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The Financial Toolbox comes with most common financial derivatives formulas ready for use. It also provides dozens of complex derivatives formulas and an insertion tool that facilitates the usage of the toolbox. The list of functions to deal with financial derivatives can be seen below:

# Function Name Function Description

1

sOptions_BlackScholes

Returns the European option price using the standard Black and Scholes formula.

2

sOptions_Merton73

Returns the European option on stock indices price using the Merton (1973) formula.

3

sOptions_Black76

Returns the European option on futures/forwards using the Black (1977) formula.

4

sOptions_GarmanKolhagen

Returns the European option on currency using the Garman and Kohlhagen (1983) formula.

5

sOptions_GeneralizedBlackScholes

Returns the European option price using the Generalized Black and Scholes formula.

6

sOptions_GeneralizedBlackScholesDelta

Returns the delta of a European option calculated with the Generalized Black and Scholes formula.

7

sOptions_GeneralizedBlackScholesGamma

Returns the gamma of a European option calculated with the Generalized Black and Scholes formula.

8

sOptions_GeneralizedBlackScholesTheta

Returns the theta of a European option calculated with the Generalized Black and Scholes formula.

9

sOptions_GeneralizedBlackScholesVega

Returns the vega of a European option calculated with the Generalized Black and Scholes formula.

10

sOptions_GeneralizedBlackScholesRho

Returns the rho of a European option calculated with the Generalized Black and Scholes formula.

11

sOptions_GeneralizedBlackScholesCarry

Returns the carry sensitivity of a European option calculated with the Generalized Black and Scholes formula.

12

sOptions_French

Returns the French (1984) adjusted Black and Scholes model for trading day volatility.

13

sOptions_JumpDiffusion

Returns the European option price using the Merton (1976) jump diffusion model.

14

sOptions_MiltersenSchwartz

Returns the European option price using the Miltersen Schwartz (1997) commodity option model.

15

sOptions_RollGeskeWhaley

Returns the price of an American call on stock with known dividends using the Roll-Geske-Whaley formula.

16

sOptions_BAWAmericanApprox

Returns the approximate price of an American option on stock using the Barone-Adesi and Whaley (1987) formula.

17

sOptions_BSAmericanApprox

Returns the approximate price of an American option on stock using the Bjerksund and Stensland (1993) formula.

18

sOptions_Executive

Returns the price of an executive stock option.

19

sOptions_ForwardStartOption

Returns the price of a forward start option.

20

sOptions_TimeSwitchOption

Returns the price of a time switch option (discrete).

21

sOptions_SimpleChooser

Returns the price of a simple chooser option.

22

sOptions_ComplexChooser

Returns the price of a complex chooser option.

23

sOptions_OptionsOnOptions

Returns the price of an option on option.

24

sOptions_ExtendibleWriter

Returns the price of a writer extendible option.

25

sOptions_TwoAssetCorrelation

Returns the price of an option on two correlated assets.

26

sOptions_EuropeanExchangeOption

Returns the price of a European option to exchange one asset for another.

27

sOptions_AmericanExchangeOption

Returns the price of an American option to exchange one asset for another.

28

sOptions_ExchangeExchangeOption

Returns the price of an exchange option on exchange option.

29

sOptions_OptionsOnTheMaxMin

Returns the price of an option on the maximum or minimum of two risky assets.

30

sOptions_SpreadApproximation

Returns the approximate price of a spread option.

31

sOptions_FloatingStrikeLookback

Returns the price of a lookback option with a floating strike.

32

sOptions_FixedStrikeLookback

Returns the price of a lookback option with a fixed strike.

33

sOptions_PartialFloatLB

Returns the price of lookback option with a partial-time floating strike.

34

sOptions_PartialFixedLB

Returns the price of lookback option with a partial-time fixed strike.

35

sOptions_ExtremeSpreadOption

Returns the price of an extreme spread option.

36

sOptions_StandardBarrier

Returns the price of a standard barrier option.

37

sOptions_DoubleBarrier

Returns the price of a double barrier option.

38

sOptions_PartialTimeBarrier

Returns the price of a partial-time single asset barrier option.

39

sOptions_TwoAssetBarrier

Returns the price of a barrier option on two assets.

40

sOptions_PartialTimeTwoAssetBarrier

Returns the price of a partial-time barrier option on two assets.

41

sOptions_LookBarrier

Returns the price of a look-barrier option.

42

sOptions_DiscreteAdjustedBarrier

Returns the price of a discrete barrier option with monitoring adjustment.

