Samples stockmarket

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Options on equities, indices, currencies and futures

Interest rate derivatives and convertible bonds

Employee stock option valuation

Historical volatility and price distribution

Probability analysis

Portfolio Hedging & Trading profitability

Futures

On-Line quotations

Utilities

Value at Risk (VaRtools)

Options on equities, indices, currencies and futures

Interest rate derivatives and convertible bonds

Hoadley Options Tools Web Site

Latest Version Information & Download

Download MPT/CAPM portfolio optimizer

Download VaRtools additional samples spreadsheet

http://www.hoadley.net/options/options.htm

http://www.hoadley.net/options/DevelToolsLatestVersion.htm

http://www.hoadley.net/options/develtoolsoptimize.htm

http://www.hoadley.net/options/develtoolsvar.htm

HoadleyOptions1Returns the price and hedge parameters or Europeanor American options. Uses absolute dates.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%

Optional arguments:Dividend_type D

Dividend_details: Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00

Binomial_steps 50

Results Calc type ValuePrice P #MACRO?Delta D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?

Index

http://www.hoadley.net/options

Help


C

P

1

2

3

N

C

D

HoadleyOptions2Returns the price and hedge parameters or European or American options. Uses days rather than dates.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%

Optional arguments:Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1

Binomial steps 50

Results Calc Type ValuePrice: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?

Example with user function in VBA module:Results Calc Type ValuePrice: P #VALUE!Delta: D #VALUE!Gamma G #VALUE!Vega V #VALUE!Theta T #VALUE!Rho R #VALUE!

Index


Help


C

P

1

2

3

N

C

D

HoadleyImpliedVolatility1Returns the implied volatility of an option. Uses absolute dates.

ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Option_price 0.2560Risk_free_rate 5.75%


Amt ex-divDividend_details 0.20 01-Feb-00

0.50 01-Mar-00

Binomial_steps 50

ResultsImplied volatility #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyImpliedVolatility2Returns the implied volatility of an option. Uses days rather than dates.

ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Option_price 1.205Risk_free_rate 5.75%

Optional arguments:Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1

Binomial_steps 50

ResultsUsed from a worksheet cell: #MACRO?

Used from a VBA module: #VALUE!

Index



Help



C

P

1

2

3

N

C

D

HoadleyPercentToTarget1Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Value_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%

Optional arguments:Target_percent 100%Option_price

Dividend_type DDividend_details:

Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00

Binomial_steps 50

Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?

Current option price COP #MACRO?Target option price TOP #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyPercentToTarget2Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".

ExampleInputsCalculation_type PPricing_model (European or American) 2Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%

Optional arguments:Target_percent 100%Option_price

Dividend_type DDividends 0.75Days_to_ex_dates 310Dividend_count 1

Binomial steps 50

Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?

Current option price COP #MACRO?Target option price TOP #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyImpliedUA1Returns an underlying asset ("UA") value (strike, spotdays, volatility, risk free rate) implied by either a givenoption price or option delta. Uses absolute dates.

Inputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type C 1 Option price #MACRO? #MACRO?Strike 100.00 2 Delta #MACRO? #MACRO?Spot 98.70 Seed_value (optional)Value_date 20-Dec-03Expiry_date 30-Jun-04 (actual days: 193) Volatility 30%Risk_free_rate 3.75%

Target_typeTarget_Value

Seed_value

Dividend_type D

Dividend Details Amt Ex-div1.50 01-Feb-041.80 01-Jun-04

Binomial_steps 100

Index


Help


123

CP

NCD

Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate

#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###

Seed_value (optional)250

HoadleyImpliedUA2Returns an underlying asset ("UA") value (strike, spotdays, volatility, risk free rate) implied by either a givenoption price or option delta. Uses days.

Inputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type P 1 Option price #MACRO? #MACRO?Strike 60.00 2 Delta #MACRO? #MACRO?Spot 62.25 Seed_value (optional)Days_to_expiry 55Volatility 30%Risk_free_rate 3.75%

Target_typeTarget_Value

Seed_value

Dividend_type DDividends 1.5Days_to_ex_dates 25Dividend_count 1

Binomial_steps 100

Index


Help


123

CP

NCD

Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate

#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###

Seed_value (optional)90

HoadleyOptionsNLNReturns an European or American option price basedon a Non LogNormal underlying price distribution.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 20.00Spot 20.00Days 182.5Volatility 25%Risk_free_rate 5%

Optional arguments:Dividend_type (optional) DDividends (optional) 0.50Days_to_ex_dates (optional) 20.0Dividend_count (optional) 1

Skewness (0ptional) -0.5Kurtosis (optional) 1.8

Binomial_steps (optional) 50

Results - Calculation of volatility smileGap between strike prices: 0.50Strike prices 15.00 15.50 16.00 16.50 17.00 17.50 18.00Non-log normal price ### ### ### ### ### ### ###Log normal option price ### ### ### ### ### ### ###Implied volatility ### ### ### ### ### ### ###

Index


15.00

15.50

16.00

16.50

17.00

17.50

18.00

18.50

19.00

19.50

20.00

20.50

21.00

21.50

22.00

22.50

23.00

23.50

24.00

24.50

25.00

25.50

20%

21%

22%

23%

24%

25%

26%Volatility Smile

Strike

Vo

lati

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Help

Notes:1. The non-log normal and log normal prices are shown above for interest only. They are not used in calculating the volatility smile.

2. You can use Excel solver to simultaneously calculate the "true" volatility, skewness and kurtosis from observed market option prices by minimizing the sum of the squares of the differences between the non-log normal prices and the market prices.


"True" volatility: 25% 25% 25% 25% 25% 25% 25%

C

P

1

2

3

N

C

D

18.50 19.00 19.50 20.00 20.50 21.00 21.50 22.00 22.50 23.00 23.50### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###

15.00

15.50

16.00

16.50

17.00

17.50

18.00

18.50

19.00

19.50

20.00

20.50

21.00

21.50

22.00

22.50

23.00

23.50

24.00

24.50

25.00

25.50

20%

21%

22%

23%

24%

25%

26%Volatility Smile

Strike

Vo

lati

lity

25% 25% 25% 25% 25% 25% 25% 25% 25% 25% 25%

24.00 24.50 25.00 25.50### ### ### ###### ### ### ###### ### ### ###

25% 25% 25% 25%

HoadleyBarrier1Returns the option price, hedge parameter or implied volatility of a European or American single barrier option.

ExampleInputsCalc_type PPricing_model (European or American) 1Option_type PBarrier_type DIStrike 100.00Spot 100.00Barrier 80.00Days_to_expiry 365Volatility 25%Interest_rate 6.00%

Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122Dividend_count 1

Rebate 0.00Option_priceTri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300

Results Calc Type ValueOption price P #MACRO?Delta D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index



Help



C

P

1

2

3

N

C

D

UIUODIDOCDWM

HoadleyBarrier2Returns the option price, hedge parameter or implied volatility of a European or American double barrier option.

ExampleExampleCalc_type PPricing_model (European or American) 1Option_type PBarrier_type IStrike 100.00Spot 100.00Upper_barrier 110.00Lower_barrier 80.00Days_to_expiry 365.0Volatility 25%Interest_rate 6.00%

Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122Dividend_count 1

Rebate 0.00Option_price Tri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300

Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index


Help


C

P

1

2

3

N

C

D

OI

CDWM

HoadleyBasketOptionReturns the price of a European option on a basket of underlying assets. The price is calculated analytically, not by simulation.This function is only available in the full version of the add-in.

