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Deriscope | Options & Derivatives Pricing and Risk Valuation Freeware in Excel
Deriscope | Options & Derivatives Pricing and Risk Valuation Freeware in Excel
Technology: Excel Calculator for Financial Derivatives & Options Valuation
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Version History of Deriscope
Knowledge Base
Papers: Mathematical Finance
    
docs/ 20 pages
https://www.deriscope.com/docs/Barone_Adesi_Whaley_1987.pdf
https://www.deriscope.com/docs/Bates_1996.pdf
https://www.deriscope.com/docs/Black_Scholes_1973.pdf
https://www.deriscope.com/docs/Longstaff_Schwarz_2001.pdf
https://www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf
https://www.deriscope.com/docs/Hagan_West_curves_AMF.pdf
https://www.deriscope.com/docs/Hagan_2002.pdf
https://www.deriscope.com/docs/BlackScholesFormula.pdf
https://www.deriscope.com/docs/BjerksStensland.pdf
https://www.deriscope.com/docs/Ju_1999.pdf
https://www.deriscope.com/docs/Demeterfi.pdf
https://www.deriscope.com/docs/Beaglehole_Dybvig_Zhou_1997.pdf
https://www.deriscope.com/docs/Kluge_SwingOptions_2006.pdf
https://www.deriscope.com/docs/Hambly_Howison_Kluge_SwingOptions_2007.pdf
https://www.deriscope.com/docs/Heston.pdf
https://www.deriscope.com/docs/Merton_1976.pdf
https://www.deriscope.com/docs/One_Factor_GSR_Peter_Caspers_2013.pdf
https://www.deriscope.com/docs/Markov_Functional_Peter_Caspers_2013.pdf
https://www.deriscope.com/docs/ActActAfb.pdf
https://www.deriscope.com/docs/ActActIcma.pdf
    
hesk/ 4 pages
Deriscope Help Desk
Deriscope Help Desk - Submit a ticket
File upload limits
Deriscope Help Desk - Knowledgebase
         
admin/ 3 pages
Deriscope Help Desk - Staff login
Deriscope Help Desk - Password reset
Deriscope Help Desk - Staff login
    
issues/ 61 pages
List_of_identified_Issues
List_of_identified_Bugs
List_of_identified_Warnings
CreditCurve_BootstrapFailureSurvivalProbabilityConvexMonotone
CreditCurve_BootstrapFailureHazardRateCubic
CreditCurve_BootstrapFailureDefaultDensityCubic
CreditCurve_BootstrapFailureHazardRateForwardFlat
CreditCurve_BootstrapFailureDefaultDensityForwardFlat
CreditCurve_BootstrapFailureHazardRateLogCubic
CreditCurve_BootstrapFailureDefaultDensityLogCubic
CreditCurve_BootstrapFailureHazardRateLogLinear
CreditCurve_BootstrapFailureDefaultDensityLogLinear
CreditCurve_BootstrapFailureHazardRateMixedLinearCubic
CreditCurve_BootstrapFailureDefaultDensityMixedLinearCubic
MarkovFunctional_KahaleInterpolationCrash
MarkovFunctional_SwapRateDayCount
InflationCurve_BootstrapFailureLogCubic
InflationCurve_BootstrapFailureLogLinear
InflationSwap_StartDateAfterMaturity
VanillaOption_FDAmerican_TimeDependent
VanillaOption_FDBermudan_TimeDependent
VanillaOption_AnalyticGJRGARCH_NegativeOptionPrice
VarianceSwap_MonteCarlo_WrongPathVol
YieldCurve_BootstrapFailureForwardFlat
YieldCurve_BootstrapFailureLogCubic
YieldCurve_BootstrapFailureLogLinear
MultiAssetOption_PayAtExpiry_Ignored
MultiAssetOption_Mixed_StartDateIgnored
CDS_SuitableCreditCurve
Bond_SettlementDaysIgnored
Bond_IssueDateIgnored
Bond_AccrualScheduleDayCountIgnored
FixedRateBondForward_IssueDateAfterBondMaturity
ForwardStartOption_Payoff_VanillaOnly
Bond_IndexIgnored