43

sOptions_SoftBarrier

Returns the price of a soft barrier option.

44

sOptions_GapOption

Returns the price of a gap option.

45

sOptions_CashOrNothing

Returns the price of a cash-or-nothing option.

46

sOptions_TwoAssetCashOrNothing

Returns the price of a cash-or-nothing option on two assets.

47

sOptions_AssetOrNothing

Returns the price of an asset-or-nothing option.

48

sOptions_SuperShare

Returns the price of a super-share option.

49

sOptions_BinaryBarrier

Returns the price of a binary barrier option.

50

sOptions_GeometricAverageRateOption

Returns the price of a geometric average rate option.

51

sOptions_TurnbullWakemanAsian

Returns the price of an arithmetic average rate option using the Turnbull-Wakeman formula.

52

sOptions_LevyAsian

Returns the price of an arithmetic average rate option.

53

sOptions_ForeignEquityOptionInDomesticCurrency

Returns the price of a foreign equity option struck in domestic currency.

54

sOptions_Quanto

Returns the price of a fixed exchange rate foreign equity option.

55

sOptions_EquityLinkedFXO

Returns the price of an equity-linked foreign exchange option.

56

sOptions_TakeoverFXoption

Returns the price of a takeover foreign exchange option.

57

sOptions_Swaption

Returns the price of a European swaption using Black (1976) formula.

58

sOptions_VasicekBondOption

Returns the price of an option on a zero coupon bond.

59

sFutures_ForwardPrice

Returns the price of a forward contract with no income on the asset.

60

sFutures_CurrencyForwardPrice

Returns the price of a currency forward contract using discrete interest rates.

61

sFutures_ForwardPriceIncomePresentValue

Returns the price of a forward contract with a known asset income.

62

sFutures_ForwardPriceIncomeYield

Returns the price of a forward contract with a known asset yield.

63

sFutures_ForwardValuation

Returns the valuation of an outstanding forward contract with no income on the asset.

64

sFutures_ForwardValuationIncomeYield

Returns the valuation of an outstanding forward contract with known yield.

65

sFutures_ForwardValuationAgreedVsCurrent

Returns the valuation of an outstanding forward contract comparing the agreed price and the current price.

66

sFutures_ForwardValuationIncomePresentValue

Returns the valuation of an outstanding forward contract with known income.

67

sFutures_ForwardRateAgreementValuation

Returns the price of a forward rate agreement (FRA).

68

sFutures_EurodollarFutureProfit

Returns the profit of a Eurodollar future.

69

sFutures_FuturesPriceTBond

Returns the approximate price of a U.S. Treasury Bond Futures.

70

sFutures_FuturesValuationTBond

Returns the approximate valuation of an outstanding U.S. Treasury Bond Futures.

To illustrate the usage of the tool, let’s calculate the price of a standard European call option. This derivative can be found in the "Financial Instruments" group located in the Financial Toolbox tab. The insertion is quite straightforward, simply select the financial instrument in the list and click on the right arrow. After choosing the destination cell - an upper left cell to receive the results - a table will be inserted in the spreadsheet that contains all necessary parameters for calculation and the price of the derivative that we were looking for.

A

B

C

D

1

Stock options: Generalized Black and Scholes

 

 

 

2

Call or Put?

Call

 

 

3

Asset price

$ 100.00

 

 

4

Strike price

$ 110.00

 

 

5

Time to maturity

5.0

 

 

6

Risk-free rate

5.0 %

 

 

7

Cost of carryng

2.0 %

 

 

8

Volatility

20.0 %

 

 

9

Price

$ 15.40

=sOptions_GeneralizedBlackScholes($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

10

Delta

0.51

=sOptions_GeneralizedBlackScholesDelta($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

11

Gamma

0.01

=sOptions_GeneralizedBlackScholesGamma($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

12

Theta

-1.74

=sOptions_GeneralizedBlackScholesTheta($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

13

Vega

74.71

=sOptions_GeneralizedBlackScholesVega($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

14

Rho

178.03

=sOptions_GeneralizedBlackScholesRho($B$2,$B$3,$B$4,$B$5,$B$6,$B$7,$B$8)

 

15

 

 

 

 

Of course, other SAFE TOOLBOXES® tools would be of great value for pricing and managing financial derivatives. For instance, you can use the Simulation Toolbox for pricing derivatives by Monte Carlo simulation, or you can use the sensitivity analysis to find the impact on price caused by changes in derivative parameters.

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