ExampleInputsOption_type CValue_date 05-Sep-03Expiry_date 17-Apr-04Risk_rate 3.50%Strike 760,000.00

PG IBM GE MSFTCorr_matrix PG 1.00 0.30 0.20 0.20(correlation matrix) IBM 1.00 0.25 0.30

GE 1.00 0.20MSFT 1.00

PG IBM GE MSFTVolatilities 27% 25% 33% 34%Prices 91.43 87.91 31.32 28.43No_units 2500 1750 5400 6300div_yields 2.10% 3.00% 1.30% 0.00%

Results - 1Option value #MACRO?

Results - 2Comparison with at-the-money options on the individual assets. The basket optionwill usually (depending on the correlation between the assets) be cheaper. Hedgingcurrency exposures and other risks can therefore be done more cheaply than bypurchasing individual options.

PG IBM GE MSFTIndividual option strikes (ATM) 228,575 153,843 169,128 179,109Individual option values ### ### ### #MACRO?

Strike for basket 730,655

Total of individual option values #MACRO?Basket option value #MACRO?

Index


Help


CP

Early Exercise ClassReturns all optimal early exercise points for a range of spot prices for a given option specification. Onlyrelevant for American options.

Example:Inputs ResultsOption dates:Deal date 13-Sep-01Expiry date 20-Dec-01Ex-dividend date 1: 03-Oct-01Ex-dividend date 2: 31-Oct-01

Inputs:Option_type C OptimalStrike 17.50 Spot Early Exercise Option PriceDays_to_expiry 98 Price Threshold at ThresholdVolatility 33.9% 20.50 On 02-Oct-01Risk_free_rate 5.00% 21.00 On 02-Oct-01

21.50 On 02-Oct-01Dividend_type D

Div 1 Div 2 19.50 On 30-Oct-01Dividends 0.25 0.5 20.00 On 30-Oct-01Days_to_ex_dates 20 48 20.50 On 30-Oct-01Dividend_count 2 21.00 On 30-Oct-01

21.50 On 30-Oct-01Current stock price: 17.65

Range of spot prices to be searched: 13.5014.0014.5015.0015.5016.0016.5017.0017.5018.0018.5019.0019.5020.0020.5021.0021.50

Index


Help


CPNCD

Probability Option Price of reachingat Threshold Threshold

3.0000 2.6%3.5000 1.2%4.0000 0.5%

2.0000 17.3%2.5000 12.5%3.0000 8.8%3.5000 6.0%4.0000 4.0%

HoadleyBondReturns the price, yield to maturity, duration or modified duration of a coupon bond.

ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4

Term structure: Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%

Optional arguments:Price_type (quoted or cash)Bond_priceYield_typePrev_ex_date Results Calc_type ValueQuoted ("clean") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?

Cash ("dirty") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?

Duration D #MACRO?Modified Duration MD #MACRO?

Index


Help


Hoadley FR NoteReturns the price, or the effective margin over swap, for a floating rate note ("floater")This function is only available in the full version of theadd-in.

ExampleInputsCalc_type PPrincipal 100.00Value_date 29-Feb-04maturity_date 27-Jul-07Current_coupon 4.10%Reset_frequency 4Contract_margin 1.00%Effective_margin 1.50%

Term_structure Years Rate0.25 5.50%0.50 5.80%1.00 6.10%2.00 6.30%3.00 6.50%4.00 6.60%

Optional arguments:Price_type (Quoted or cash)Market_price yield_type Dprev_ex_date

Gross_up_factor 0.7coupon_multiplier

ResultsQuoted ("clean") price P #MACRO?Effective margin EM #MACRO?

Cash ("dirty") price P #MACRO?Effective margin EM #MACRO?

Index


Help


HoadleyConvBondReturns the price and other related information of aconvertible bond with call and/or put features.This function is only available in the full version of the add-in.

ExampleInputs ResultsCalc_type PQ Convertible bond price (quoted)Redemption 100.00 Convertible bond price (cash)Valuation_date 02-Oct-03Maturity_Date 25-Mar-05 Bond price (quoted)Coupon_rate 8.00% Bond price (cash)Coupon_frequ 2 Accrued interestRisk_free_rate 5.00% Delta per shareCredit_spread 2.50% Option value

Share_price 24.00Volatility 25%Conversion_ratio 4.0

Optional arguments:conversion_date

Dividend_type D

Dividend_details: Amt Ex-divDividend 1 0.30 04-Feb-04Dividend 2 0.32 10-Aug-04Dividend 3 0.34 03-Feb-05

Call_price 103.00Call_date 01-Jan-04Call_triggercall_notice

Put_pricePut_date

Trinomial_steps 200get_accrued 0

Index


HelpHelp


NDC

10

Calc_type ValuePQ #MACRO?PC #MACRO?

BQ #MACRO?BC #MACRO?AI #MACRO?D #MACRO?O #MACRO?

HoadleyBondOptBlkReturns the price, hedge parameters, or implied volatilityof an option on a coupon bond using the Black-76 model.

ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4


Option_type CStrike 95.00Option_expiry 7-Dec-03Yield_vol 20.0%

Optional arguments:Price_type (quoted or Cash) QOption_price

Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?Price volatility at option maturity PV #MACRO?

Implied volatility IV #MACRO?

Index


Help


CPQC

HoadleyBondOptHWReturns the price or hedge parameters of a Eurpoean or American coupon bond option using either the Hull-White analytic model (European), or Hul-White interest rate trinomial trees (European or American).

ExampleInputsCalc_type PPricing model 1Principal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4


Option_type CStrike 95.00Option_expiry 7-Dec-03Short_rate_vol 1.5%Reversion_rate 10%

Optional arguments:Price_type (quoted or cash) QTri_steps 20

Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


123

CPQC

HoadleyCapFloorBlkReturns the price, hedge parameters or implied volatility of interest rate caps and floors using the Black-76 model.

ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Volatility 20%


Optional arguments:Year_basis 365Cap_floor_price

Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?


Index


Help


360365

CPQCCF

HoadleyCapFloorHWReturns the price, hedge parameters or implied volatilityof interest rate caps and floors using the Hull-Whitemodel.

ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%


Optional arguments:Year_basis 365Cap_floor_price

Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


360365

CPQCCF

HoadleySwaptionBlkReturns the price, hedge parameters or implied volatilityof a Eurpoean Swaption (an option on an interest rateswap) using the Black-76 model.

ExampleInputsSwap_type PFCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Volatility 20%


Optional arguments:Year_basis 365Option_price

Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?


Index


Help


RFPF

360365

HoadleySwaptionHWReturns the price, hedge parameters or implied volatilityof a Eurpoean Swaption (an option on an interest rateswap) using the normal analytic or trinomial tree models.

ExampleInputsSwap_type PFCalc_type PCalc_model 1Principal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%


Optional arguments:Year_basis 365Tri_steps 20

Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


RFPF

360365

123

HoadleyEurodollarReturns the price, hedge parameters, or implied volatility of an option on an Eurodollar time deposit futurescontract.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 93.25Futures_price 93.15Days 450Volatility 10%Risk_free_rate 6.00%

Optional arguments:Binomial_steps (optional) 50Option_price (optional)

Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?


Index


Help


CP

123

HoadleyESO1Returns the fair value of an employee stock option priced according to the basic US Financial Accounting Standards Board (FASB) 123 standard.

ExampleInputsPricing_model (European or American) 1Exercise_price 87.00Stock_price 87.00Expected_life 5.3Volatility 30%Risk_free_rate 4.50%Dividend_yield 2.50%Vesting_period 2.0Employee_exit_rate 5%

Optional arguments:Binomial_steps 200

ResultsFair value of option: #MACRO?

Index


Help


12

HoadleyESO2Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123 standard.