QuantoForwardStartOption_Payoff_VanillaOnly
VanillaOption_BaroneAdesiWhaleyApprox_On_NonAmerican
VanillaOption_BjerksundStenslandApprox_On_NonAmerican
VanillaOption_JuQuadraticApprox_On_NonAmerican
VanillaOption_FdBlackScholesVanilla_On_Mixed
VanillaOption_FDEuropean_On_NonEuropean
VanillaOption_FDDividendEuropean_On_NonEuropean
VanillaOption_FDAmerican_On_NonAmerican
VanillaOption_FDDividendAmerican_On_NonAmerican
VanillaOption_FDBermudan_On_Mixed_American
VanillaOption_FdHestonVanilla_On_Mixed
VanillaOption_FdBatesVanilla_On_Mixed
VanillaOption_FdHestonHullWhiteVanilla_On_Mixed
VanillaOption_MCEuropean_On_NonEuropean
VanillaOption_MCAmerican_On_Mixed_European
VanillaOption_MCEuropeanGJRGARCH_On_NonEuropean
VanillaOption_MCEuropeanHeston_On_NonEuropean
VanillaOption_AnalyticBarrier_On_NonEuropean
VanillaOption_MCBarrier_On_NonEuropean
VanillaOption_PayAtExpiry_Ignored
VanillaOption_AnalyticBarrier_NegativeRebateIgnored
VanillaOption_HestonModel_Discretization_QuadraticExponentialMartingale
VanillaOption_GJRGARCHModel_Discretization_FullTruncation
VanillaSwaption_MarketModelBermudan
VarianceSwap_StartDateIgnored
VarianceSwap_OnlyPositiveStrike
    
products/ 390 pages
Products
Tradable_Group
Equity_Products_(15)
Foreign_Exchange_Products_(15)
Commodity_Products_(16)
Interest_Rate_Products_(19)
Credit_Products_(10)
Hybrid_Products_(6)
Yield_Curve
Vol_Curve
Dividend_Curve
Credit_Curve
Inflation_Curve
Historical_Values
Prices
Type
Tradable__Price
Currency
Stock
Stock_Option
Bond_Group
CapFloor
Commodity
Issuer
Option_Group
Swap_Group
Trading_Strategy_Group
Asian_Option
Basket_Option
Cliquet_Option
Lookback_Option
Option_On_Maximum
Option_On_Minimum
Portfolio
Quanto_Option
Spread_Option
Stock_Index_Option
Stock_Index_Portfolio
Variance_Swap
FX_Option
Commodity_Option
Storage_Option
Swing_Option
BMA_Swap
CMS
FixedFloat_IRS
Fixed_Float_Swaption
FloatFloat_IRS
Float_Float_Swaption
Overnight_Index_Swap
Vanilla_IRS
Vanilla_Swaption
Asset_Swap
BTP
CCTEU
CDS
CMS_Rate_Bond
Fixed_Rate_Bond
Ibor_Rate_Bond
Zero_Bond
Inflation_Bond
Inflation_Option
Inflation_Swap
Trading_Strategy
Valuation
discount_factor0
Yield_Curve__Futures_Input
Yield_Curve__Build_Method
Yield_Curve__Modelled_Qty
Interpolation__Interpolation_Method
Vol_Spec__Vol_Type
Vol_Curve__Vol_Input
Tradable
Quotable
Dividend_Group
survival_probability
CDS__Quote_Type
Credit_Curve__Build_Method
Credit_Curve__Modelled_Qty
Inflation_Index
Zero_Inflation_Swap
Year-On-Year_Inflation_Swap
Inflation_Curve__Build_Method
Quotable_Path
Market
Model
Util
handle_name
Access_Mode
2D{WkEnd_N}
Vanilla_Option
Model[Vanilla_Option]
Fixed_Rate_Bond_Group
Ibor_Rate_Bond_Group
CapFloor__CapFloor_Type
Model[CapFloor]
Option__Exercise_Type
Option__Barrier_Type
Exotic_Option_Group
Fixed_Float_Swaption_Group
Multi_Asset_Option_Group
Vanilla_Option_Group
FixedFloat_IRS_Group
FloatFloat_IRS_Group
Portfolio_Group
Option
Asian_Option__Asian_Type
Model[Asian_Option]
Multi_Asset_Option
Model[Multi_Asset_Option]
Model[Cliquet_Option]
Lookback_Option__Lookback_Type
Model[Lookback_Option]
Model[Quanto_Option]
Stock_Index
Model[Variance_Swap]
FX
Model[Storage_Option]
Model[Swing_Option]
BMA_Rate
ibor_rate
Model[BMA_Swap]
Model[FloatFloat_IRS]
Model[FixedFloat_IRS]
Tradable__Settlement_Type
