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 types of derivatives such as options, interest rate swaps, swaptions, credit default swaps, inflation swaps, basket options etc.
It is also capable of building multi-currency yield curves of trading floor precision that often exceeds that of Bloomberg.
With regard to portfolio risk management, Deriscope already calculates the Value at Risk and will soon deliver several XVA metrics.
Finally, if integration with a company's other processing systems is desired, Deriscope may be accessed without Excel's intervention through xml-based data exchange.
Deriscope draws on QuantLib's analytical power to calculate the price, risk and various other properties of all the financial instruments listed under Coverage. It also makes use of a QuantLib extension called ORE, sponsored by Quaternion Risk Management for pricing instruments not available in QuantLib and calculating portfolio analytics such as VaR and XVA. Deriscope facilitates data input by supplying instrument definitions filled with typical values that you may replace with your own custom data. Deriscope also significantly simplifies the process of spreadsheet construction through an included spreadsheet generation tool. You may start using Deriscope right now, without registration or license. 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:
Live prices of various securities such as stocks, options, commodities, currencies, cryptocurrencies as well as historical prices and statistical indicators are displayed in the spreadsheet from several different providers as described in detail in my Introduction to Deriscope – Part 5: Live Feeds.
Feeds from Yahoo Finance, IEX, IEXTops and TrueFX do not require a paid subscription with the respective provider.
Feeds from Marketstack, Alpha Vantage and Finnhub are free up to a certain daily bandwidth.
IEXTops and TrueFX even provide non-delayed bid and ask quotes. You may download for free the respective realistic trading simulator spreadsheets that utilize these quotes and find out if you can consistently make a profit by trading stocks and currencies without risking your own money.
The formula syntax for live quotes is very simple and uniform across the providers.
For example, to get the real time price of the Microsoft stock from Yahoo Finance, you need to enter the formula =dsGet("YF","MSFT","Price")
At another cell you may enter =dsGet("IEX","MSFT","Price") to get the Microsoft price from IEX, although accessing IEX would return an error if you have not yet received your free user key from that provider, as explained at Introduction to Deriscope – Part 5: Live Feeds.
Deriscope also allows you to receive live prices on several tickers in one stroke incredibly fast! For example, only one second is needed for all 500 stocks in the S&P500, where other apps often break down if the number of symbols is too big.
The following very short (30 sec) videos show the few mouse clicks that generate the required asynchronous spreadsheet formulas:
How to easily get asynchronous Real Time Stock Prices in Excel
How to easily get asynchronous Real Time Forex Rates in Excel
How to easily get Historical Data in Excell
Below is how my spreadsheet looks when live feeds are fetched asynchronously every single second from three providers (Yahoo Finance, IEX, TrueFX) simultaneously: green for upticks, red for downticks
Historical time series of security prices or statistical indicators - such as moving averages - can be similarly requested for several ticker symbols simultaneously and from different providers.
Deriscope can combine the received feeds into one single output table with predefined ordering, filtering and merging of values.
This is all achieved with the very simple and intuitive spreadsheet formula =dsLive(r) that takes as input the single cell or range r.
As an example, below you see how I am combining three different requests, one to Yahoo Finance for historical stock prices and two to Alpha Vantage for historical SMA (Simple Moving Average) and MOM (Momentum), in order to get a single output table:
Deriscope is fully integrated with Excel. All Excel versions - both 32 and 64 bit - from 2000 to the latest 2019, including the Office 365, are supported. It does not litter Excel's existing menu (or ribbon in the latest versions) with its own items. It only displays a dedicated task pane that acts as both information board and workplace in real-time interaction with the spreadsheet contents.
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 of 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. 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 details at the Technology page.
Deriscope is designed in such a way that it can be used immediately to build and price complex derivative instruments without the need of prior training. The dedicated task pane allows you to browse through all available instruments and functions. After you have made your function selection, you may browse and edit the respective input parameters and finally generate a regular spreadsheet formula that may be inserted in any cell. You can then manipulate this formula directly in the spreadsheet just like any other Excel formula without the need of the dedicated task pane.
You will never need to consult a manual in order to understand the meaning of the hundreds of functions and their input parameters that are accessible through Deriscope. Context based information is dynamically generated in real time and displayed in the dedicated task pane. You may even enquire the actual steps undertaken by the pricing algorithm to better diagnose potential data entry errors.