Example of company ESO grant scheduleInputsGrant date: 1-Jan-03Exercise price: 95.70Current stock price: 87.00Maximum option life in years: 10Volatility: 30%Risk free rate: 4.50%Dividend yield: 2.50%Trinomial steps 200

ResultsVesting period (years):

Percent of grant vested:

Employee category

Senior managers 56,000 3% 2.5 Option valueTotal expense

Expected option life

Middle managers 41,000 5% 2.3 Option valueTotal expense


Professional staff 45,500 8% 1.9 Option valueTotal expense


Support staff 15,000 15% 1.5 Option valueTotal expense

Expected option lifeTotal options granted: 157,500

Index

Options granted

Employee exit rate

Exercise multiple


Help


Vesting schedule1.5 2.0 2.5 3.0

40% 20% 20% 20%

Details by vesting period

#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?



#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?Total option expense for 1-Jan-03 grant: #MACRO?

Total Expense

HoadleyHistoricVolatilityReturns the annualized volatility of an asset based on a sample of historical prices. Volatility can be calculated in four ways.

ExamplesInputs

Day Date High Low Open Close DividendMon 21-Jan-02 102.00 100.00 100.00 101.50Tue 22-Jan-02 102.00 100.50 101.50 104.00Wed 23-Jan-02 101.50 99.00 101.50 99.00Thu 24-Jan-02 100.00 97.50 100.00 97.50Fri 25-Jan-02 99.00 98.00 98.00 98.50

Mon 28-Jan-02 99.50 98.00 98.00 99.00Tue 29-Jan-02 101.00 98.00 99.00 100.00Wed 30-Jan-02 100.50 98.00 100.00 99.00Thu 31-Jan-02 103.00 100.00 100.00 101.00Fri 01-Feb-02 95.50 94.00 95.50 95.00 5.00

Mon 04-Feb-02 98.00 95.00 95.00 96.00Tue 05-Feb-02 97.00 96.00 96.00 96.50Wed 06-Feb-02 96.50 94.00 94.00 96.00Thu 07-Feb-02 95.00 93.50 95.00 94.50Fri 08-Feb-02 93.50 92.50 93.50 93.00

Results Calc type ValueClose Price Volatility: C ###High-Low Volatility: HL ###High-Low-Close Volatility: HLC ###High-Low-Open-Close Volatility: HLOC ###EWMA volatility EWMA ###decay_factor (EWMA): EWMAL ###GARCH volatility: GARCH ###

Index


25-Jan-02

28-Jan-02

29-Jan-02

30-Jan-02

31-Jan-02

01-Feb-02

04-Feb-02

05-Feb-02

06-Feb-02

07-Feb-02

08-Feb-02

0%

200%

400%

600%

800%

1000%

1200%

Weekly Moving Average Volatility

Date

Vo

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Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)


Note: you would not normally use EWMA or GARCH with such a small sample.They are is included here for illustrative purposes only.

WeeklyMoving Average

#################################

25-Jan-02

28-Jan-02

29-Jan-02

30-Jan-02

31-Jan-02

01-Feb-02

04-Feb-02

05-Feb-02

06-Feb-02

07-Feb-02

08-Feb-02

0%

200%

400%

600%

800%

1000%

1200%

Weekly Moving Average Volatility

Date

Vo

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lity

Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)

HoadleyGARCHUses the GARCH model to return the annualized volatility, forecast volatility and a number of 'GARCH' parameters of an asset based on a sample of historical closing prices. This function is only available in the full version of the add-in.

Example:Inputs ResultsHistorical stock prices Current volatility #MACRO?

Week Close Long term forecast #MACRO?1 101.502 101.50 Volatility forecast3 100.00 Week ahead Volatility4 97.50 0 #MACRO?5 98.50 1 #MACRO?6 99.00 2 #MACRO?7 100.00 3 #MACRO?8 99.00 4 #MACRO?9 101.00 5 #MACRO?

10 102.00 6 #MACRO?11 103.00 7 #MACRO?12 101.00 8 #MACRO?13 100.00 9 #MACRO?14 98.00 10 #MACRO?15 99.00 11 #MACRO?16 99.00 12 #MACRO?17 98.00 13 #MACRO?18 100.00 14 #MACRO? Term Structure:19 105.00 15 #MACRO? Option life in weeks:20 110.00 16 #MACRO? Volatility:21 115.00 17 #MACRO?22 110.00 18 #MACRO?23 116.00 19 #MACRO?24 110.00 20 #MACRO?25 106.00 21 #MACRO?

22 #MACRO?23 #MACRO?24 #MACRO?25 #MACRO?26 #MACRO?27 #MACRO?28 #MACRO?29 #MACRO?30 #MACRO?31 #MACRO?

Index


0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

24.0%

224.0%

424.0%

624.0%

824.0%

1024.0%

1224.0%Forecast Volatility

Forecast week

Vo

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Help

Notes:

1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.

2. The term structure shows that, for example, if you are pricing a 12 week option then the best estimate of the volatility fro historical data would be 26%.

3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH

4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.


4 8 12 16 20### ### ### ### ###

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

24.0%

224.0%

424.0%

624.0%

824.0%

1024.0%

1224.0%Forecast Volatility

Forecast week

Vo

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lity

Notes:

1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.

2. The term structure shows that, for example, if you are pricing a 12 week option then the best estimate of the volatility fro historical data would be 26%.

3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH

4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.

HoadleyPriceDistReturns skewness and kurtosis coefficients, and standarderrors of skewness and kurtosis, from a sample of historical asset prices

ExampleInputs Results ValueClosing pricesFor one year Skewness: ###

10.61 Excess kurtosis ###10.6510.75 Standard error of skewness: ###10.58 Standard error of kurtosis ###10.3810.73 Significance tests:10.76 Skewness T ratio: ###10.85 Kurtosis T ratio: ###10.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.579.609.689.559.559.69

Index


Help

Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.


9.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.149.309.259.279.329.40

9.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.028.989.049.069.129.07

9.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95

10.029.849.959.98

10.2510.3210.2510.3010.2310.13

9.969.959.829.989.869.809.929.91

10.1310.029.959.949.869.89

10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39

Comment

(based on daily sampling)(based on daily sampling)

Skewness not statistically different from normality.Kurtosis is significantly different from that expectedfrom a lognormal distribution of prices.(see help file for significance testing)

Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyAutoCorrelReturns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriatefor the data.

ExampleInputs ResultsClosing prices Confidence level: 2%For one year data_type: 3

lag1 ### #MACRO? ### 5.412

10.61 2 ### #MACRO? ### 7.82410.65 3 ### #MACRO? ### 9.83710.75 5 ### #MACRO? ### 13.38810.58 10 ### #MACRO? ### 21.16110.38 20 ### #MACRO? ### 35.02010.73 30 ### #MACRO? ### 47.96210.7610.8510.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.57

Index

Null hypothesis: there is no autocorrelation for this data_type

Auto-corre-lation

Ljung-Box statistic

Chi-square

P-value

Chi-square critical

value


Help

Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.

2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.


9.609.689.559.559.699.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.14

9.309.259.279.329.409.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.02

8.989.049.069.129.079.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95

10.029.849.959.98

10.25

10.3210.2510.3010.2310.139.969.959.829.989.869.809.929.91

10.1310.029.959.949.869.89

10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39

123

Returns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriate

Meaning#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

Null hypothesis: there is no autocorrelation for this data_type

Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.

2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyProbAtEndReturns the probability of the spot price being above orbelow a target price at the end of the specified number of days.

ExampleProb_type ATarget_price 55.00Spot 50.00Days 365Volatility 30%Expected_return 5%

Optional arguments:Dividend_type DDividends 2.50Days_to_ex_dates 182.5Dividend_count 1

Results Prob_typeA #MACRO? #VALUE!B #MACRO? #VALUE!

