Category: VBA

Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA swaption pricing – part 2

As 2016 started, we wish you and your family a great year ahead. Happy New Year! This post is a continuation of our discussion on swap and VBA swaption pricing, and a conclusion…

Read more...
Computation / Derivatives / Financial / Fixed Income / VBA

object oriented VBA Swap pricing, Part 1

VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel…

Read more...
Computation / Derivatives / Equity / Financial / VBA

VBA Break-even volatility skew computation

Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…

Read more...
Computation / Derivatives / Financial / Fixed Income / VBA

Cross Currency Swap Pricing with VBA

In a previous post we discussed the new paradigm of Swap pricing throughout the use of collateralization. We now propose a simple VBA code to price a Cross-Currency…

Read more...
Up