Model[Fixed_Float_Swaption]
Model[Float_Float_Swaption]
Overnight_Rate
Model[Overnight_Index_Swap]
Model[Vanilla_Swaption]
Asset_Swap__Structure
Model[Asset_Swap]
CDS__Direction
CDS__Claim_Type
Model[CDS]
Bond
Inflation_Adjusted_Rate_Swap
Model[Inflation_Option]
Inflation_Swap__Swap_Type
Model[Inflation_Swap]
Set
futures_convexity_correction
Vol_Spec
Table2D
HyperTable
Quotable__Value
Stock_Price
Discount_Factor_Group
Probability_Measure
Dividend
default_density
hazard_rate
Inflation_Index__Quote_Type
Step
Holiday
WkEnd
Bump
N
Model[Vanilla_Option]__Pricing_Approach
Vol_Curve__Vol_Input__Maturity
Vol_Curve__Vol_Input__Maturity-Strike
Tradable__Implied_Vol
Vol_Curve__Create_Implied_Vol_Table
McSimulation_Extra_Data
FDVanilla_Extra_Data
Schedule
Model[CapFloor]__Pricing_Method
Average__Average_Type__Arithmetic
Average__Average_Type__Geometric
Model[Asian_Option]__Pricing_Method
Model[Multi_Asset_Option]__Pricing_Method
Model[Cliquet_Option]__Pricing_Method
Quanto_Option_Pricing_Methods
Model[Variance_Swap]__Pricing_Method
OU_Process
Model[Swing_Option]__Pricing_Method
Model[Fixed_Float_Swaption]__Pricing_Method
Model[Float_Float_Swaption]__Pricing_Method
Model[Vanilla_Swaption]__Pricing_Method
Model[CDS]__Pricing_Method
Model[Inflation_Option]__Pricing_Method
Vol
Table
discount_factor
Period
Name
AllPricingApproaches
AnalyticApproach
FDApproach
MCApproach
TreeApproach
Finite_Differences
Model[Simulation]
Exp_OU_Process
Gaussian_1d_Model
VanillaOption_Adjusted_Spread
DateBump
Table1D
DayCount
Calendar
Hull_White_Model
GJRGARCH_Model
Heston_Model
PTD_Heston_Model
Bates_Model
Tree
Merton76_Model
Simulation
GSR_Model
poisson_process
Tradable_Functions
Forward_Contract_Group
Forward_Contract
Forward_Start_Option
Futures_Spread_Option
Quanto_Forward_Start_Option
Fixed_Rate_Bond_Forward
Forward_Rate_Agreement
Yield_Curve_Functions
Vol_Curve_Functions
Credit_Curve_Functions
Inflation_Curve_Functions
Type_Functions
Stock_Functions
Bond_Functions
CapFloor_Functions
CDS_Functions
Valuation_Functions
Quotable_Functions
Calendar_Functions
GSR_Model_Functions
Model[Forward_Start_Option]
Model[Quanto_Forward_Start_Option]
Fixed_Rate_Bond_Forward__Forward_Price
Model[Fixed_Rate_Bond_Forward]
Fixed_Rate_Bond_Forward_Functions
Forward_Rate_Agreement__Forward_Rate
Forward_Rate_Agreement_Functions
Model[CDS]__Pricing_Method__Mid_Point_Cds
CDS__Implied_Hazard_Rate
Forward_Start_Option_Pricing_Methods
Quanto_Forward_Start_Option_Pricing_Methods
Fixed_Rate_Bond_Forward__Spot_Value
Deriscope_Type
Deriscope_Object0
Key_Tradable__Settle
function
Yield_Curve__Deposit_Input
Yield_Curve__FRA_Input
Key_Credit_Curve__Accrual_On_Default
Key_Credit_Curve__Settle_On_Default
trivial_object
Info_2
Key_Bond__Accrual_Schedule
Info_5
Payoff__Payoff_Type
Payoff__Direction
Issue__MultiAssetOption_Mixed_StartDateIgnored
Issue__MultiAssetOption_PayAtExpiry_Ignored
Key_Cliquet_Option__Moneyness
Info_17
Issue__VarianceSwap_StartDateIgnored
Issue__VarianceSwap_MonteCarlo_WrongPathVol
Issue__VarianceSwap_OnlyPositiveStrike
Key_FX__Quote_Currency
Key_FX__Base_Currency
Info_16
Info_15
Swap_Rate0
Issue__VanillaSwaption_MarketModelBermudan
Key_Overnight_Index_Swap__Index
Info_8
Info_12
Issue__CDS_SuitableCreditCurve