Probability of being above when expected return = 0 #MACRO? #VALUE!and dividend = 0 (equivalent to a stock #MACRO? #VALUE!with a dividend yield equal to expected return)

Index

From a worksheet cell

From VBA module

Probability of spot being above target at end:Probability of spot being below target at end:


Help


NCD

HoadleyProbAnyTime1Returns the probability of the spot price ever being above or below

This function is only available in the full version of the the add-in.

Example showing probabilities by volatility and spot priceInputsProb_type ATarget_price 60.00Spot 50.00Days 300Volatility 30%Expected_return 10%

Optional arguments:Dividend_yield 0%Observations_per_day 1

ResultsThe following table shows the probability of the spot price being above the target at any time. The "at end probability" is shown for comparison.

Spot PriceVolatility Any time during period At end of period

45.00 50.00 55.00 60 45.00 50.00 55.00 60.005% ### ### ### ### ### ### ### ###

10% ### ### ### ### ### ### ### ###15% ### ### ### ### ### ### ### ###20% ### ### ### ### ### ### ### ###25% ### ### ### ### ### ### ### ###30% ### ### ### ### ### ### ### ###35% ### ### ### ### ### ### ### ###40% ### ### ### ### ### ### ### ###45% ### ### ### ### ### ### ### ###50% ### ### ### ### ### ### ### ###55% ### ### ### ### ### ### ### ###60% ### ### ### ### ### ### ### ###

a target price at any time during a specified number of days.

Index


Help


HoadleyProbAnyTime2Returns the probability of the spot price moving outside a target range at any time during a specified number of days. It also will return the probability of movingoutside both prices in the range, or remaining within the range at all times.This function is only available in the full version of the add-in.

ExampleResultsprob_type Eupper_target 55.00lower_target 45.00spot 50.00days 100.00volatility 30%expected_return 7.00%

Optional arguments:dividend_yield 0.00%observations_per_day 0.00

Results Prob_type ValueProbability of being either above or below target at any time E #MACRO?Prob of remaining within target range at all times N #MACRO?Probability of being both above upper and below lower targets B #MACRO?Probability of being between target prices at some time W #MACRO?

Probability of being above upper target at any time A #MACRO?Probability of being below lower target at any time B #MACRO?

Probability of being above upper target at end of period A #MACRO?Probability of being below lower target at end of period B #MACRO?

IndexHelp

HoadleyProbDistReturns an array containing the probability distribution for a range of asset prices. The skewness and kurtosis of the distribution can be specified to handle non-lognormally distributed prices. This function is only available in the full version of the add-in.

ExampleInputsspot 70.00days 180volatility 35%expected_return 5.0%

Optional arguments:dividend_yield 0%skewness -0.50Excess kurtosis 1.50

ResultsProbability Distribution

non-Price gap: 1.00 Prices lognormal lognormal

30.00 #MACRO? #MACRO?31.00 #MACRO? #MACRO?32.00 #MACRO? #MACRO?33.00 #MACRO? #MACRO?34.00 #MACRO? #MACRO?35.00 #MACRO? #MACRO?36.00 #MACRO? #MACRO?37.00 #MACRO? #MACRO?38.00 #MACRO? #MACRO?39.00 #MACRO? #MACRO?40.00 #MACRO? #MACRO?41.00 #MACRO? #MACRO?42.00 #MACRO? #MACRO?43.00 #MACRO? #MACRO?44.00 #MACRO? #MACRO?45.00 #MACRO? #MACRO?46.00 #MACRO? #MACRO?47.00 #MACRO? #MACRO?48.00 #MACRO? #MACRO?49.00 #MACRO? #MACRO?50.00 #MACRO? #MACRO?51.00 #MACRO? #MACRO?52.00 #MACRO? #MACRO?53.00 #MACRO? #MACRO?54.00 #MACRO? #MACRO?55.00 #MACRO? #MACRO?56.00 #MACRO? #MACRO?57.00 #MACRO? #MACRO?58.00 #MACRO? #MACRO?59.00 #MACRO? #MACRO?

Index


30.0031.0032.0033.0034.0035.0036.0037.0038.0039.0040.0041.0042.0043.0044.0045.0046.0047.0048.0049.0050.0051.0052.0053.0054.0055.0056.0057.0058.0059.0060.0061.0062.0063.0064.0065.0066.0067.0068.0069.0070.0071.0072.0073.0074.0075.0076.0077.0078.0079.0080.0081.0082.0083.0084.0085.0086.0087.0088.0089.0090.0091.0092.0093.0094.0095.0096.0097.0098.0099.00100.00101.00102.00103.00104.00105.00106.00107.00108.00109.00110.00111.00112.00113.00114.00115.00116.00117.00118.00119.00120.00121.00122.00123.00124.00125.00126.00127.00128.00129.00130.00

Price Probability Distribution

Log-normal

Non log-normal

Asset Price

Help

Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.

This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.


60.00 #MACRO? #MACRO?61.00 #MACRO? #MACRO?62.00 #MACRO? #MACRO?63.00 #MACRO? #MACRO?64.00 #MACRO? #MACRO?65.00 #MACRO? #MACRO?66.00 #MACRO? #MACRO?67.00 #MACRO? #MACRO?68.00 #MACRO? #MACRO?69.00 #MACRO? #MACRO?70.00 #MACRO? #MACRO?71.00 #MACRO? #MACRO?72.00 #MACRO? #MACRO?73.00 #MACRO? #MACRO?74.00 #MACRO? #MACRO?75.00 #MACRO? #MACRO?76.00 #MACRO? #MACRO?77.00 #MACRO? #MACRO?78.00 #MACRO? #MACRO?79.00 #MACRO? #MACRO?80.00 #MACRO? #MACRO?81.00 #MACRO? #MACRO?82.00 #MACRO? #MACRO?83.00 #MACRO? #MACRO?84.00 #MACRO? #MACRO?85.00 #MACRO? #MACRO?86.00 #MACRO? #MACRO?87.00 #MACRO? #MACRO?88.00 #MACRO? #MACRO?89.00 #MACRO? #MACRO?90.00 #MACRO? #MACRO?91.00 #MACRO? #MACRO?92.00 #MACRO? #MACRO?93.00 #MACRO? #MACRO?94.00 #MACRO? #MACRO?95.00 #MACRO? #MACRO?96.00 #MACRO? #MACRO?97.00 #MACRO? #MACRO?98.00 #MACRO? #MACRO?99.00 #MACRO? #MACRO?

100.00 #MACRO? #MACRO?101.00 #MACRO? #MACRO?102.00 #MACRO? #MACRO?103.00 #MACRO? #MACRO?104.00 #MACRO? #MACRO?105.00 #MACRO? #MACRO?106.00 #MACRO? #MACRO?107.00 #MACRO? #MACRO?108.00 #MACRO? #MACRO?109.00 #MACRO? #MACRO?110.00 #MACRO? #MACRO?111.00 #MACRO? #MACRO?112.00 #MACRO? #MACRO?113.00 #MACRO? #MACRO?

114.00 #MACRO? #MACRO?115.00 #MACRO? #MACRO?116.00 #MACRO? #MACRO?117.00 #MACRO? #MACRO?118.00 #MACRO? #MACRO?119.00 #MACRO? #MACRO?120.00 #MACRO? #MACRO?121.00 #MACRO? #MACRO?122.00 #MACRO? #MACRO?123.00 #MACRO? #MACRO?124.00 #MACRO? #MACRO?125.00 #MACRO? #MACRO?126.00 #MACRO? #MACRO?127.00 #MACRO? #MACRO?128.00 #MACRO? #MACRO?129.00 #MACRO? #MACRO?130.00 #MACRO? #MACRO?


