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Feb 23

Financial Analytics & Risk Management Tools

Posted by abiao at 18:04 | Code » VBA/Excel | Comments(0) | Reads(15420)
Found a site providing financial analytics & risk management tools, FinCalc, as introduced by its webmaster: "FinCalc provides you with the tools to build advanced financial functions under Excel.   ...FinCalc covers bonds, money market, futures, options and interest rate derivatives."

Key points are:
Calendar with business holidays for the major financial centers.
Bond analytics: yield to maturity, duration, accrued interest; valuation functions and sensitivity measures; bond cash flows; forward price and repo rate.
Derivatives: valuation functions and sensitivity measures european and american options; exotic options.
Discount curve construction based on money market rates,short term futures and swap rates.
Interest rates derivatives: valuation and sensitivity for swaps,swaptions, caps & floors.
Credit derivatives: valuation and sensitivity for CDS.
Portfolio analytics: volatility, expected return, tracking error, value at risk, portfolio optimization on an absolute basis or relative to a benchmark.
User friendliness: meaningful function and parameter names; user's manual, numerous examples and applications.
Excel add-in and examples to download.

For example, after downloading FinCalc.xla, opening it and other files saved in a same directory, a user is able to use the following modules:
Open in new window

The author protects the macro code with password, unfortunately. Check http://homepage.hispeed.ch/FinCalc/Index.htm if interested.

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