Key_CMS_Rate_Bond__Index
Info_6
Info_9
Key_Ibor_Rate_Bond__Index
Info_11
Info_4
Info_13
Issue__InflationSwap_StartDateAfterMaturity
Key_Vol_Spec__Ref_Quotable
Key_Vol__Peg_Date
Key_Vol_Spec__Vol_Type
TYPE0
In_parent__Period
Steps
Key_Period__Time_Unit
Info_3
Info_7
Info_10
Info_14
interest_rate
ibor_rate0
libor_rate
Gaussian_1d_Model__Calc_Quantities
Vol_Curve__Vol_Input__Swaption_Surface
Vol_Curve__Vol_Input__Swaption_Cube
Key_Asset_Swap__Index
Info_1
Key_Inflation_Swap__Ibor_Schedule
Key_Inflation_Swap__Inflation_Schedule
value
Key_Schedule__Tenor
local_function0
GSR_Model__Calibrate
QL_Market_Model
QL_MM_Data
QL_Multi_Step_Swaption
Market_Model_Curve
Market_Model
Model[CDS]__Numerical_Fix
Model[CDS]__Accrual_Bias
Model[CDS]__Forwards_In_Coupon_Period
Calendar__Name
Model[Vanilla_Option]__Complex_Log_Formula
Model[Vanilla_Option]__Integration
Gaussian_1d_Model_Functions
DateBump__Name
DayCount__Name
DayCount_Functions
Issue__ForwardStartOption_Payoff_VanillaOnly
Issue__QuantoForwardStartOption_Payoff_VanillaOnly
Issue__FixedRateBondForward_IssueDateAfterBondMaturity
forward_discount_factor
zero_rate
forward_interest_rate
GSR_Model__Calibration_Method
Optimization
Deriscope_Object
Data
Swap
local_function
Yield_Curve__DF
static_function
descendant_type
Access_Mode__T
Issue__VanillaOption_AnalyticBarrier_NegativeRebateIgnored
Issue__VanillaOption_PayAtExpiry_Ignored
Issue__VanillaOption_AnalyticGJRGARCH_NegativeOptionPrice
Issue__VanillaOption_GJRGARCHModel_Discretization_FullTruncation
Issue__VanillaOption_HestonModel_Discretization_QuadraticExponentialMartingale
Issue__VanillaOption_FDEuropean_On_NonEuropean
Issue__VanillaOption_FDDividendEuropean_On_NonEuropean
Issue__VanillaOption_MCEuropean_On_NonEuropean
Issue__VanillaOption_MCEuropeanGJRGARCH_On_NonEuropean
Issue__VanillaOption_MCEuropeanHeston_On_NonEuropean
Issue__VanillaOption_AnalyticBarrier_On_NonEuropean
Issue__VanillaOption_MCBarrier_On_NonEuropean
Issue__VanillaOption_FDAmerican_TimeDependent
Issue__VanillaOption_FDAmerican_On_NonAmerican
Issue__VanillaOption_FDDividendAmerican_On_NonAmerican
Issue__VanillaOption_BaroneAdesiWhaleyApprox_On_NonAmerican
Issue__VanillaOption_BjerksundStenslandApprox_On_NonAmerican
Issue__VanillaOption_JuQuadraticApprox_On_NonAmerican
Issue__VanillaOption_FdBlackScholesVanilla_On_Mixed
Issue__VanillaOption_FDBermudan_TimeDependent
Issue__VanillaOption_FDBermudan_On_Mixed_American
Issue__VanillaOption_FdHestonVanilla_On_Mixed
Issue__VanillaOption_FdBatesVanilla_On_Mixed
Issue__VanillaOption_FdHestonHullWhiteVanilla_On_Mixed
Issue__VanillaOption_MCAmerican_On_Mixed_European
Issue__VanillaOption_BinomialVanilla_VolCurveIgnored
Issue__Bond_IssueDateIgnored
Issue__Bond_SettlementDaysIgnored
Issue__Bond_AccrualScheduleDayCountIgnored
Issue__Bond_IndexIgnored
Payoff__Payoff_Type__Vanilla
Payoff__Payoff_Type__Floating
Key_Cliquet_Option__Forward_Starts
Time_Unit
swap_rate
short_rate
Key_Inflation_Swap__Ibor_Date_Bump
Key_Inflation_Swap__Inflation_Date_Bump
Exact_Number
Bond__Get_Maturity
forward_interest_rate0
QL_MP_Multi_Step
Payoff
Frequency
Simple_Rate__Compounding
Calendar__List_Calendars
child_type
DateBump__Name__F
Single_Period
Key_Inflation_Swap__Bump_Inflation_Dates
QL_MM_Multi_Product
parent_type