30.0031.0032.0033.0034.0035.0036.0037.0038.0039.0040.0041.0042.0043.0044.0045.0046.0047.0048.0049.0050.0051.0052.0053.0054.0055.0056.0057.0058.0059.0060.0061.0062.0063.0064.0065.0066.0067.0068.0069.0070.0071.0072.0073.0074.0075.0076.0077.0078.0079.0080.0081.0082.0083.0084.0085.0086.0087.0088.0089.0090.0091.0092.0093.0094.0095.0096.0097.0098.0099.00100.00101.00102.00103.00104.00105.00106.00107.00108.00109.00110.00111.00112.00113.00114.00115.00116.00117.00118.00119.00120.00121.00122.00123.00124.00125.00126.00127.00128.00129.00130.00

Price Probability Distribution

Log-normal

Non log-normal

Asset Price

Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.

This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.


Monte Carlo Simulation ClassWill produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected return and duration.This object is only available in the full version of the add-in.

Examples:

1. Calculating probabilitiesInputs: Results:Upper target 60.00 Probabilities:Lower target 45.00 Above upper target at expirationSpot 50.00 Above upper target at any timeDays 100 Below lower target at expirationVolatility 30% Below lower target at any timeExpected return 10% Touching either targetDividend type D Touching neither targetDividend amount 2.00 Touching both targetsDays to ex dividend 60 Being between targets at any timeNumber of dividends 1Prices per day 1 Average end price:Iterations 2,000

2. Deriving a call price from simulationThis illustrates how simulation can be used to derive the price of an option (in this case a call).The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very closeTo the Black-Scholes price.Inputs: Results:Spot price 100.00Strike 98.00 Call price from simulation:Volatility 30%Days 50 Call price from Black-Scholes:Risk free interest rate 5%Number of iterations 30,000

3. Production of normal distribution curveA simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is proof that the prices produced by the simulation object are Lognormally distributed.Inputs: Results:Current price 90 Gap between prices:Volatility 30%Days 365 PriceExpected return 7% 24Iterations 50,000 26(Change iterations to, say, 5,000 and 28 see the effect) 30

323436

Index

2426283032343638404244464850525456586062646668707274767880828486889092949698100

102

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110

112

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Simulated & Analytic Lognormal Probability Distributions

Stock Price

Pro

ba

bil

ity

Help

38404244464850525456586062646668707274767880828486889092949698

100102104106108110112114116118120122124126128130132134136138140142144

2426283032343638404244464850525456586062646668707274767880828486889092949698100

102

104

106

108

110

112

114

116

118

120

122

124

126

128

130

132

134

136

138

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142

144

146

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154

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Simulated & Analytic Lognormal Probability Distributions

Stock Price

Pro

ba

bil

ity

146148150152154156158160162164166168170172174176178180182184186188190192194196198200202204206208210212214216218220222

Will produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected

Above upper target at expiration 10.1%Above upper target at any time 19.6%Below lower target at expiration 30.8%Below lower target at any time 51.5%

70.5%29.6%

0.6%Being between targets at any time 100.0%

49.36

The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very close

5.82

###

A simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is proof that the prices produced by the simulation object are

Gap between prices: 2Simulation Analytic

Frequency Prob Prob below Prob0 0.000 #MACRO? 0.0000 0.000 #MACRO? ###0 0.000 #MACRO? ###3 0.000 #MACRO? ###3 0.000 #MACRO? ###8 0.000 #MACRO? ###

16 0.000 #MACRO? ###

33 0.001 #MACRO? ###57 0.001 #MACRO? ###

102 0.002 #MACRO? ###125 0.003 #MACRO? ###200 0.004 #MACRO? ###214 0.004 #MACRO? ###303 0.006 #MACRO? ###384 0.008 #MACRO? ###458 0.009 #MACRO? ###530 0.011 #MACRO? ###666 0.013 #MACRO? ###704 0.014 #MACRO? ###863 0.017 #MACRO? ###

1035 0.021 #MACRO? ###1024 0.020 #MACRO? ###1074 0.021 #MACRO? ###1218 0.024 #MACRO? ###1292 0.026 #MACRO? ###1284 0.026 #MACRO? ###1434 0.029 #MACRO? ###1461 0.029 #MACRO? ###1502 0.030 #MACRO? ###1475 0.030 #MACRO? ###1527 0.031 #MACRO? ###1468 0.029 #MACRO? ###1554 0.031 #MACRO? ###1476 0.030 #MACRO? ###1451 0.029 #MACRO? ###1416 0.028 #MACRO? ###1345 0.027 #MACRO? ###1317 0.026 #MACRO? ###1334 0.027 #MACRO? ###1274 0.025 #MACRO? ###1198 0.024 #MACRO? ###1128 0.023 #MACRO? ###1071 0.021 #MACRO? ###1046 0.021 #MACRO? ###973 0.019 #MACRO? ###954 0.019 #MACRO? ###851 0.017 #MACRO? ###858 0.017 #MACRO? ###776 0.016 #MACRO? ###702 0.014 #MACRO? ###678 0.014 #MACRO? ###639 0.013 #MACRO? ###613 0.012 #MACRO? ###583 0.012 #MACRO? ###491 0.010 #MACRO? ###473 0.009 #MACRO? ###428 0.009 #MACRO? ###381 0.008 #MACRO? ###398 0.008 #MACRO? ###352 0.007 #MACRO? ###345 0.007 #MACRO? ###

263 0.005 #MACRO? ###281 0.006 #MACRO? ###223 0.004 #MACRO? ###231 0.005 #MACRO? ###211 0.004 #MACRO? ###202 0.004 #MACRO? ###191 0.004 #MACRO? ###167 0.003 #MACRO? ###146 0.003 #MACRO? ###153 0.003 #MACRO? ###128 0.003 #MACRO? ###121 0.002 #MACRO? ###107 0.002 #MACRO? ###

89 0.002 #MACRO? ###88 0.002 #MACRO? ###80 0.002 #MACRO? ###84 0.002 #MACRO? ###60 0.001 #MACRO? ###68 0.001 #MACRO? ###51 0.001 #MACRO? ###40 0.001 #MACRO? ###48 0.001 #MACRO? ###42 0.001 #MACRO? ###33 0.001 #MACRO? ###33 0.001 #MACRO? ###25 0.001 #MACRO? ###36 0.001 #MACRO? ###14 0.000 #MACRO? ###25 0.001 #MACRO? ###

8 0.000 #MACRO? ###13 0.000 #MACRO? ###18 0.000 #MACRO? ###20 0.000 #MACRO? ###14 0.000 #MACRO? ###

9 0.000 #MACRO? ###13 0.000 #MACRO? ###

4 0.000 #MACRO? ###5 0.000 #MACRO? ###7 0.000 #MACRO? ###

49,919 1.00 ###

HoadleyHedgeReturns an array containing the number of options and/or number of units in theunderlying to achieve specific hedge ratio targets with respect to one or moreof a portfolio's position delta, position gamma and position vega. An examplewould be making a portfolio both delta and vega neutral.This function is only available in the full version of the add-in.

Portfolio examplePortfolio: general valuation details Note: Spot 27.80 1. The function must be entered as an Excel array formula. See helpValuation date 20-Apr-04 for details.Volatility 30.0% 2. Set the "use_underlying" argument to TRUE or FALSE to see the impactRisk free rate 4.00% on hedging of using or not using trades in the underlying.

