Documentation



Deriscope Documentation as of 2023-04- 5

The information exposed below is extensive and almost complete.

A quick and practical introduction to understanding and using Deriscope is best served by the Quick Guide

Documentation on the Excel Interface is avalable at Excel Integration

Documentation on the Deriscope functions exported to Excel is avalable at Deriscope Excel Functions

Documentation on using Deriscope in Visual Basic is available at Deriscope VBA

Documentation on using Deriscope to access real time prices, historical data and company financial information in Excel is avalable at Introduction to Deriscope: Live Feeds

The FAQ page contains a list of Frequently Asked Questions.

The section below is a fairly complete list of supported products and methodologies created programmatically directly from the Deriscope source code and therefore expected to faithfully reflect its state.
It pertains to Quantlib Version 1.28
ORE Version 1.8.7.0

There exist 57 financial products handled by Deriscope that are all regarded as special cases of the Deriscope Type Tradable
Tradable is one of the main Deriscope Types shown in the hierarchical chart below.
You may click on any graphical element to explore the corresponding type and also see the list of all its direct subtypes



A similar hierarchical chart of all financial products - i.e. subtypes of the Tradable type - is shown below:



The financial products may be alternatively segregated in flat - i.e. non-hierarchical - fashion under the following asset classes:

   Equity Products (18)
   Foreign Exchange Products (21)
   Commodity Products (18)
   Interest Rate Products (31)
   Credit Products (17)
   Hybrid Products (12)

Just like all financial products are represented in Deriscope as subtypes of Tradable, all curves are represented as subtypes of Valuation and are listed below:

DERISCOPE CURVE TYPES

Cor Curve

Credit Curve

Dividend Curve

Historical Values

Infl Curve

Price Value

Prices

Stock Prices

Vol Curve

Yield Curve

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In particular, a Yield Curve can be generally built by using any combination of market data of the types listed below:

YIELD CURVE BUILDING BLOCKS

Flat Rate

Use Discount Factors

Use Overnight Rate Jumps

Use Deposits

Use Futures

Use Forwards

Use Ibor Swaps

Use Bonds

Use OIS

Use BMA

Use FX Forwards

Use FX Basis Swaps

Use Tenor Basis Swaps

Use Implied Crv

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The Curve Building page describes the usage of the very important Yield Curve type and also includes a hierarchical tree of all market and curve constructs that are required in the pricing of financial instruments.