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I am seeking to increase my knowledge in the quantitative finance field. I would be grateful if someone could point me to useful resource online, where I can find working examples of they types of applications built in Excel or Access, one can expect to find on a trading desk or in the middle office of a bank.

I already know how to program (C, C++, Python etc), but I want to familiarize myself with working applications - in preparation for interviews.

In the event that no resources are forthcoming, I would be interested in hearing from practitioners, what types of applications (or tools), they construct using Excel, VBA, and/or access. It would be useful in terms of the required functionality of the tools, so that in the event that there are no suitable resources online, I can try to build the tools myself.

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2 Answers 2

In terms of end-user applications, all trading desks and middle office places I know, use either their own proprietary or expensive third party sources.

On the other hand there exists a c++ library called QuantLib that is well known among real world practitioners, probably because it contains several routines that are well tested and robust. Often pieces of this library are "copied and pasted" into the otherwise "proprietary" company's software.

Since you are looking for free access to public domain software, I would therefore suggest you take a look at quantlib. If you are more interested towards end-user spreadsheet-based analysis for yield curve building and option pricing, you may find the freeware deriscope to be a user-friendly interface to the QuantLib's algorithms, but I guess my last advice is unavoidably skewed due to my personal involvement with Deriscope's development.

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Volopta has some nice examples, but not always true. Their MATLAB GARCH code was not in line with Duan's specs.

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