Portfolio: holdings and current position greeksOptions portfolio: Put or Call Strike Expiry QTY

C 25.00 30-Sep-04 3000C 26.00 31-Aug-04 2000P 27.00 30-Nov-04 -1000P 30.00 30-Jun-04 3000C 30.00 30-Nov-04 -2000

Underlying position: 780Net portfolio position: Current Postion greeks:

Target portfolio hedge ratios (greeks):Required adjustment to portfolio greeks:

Options to be used for adjusting hedge ratiosPut or Call Strike Expiry

Option 1 (currently in portfolio) C 25.00 30-Sep-04Option 2 (currently in portfolio) P 27.00 30-Nov-04

Option 3 (not currently in portfolio) C 28.00 31-Dec-04

Hedging resultsHedge Change in number of unitsType Underlying Option 1 Option 2 Option 3

Delta D #MACRO? #MACRO? #MACRO? #MACRO?Delta, gamma DG #MACRO? #MACRO? #MACRO? #MACRO?

Vega V #MACRO? #MACRO? #MACRO? #MACRO?Delta, vega DV #MACRO? #MACRO? #MACRO? #MACRO?

Delta,gamma,vega DGV #MACRO? #MACRO? #MACRO? #MACRO?

Index


Help


10

1. The function must be entered as an Excel array formula. See help

2. Set the "use_underlying" argument to TRUE or FALSE to see the impacton hedging of using or not using trades in the underlying.

Delta Gamma Vega#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

1.000#MACRO? #MACRO? #MACRO?

0 0 0#MACRO? #MACRO? #MACRO?

Delta Gamma Vega Use_underlying#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? 1#MACRO? #MACRO? #MACRO?

Change in position greeks New position greeksDelta Gamma Vega Delta Gamma Vega

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

HoadleyPLExpiryReturns the profit or loss of an option trade at option expiry.

Example:Inputs

Option_type C CNo_options 4,000 -4,000Strike 9.50 11.00Initial_option_price 1.153 0.421

ResultsStock price at expiry 7.50 8.00 8.50 9.00 9.50P/L for option trade 1 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?P/L for option trade 2 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Total deal profit/loss #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Index

Option trade 1

Option trade 2


Help

7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.50

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Stock Price at Expiry

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10.00 10.50 11.00 11.50 12.00 12.50#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.50

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HoadleyPLIfCloseReturns the profit or loss of an option trade if closed at any time prior to expiry.

Example:InputsPricing_model 2Option_type PNo_options -1,000Strike 50Expiry_date 31-Dec-03Volatility 30%Risk_free_rate 5%Initial_option_price 6.2


Dividend_details Amt Ex-div1.00 10-Apr-03

Binomial_steps 50

ResultsStock price 35.00 40.00 45.00 50.00 55.00Profit/Loss at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Profit/Loss at analysis date 1 31-Mar-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 2 31-Jul-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 3 31-Oct-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Index

Analysis dates


Help

35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00

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31-Oct-03

31-Jul-03

31-Mar-03

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123

CPNCD

60.00 65.00 70.00 75.00#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?

35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00

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31-Oct-03

31-Jul-03

31-Mar-03

Stock Price

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HoadleyPLUnderlyingReturns the profit or loss of a position in the underlying asset as at a specified date. The function takes into account dividends received or paid.

Example:InputsNo_units 1,000Initial_price 20.00Initial_transaction_date 1-Jan-03Analysis_date 30-Jun-03


Dividend_details Amt Ex-divDividend 1 1.00 1-Mar-03Dividend 2 0.60 1-Jun-03

Results: Payoff diagram for covered callStock price 16.00 17.00 18.00 19.00 20.00Stock P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Call option details:strike: 20.00Initial option price 0.512Option P/L at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Total covered call P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

IndexHelp

16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00

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NCD



21.00 22.00 23.00 24.00 25.00#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00

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HoadleyFuturesPriceReturns the forward or futures price of an investment asset.

ExampleInputsCalc_type PValue_date 07-Apr-03Maturity_date 30-Nov-03Spot 102.00Risk_free_rate 3.25%

Optional arguments:Income_type D

Income_details: Amt DateIncome payment 1 (eg coupon) 2.50 04-May-03

Income payment 2 2.50 04-Nov-03

Futures_price

Results -1 Calc Type ResultsFutures price P #MACRO?

Implied risk free rate IR #MACRO?

Results - 2 ResultsStrike: 100Price volatility 12%Call/Put CSpot option (uses spot price): #MACRO?Futures option (uses futures price): #MACRO?This example shows that a European futures option is worthexactly the same as a spot option if the option matures at thesame time as the futures contract. This example proves theconsistency of the futures and options functions.

Index

Option details

Help

CPNCD

HoadleyFuturesConValReturns the profit or loss of a position in the underlyingasset as at a specified date.

ExampleInputsValue_date 10-May-03Maturity_date 03-Dec-03Spot 102.00Delivery_price 98.74Risk_free_rate 2.50%Income_type CIncome_details 2.50%

Results ValueContract value #MACRO?

IndexHelp

NCD

Returns the Value at risk for a portfolio of instruments linearly dependent on market variables.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 NASDAQ DAX 100 US$/EuroVolatilities 18.5% 37.0% 24.0% 9.7%

S&P 500 NASDAQ DAX 100 US$/EuroCorr_matrix S&P 500 1.00 0.92 0.36 -0.17

NASDAQ 1.00 0.41 -0.15DAX 100 1.00 -0.23

US$/Euro 1.00

S&P 500 NASDAQ DAX 100 US$/EuroPositions (US$) 780,000 -250,000 450,000 300,000

VaR_days 5Conf_interval 1%Trading_days_pa 252

Results ValueValue at risk (US$): ###

Correlation matrix positive semi-definite: ###Overall portfolio volatility: ###

VaRtools - HoadleyVaRLinear

Index



Help



Returns the Value at risk for a portfolio of instruments which may not all be linearly dependent on market variables. Can also be used to generate a set of correlated asset prices.The simulation class must be used from a VBA module (macro); it is not a function.The VaR simulation component is only available in the full version of the add-in.

ExampleInputs - general

Market variable IDs MSFT GenElec 10_Yr_BondCurrent prices (not required for linear assets) 27.60 30.21 4.8%Exchange rates 1 1 1

Annual volatilities 32% 19% 23%Correlation matrix MSFT 1 0.8 -0.2

GenElec 1 -0.1010_Yr_Bond 1

VaR period in days 5Confidence interval 1%Trading days per year 252Simulation iterations 10,000Filter by position type (0 = include all) 0(set to 1 to compare simulated VaR with analytic)

Inputs - Positions

Long holding in stock 1 MSFT 5,520,210Short holding in stock 1 GenElec -1,078,500

Option position (note: position value 2 MSFT 55,300 12,080not required for option position)

Ten year bond (using duration method) 3 10_Yr_Bond 2,200,000 9.3

VaRtools - VaR simulation class

Index

Position type

Market Variable ID

Position value

Position delta, or duration

Position gamma



Help



0123

Results

VaR from simulation 643,213

Analytic VaR for linear positions ###

Error status:OK

linear positions ('filter by position' = 1), the simulated VaR will be very close to the analytic VaR.

Note: When the simulation is filtered to only include

Returns an array mapping future cash flows (eg from bonds) at any time periods to anynumber of user-specified time vertices. The function uses quadratic interpolation topreserve the value and market risk of the original cash flows. The cash flow map canthen be used in the VaRLinear function or in the VaR simulation component.This function is only available in the full version of the add-in.

