable you to research QuantLib's vast analytical possibilities by simply trying them out on the spreadsheet! You could thus set up spreadsheets containing various QuantLib modelling assumptions applied to various derivatives and compare the results. This would help you gaining a better understanding of the pros and cons of each model in a given market and instrument context. This is, as the matter of fact, the due diligence followed by experienced traders before undertaking trading activity on a new product. The analytical models may be available, but they must be first analysed and understood!

Perhaps for similar reasons, you would be interested in Deriscope if you are faculty member or student in a financial discipline involving derivatives pricing. Clearly it is infinitely more productive to set up your scenarios in Excel and have all output indicators and charts immediately displayed than code your painstaking MATLAB routines. It may thus be supportive of conducting stress analysis of various modelling assumptions and / or market states that would be part of a dissertation or thesis.

Last, but not least, comes the finance professional.

You could be a sales person, who would love to prepare some market risk Excel charts on the fly before a client meeting.

Or a risk analyst in a model validation team, who would like to double check the front office unrealised P&L against some neutral benchmark model. QuantLib offers quite a few models and now they are finally accessible through Deriscope in a user-friendly fashion that can deliver quick results without a prior steep learning curve.

Or perhaps a trader on a smaller institution that lacks the infrastructure needed to properly evaluate the risks in your trading book.

Deriscope in action!

Pricing a Stock Option
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  • Screenshot

Video tutorials available!