The Excel Derivatives Periscope



Function Price within Tradable computes the fair price in units of the provided reference at which the given tradable can be traded on the provided date, taking into account the provided Market and Model data.
Optionally additional information, such as the market risk, may be computed and reported.

Function Price Simple within
Tradable calculates the price of the caller tradable using a simple set of input data.

Function VaR within
Tradable returns the Value at Risk for holding the referenced Tradable for a specified time interval.
The exact definition of the computed Value at Risk is supplied as an input object of type
VaR Spec

Function Get Settlement Date within
Tradable returns the settlement date corresponding to some given Quote Date
This is the date when the referenced Tradable legally changes ownership from seller to buyer.

Function Get Market Spot Price within
Tradable returns the default spot price under which the supplied tradable is supposedly traded, before it is overriden by any user-supplied market data.
If a real time data provider exists, then this will be just the price delivered by that provider.
On the absence of such a provider, a fixed value is returned, which is not the result of a calculation.
Note this value is used in the initial construction by Deriscope of relevant default market data.

Function Get Equivalent Tradable within
Tradable contructs and returns an object of type Tradable that is in all respects equivalent to the caller tradable.
Not only the spot price of the returned object is calculated to be the same as that of the caller, but also the whole dynamis of its future price evolution.
The equivalent tradable may be a single tradable or a

Function Implied Vol within
Tradable returns the implied volatility of the given tradable and its corresponding price.
This is the volatility that results to a price that matches the provided target price.
For now, the valuation algorithm cannot be specified by the user.
It is hard-coded to be the analytic Black Scholes Merton for europeans and the Finite Differences Crank Nicolson for bermudans and americans.