ExampleInputsStandard time vertices in years (maturity dates) 0.25 0.50 1.00Zero rates with continuous compounding 4.50% 5.00% 6.00%Bond price volatilities (% pa) 0.96% 1.60% 3.20%

0.25 0.50 1.00Correlation matrix 0.25 1.0 0.9 0.6

0.50 1.0 0.71.00 1.0

Cash flows: Maturity Amount0.30 120,0000.80 968,0001.20 875,000

Note: The function must be entered as an Excel array formula (crtl-shift-enter)

Results -1Time vertices (years) 0.25 0.50 1.00Mapped cash flows (PV of equivalent bond positions): ### ### ###

Correlation matrix positive semi-definite: ###Five day VaR at 1% confidence interval: ###

Results - 2: Same result but showing detailed mapTime vertices (years) 0.25 0.50 1.00Cash flow 1: Year received: 0.3; Amount: 120,000 ### ### ###Cash flow 2: Year received: 0.8; Amount: 968,000 ### ### ###Cash flow 3: Year received: 1.2; Amount: 875,000 ### ### ###Total ### ### ###

VaRtools - HoadleyCashFlowMap

Index

Download VaRtools additional samples spreadsheethttp://www.hoadley.net/options

Help



1

23

Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing pricesDate S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £9-Sep-00 1494.50 6600.74 16501.55 6703.36 934.78 1.419012-Sep-00 1489.26 6581.96 16130.90 6675.01 932.19 1.411313-Sep-00 1481.99 6555.52 16040.23 6697.80 922.98 1.403214-Sep-00 1484.91 6478.19 16190.52 6568.89 907.58 1.412515-Sep-00 1480.87 6555.50 16213.28 6637.91 913.68 1.406116-Sep-00 1465.81 6417.30 16213.28 6614.65 910.61 1.398719-Sep-00 1444.51 6410.15 16061.16 6522.38 894.96 1.401420-Sep-00 1459.90 6403.50 16124.19 6529.95 895.87 1.408121-Sep-00 1451.34 6279.87 16458.31 6405.43 878.38 1.410722-Sep-00 1449.05 6199.16 16311.05 6254.77 864.69 1.436723-Sep-00 1448.72 6205.92 15818.25 6258.58 869.69 1.457926-Sep-00 1439.03 6257.13 15992.90 6336.28 879.55 1.453527-Sep-00 1427.21 6213.21 15928.62 6294.06 874.75 1.459228-Sep-00 1426.57 6269.34 15639.95 6319.79 880.92 1.461129-Sep-00 1458.29 6264.06 15626.96 6311.03 883.78 1.463830-Sep-00 1436.51 6294.24 15747.26 6266.63 878.32 1.47643-Oct-00 1436.23 6284.46 15902.51 6349.24 890.32 1.46754-Oct-00 1426.46 6345.04 15912.09 6400.43 890.32 1.45675-Oct-00 1434.32 6334.94 16149.08 6296.13 884.63 1.45616-Oct-00 1436.28 6381.98 16099.26 6335.12 892.67 1.45017-Oct-00 1408.99 6391.23 15994.24 6258.41 877.15 1.445810-Oct-00 1402.03 6264.84 15994.24 6110.06 872.56 1.446511-Oct-00 1387.02 6247.68 15827.72 6143.30 870.75 1.450912-Oct-00 1364.59 6117.63 15513.57 5956.12 855.40 1.460613-Oct-00 1329.78 6131.94 15550.64 5990.70 845.08 1.474314-Oct-00 1374.17 6209.58 15330.31 6064.21 859.07 1.450117-Oct-00 1374.62 6285.73 15512.32 6088.04 857.61 1.446118-Oct-00 1349.97 6203.25 15340.22 6067.15 852.25 1.451119-Oct-00 1342.13 6148.24 14872.48 5937.35 843.10 1.442920-Oct-00 1388.76 6218.91 14811.08 6066.48 862.33 1.446321-Oct-00 1396.93 6276.27 15198.73 6149.44 863.69 1.4509

VaRtools - HoadleyCorrel

Index IndexHelp

24-Oct-00 1395.78 6315.90 15097.96 6182.34 864.96 1.451525-Oct-00 1398.13 6438.38 15148.19 6323.74 884.58 1.450126-Oct-00 1364.90 6367.83 14840.47 6277.90 880.52 1.449927-Oct-00 1364.44 6302.32 14858.43 6208.42 883.86 1.435228-Oct-00 1379.58 6366.55 14582.20 6268.93 899.11 1.454731-Oct-00 1398.66 6388.40 14464.56 6296.84 903.65 1.45121-Nov-00 1429.40 6438.42 14539.60 6397.66 921.39 1.44972-Nov-00 1421.22 6457.61 14872.39 6409.05 918.70 1.45203-Nov-00 1428.32 6392.01 14837.78 6400.31 921.34 1.44594-Nov-00 1426.69 6385.44 14837.78 6398.92 925.15 1.44897-Nov-00 1432.19 6430.99 15371.44 6352.24 928.29 1.42718-Nov-00 1431.87 6466.91 15340.33 6386.07 921.48 1.43439-Nov-00 1409.28 6477.37 15399.64 6336.03 916.65 1.425010-Nov-00 1400.14 6442.19 15060.05 6271.15 912.28 1.432911-Nov-00 1365.98 6400.22 14988.54 6147.49 899.63 1.426714-Nov-00 1351.26 6274.80 14664.64 6037.73 880.44 1.438115-Nov-00 1382.95 6412.90 14660.04 6225.98 906.82 1.431316-Nov-00 1389.81 6432.30 14799.14 6301.78 907.62 1.427317-Nov-00 1372.32 6430.40 14587.03 6283.06 894.88 1.423518-Nov-00 1367.72 6440.10 14544.30 6161.92 885.02 1.423321-Nov-00 1342.62 6344.98 14531.65 6021.79 870.04 1.423422-Nov-00 1347.35 6382.15 14408.46 6081.02 872.17 1.418323-Nov-00 1322.36 6221.36 14301.31 5944.70 855.38 1.406824-Nov-00 1322.36 6287.26 14301.31 6053.04 866.23 1.406825-Nov-00 1341.77 6327.55 14315.35 6145.65 876.65 1.399828-Nov-00 1348.97 6374.69 14720.39 6171.33 879.49 1.417529-Nov-00 1336.09 6249.80 14658.87 6069.22 871.12 1.416330-Nov-00 1341.91 6164.88 14507.64 6060.65 873.23 1.42291-Dec-00 1314.95 6142.20 14648.51 5928.08 849.89 1.42652-Dec-00 1315.23 6170.42 14835.33 5928.50 859.23 1.44165-Dec-00 1324.97 6158.67 14954.73 5791.51 846.16 1.45106-Dec-00 1376.54 6298.98 14695.05 5994.89 868.39 1.43387-Dec-00 1351.46 6273.32 14889.37 5985.24 873.11 1.44348-Dec-00 1343.55 6231.37 14720.36 5984.69 867.90 1.44479-Dec-00 1369.89 6288.33 14696.51 5939.32 874.94 1.445312-Dec-00 1380.20 6370.35 15015.70 6077.88 888.85 1.456313-Dec-00 1371.18 6390.41 15114.64 6047.66 884.02 1.448414-Dec-00 1359.99 6402.96 15168.68 5962.29 870.58 1.456915-Dec-00 1340.93 6263.81 14927.19 5905.65 855.08 1.456416-Dec-00 1312.15 6175.81 14552.29 5839.54 843.69 1.456419-Dec-00 1322.74 6246.48 14483.90 5887.49 843.96 1.475620-Dec-00 1305.60 6294.98 14132.37 5958.86 857.91 1.465321-Dec-00 1264.74 6176.71 13914.43 5766.30 831.38 1.478622-Dec-00 1274.86 6115.48 13423.21 5758.92 824.13 1.473523-Dec-00 1305.97 6097.53 13427.08 5783.73 828.88 1.481826-Dec-00 1305.97 6097.53 13931.61 5783.73 828.88 1.481827-Dec-00 1315.19 6097.53 14007.85 5783.73 828.88 1.481828-Dec-00 1328.92 6218.17 13981.49 5857.15 835.87 1.481829-Dec-00 1334.22 6223.22 13946.96 5920.60 839.78 1.481830-Dec-00 1320.28 6222.46 13785.69 5926.42 851.29 1.49602-Jan-01 1320.28 6222.46 13785.69 5926.42 851.29 1.4960

Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.

US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

US$/Yen US$/EURO 0.0094 0.86640.0094 0.86180.0094 0.86070.0093 0.86460.0093 0.86140.0093 0.86310.0094 0.85440.0093 0.85360.0094 0.84750.0094 0.85290.0093 0.88170.0093 0.87330.0093 0.88010.0093 0.88130.0093 0.88290.0093 0.88250.0092 0.88170.0092 0.87640.0091 0.87280.0092 0.86950.0092 0.86970.0092 0.86900.0093 0.86820.0093 0.87390.0093 0.86250.0093 0.85950.0092 0.84860.0092 0.84990.0093 0.84760.0092 0.83960.0092 0.8376

0.0092 0.83600.0093 0.83720.0092 0.82870.0092 0.82900.0092 0.84270.0092 0.84500.0092 0.84760.0092 0.85760.0092 0.86010.0093 0.86360.0093 0.86120.0093 0.86070.0093 0.85630.0093 0.85890.0093 0.86350.0093 0.86010.0092 0.85810.0092 0.85940.0092 0.85430.0092 0.85270.0091 0.84890.0091 0.84560.0091 0.84330.0091 0.84210.0090 0.83980.0090 0.84890.0091 0.85500.0090 0.86010.0091 0.87050.0090 0.87300.0090 0.88940.0090 0.88500.0091 0.88460.0090 0.88980.0090 0.88810.0090 0.87790.0090 0.87720.0089 0.87560.0089 0.88740.0089 0.89750.0089 0.89580.0089 0.89110.0089 0.90680.0089 0.91410.0089 0.92350.0089 0.92350.0089 0.92890.0089 0.93060.0089 0.92570.0087 0.93890.0087 0.9389

Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £ US$/YenS&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


Inputs: Historic closing pricesThis is examples uses the closing prices on the Correl sheet.

VaRtools - HoadleyCorrelEWMA

Index



Help



Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.

US$/EURO #MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

Returns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults




VaRtools - HoadleyCovar

Index



Help




Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults




VaRtools - HoadleyCovarEWMA

Index



Help



Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.


Converts asset volatilities and correlations to a covariance matrix of a specified number of days.The default matrix is for a period of one day.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £

Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?(daily) FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Notes: 1. The above matrix should be the same as the covariance matrix on the covar sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)

VaRtools - HoadleyCorrToCovar

Index



Help



US$/Yen US$/EURO #MACRO? #MACRO?



Converts a covariance matrix to a correlation matrix.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £

Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


Notes: 1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)

VaRtools - HoadleyCovarToCorr

Index



Help





Checks that a matrix (correlation, covariance) is positive definite.The VaR simulation component requires positive definite matrices in order togenerate correlated scenarios using the Cholesky decomposition.This function is only available in the full version of the add-in.

ExampleInputs and Results

Matrix

Positive definite (and therefore also 1.0 0.5positive semi-definite 0.5 4.0 #MACRO? #MACRO?

Not positive definite but 1.0 2.0positive semi definite 2.0 4.0 #MACRO? #MACRO?

Neither positive definite nor -1.0 2.0positive semi-definite 2.0 2.0 #MACRO? #MACRO?

VaRtools - HoadleyCheckPD

Index

Positive definite

Positive semi-definite



Help



Checks that a matrix (correlation, covariance) is positive semi-definiteThe HoadleyVaRLinear functions requires positive semi-definite matrices.This function is only available in the full version of the add-in.

ExampleSee the examples on the CheckPD sheet

VaRtools - HoadleyCheckPSD

Index



Help



Returns the volatility of a portfolio consisting of any number of linearinstruments.This function is only available in the full version of the add-in.

ExampleInputs

Volatilities 15.0% 17.5%Expected annual returns 10% 13%

US EAFECorrelation matrix US 1.00 0.35

EAFE 1.00

Matix positive semi-definite? ###

Results: Portfolio scenarios

0% 100% 13.0% ###5.00% 95% 12.9% ###

10.00% 90% 12.7% ###15.00% 85% 12.6% ###20.00% 80% 12.4% ###25.00% 75% 12.3% ###30.00% 70% 12.1% ###35.00% 65% 12.0% ###40.00% 60% 11.8% ###45.00% 55% 11.7% ###50.00% 50% 11.5% ###55.00% 45% 11.4% ###60.00% 40% 11.2% ###65.00% 35% 11.1% ###70.00% 30% 10.9% ###75.00% 25% 10.8% ###80.00% 20% 10.6% ###85.00% 15% 10.5% ###90.00% 10% 10.3% ###95.00% 5% 10.2% ###

100.00% 0% 10.0% ###

VaRtools - HoadleyPortfolioVol

Index Index

US equities

EAFE equities

% US equities

% EAFE equities

Portfolio return

Portfolio volatility

Help

13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%

9.5%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%Efficient Frontier

Portfolio VolatilityP

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Download MPT/CAPM portfolio optimizer

13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%

9.5%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%Efficient Frontier

Portfolio Volatility

Po

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turn

100% US

100% EAFE


http://www.hoadley.net/options/develtoolsoptimize.htm

HoadleyGetQuotesA subroutine which can be called from a VBA module to return stock quotes from Yahoo.

ExampleClick on heading fields below to select/change columns

Symbol Name Date Last Trade Change

IBM INTL BUS MACHINE 27-Dec-02 77.36 -1.14MSFT MICROSOFT CP 27-Dec-02 52.97 -0.42Dell DELL COMPUTER 27-Dec-02 27.02 -0.36GE GENERAL ELEC CO 27-Dec-02 24.70 -0.41F FORD MOTOR CO 27-Dec-02 9.58 -0.21C CITIGROUP 27-Dec-02 35.17 -0.85BA BOEING CO 27-Dec-02 32.33 -0.30BAC BANK OF AMERICA 27-Dec-02 69.17 -0.67MER MERRILL LYNCH 27-Dec-02 38.30 -1.24XOM EXXON MOBIL 27-Dec-02 34.64 -0.68

ANZ.AX ANZ BANKING GRP 27-Dec-02 17.70 0.03NCP.AX NEWS CORP 27-Dec-02 11.81 -0.16

#VALUE! (yahoo format string) Unhide YahooFormatString sheet to view format character table

Index


Help


Click on heading fields below to select/change columns

Day's High Day's LowClick on column

79.18 76.61 77.25 headings to change54.00 52.9 52.86 selection.27.45 26.83 27.0325.30 24.54 24.75

9.80 9.53 9.6436.06 34.85 35.1733.09 32.14 32.3370.20 68.9 69.1239.48 38.08 38.2735.52 34.6 34.58

17.74 17.53 17.711.93 11.76 11.81

Unhide YahooFormatString sheet to view format character table

Last Trade (Real-time)

HoadleyRateConConverts a rate or yield from one compounding frequency to another. eg quarterly to continuously compounded.

ExampleInputsRate to be converted 10.000%source_frequ 4target_frequ 0

ResultsConverted rate: #MACRO?

Converted back to original rate: #MACRO?

Index


Help


Date post:	18-Jul-2016
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Samples stockmarket

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