Questions tagged [excel]

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3answers
119 views

Future Value: the functions in Excel, Matlab and Numpy Financial don't work when the number of periods is large

The Future Value function and its expected behaviour Excel's function FV(rate, nper, pmt, pv) calculates the future value of an investment based on periodic, ...
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0answers
21 views

Using Bloomberg API on Excel to find that a stock “ will ” change its ticker

I am wondering if there is a way in Excel, using Bloomberg API, to find if tickers "WILL" CHANGE or be acquired by other firms.
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0answers
35 views

Where to find Historical price data (csv preferable) for global Gov bonds and markets. All dollar denominated?

I'm doing a lengthy backtest on a certain portfolio and i've managed to get FTSE 100 data going back to 05-30-1990, where could I find data for global Government bonds going back to that date? A csv ...
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0answers
49 views

Backtesting a permanent portfolio

I'm looking to backtest this portfolio: Global Bonds, gold, Global Stocks, short-term t-bills (1/4 each) from 1990 up to this year, rebalanced monthly. Then take a variety of statistics on the time ...
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1answer
43 views

Bloomberg Excel API, how to extract one number out of BDS

The BDS function provided by the Bloomberg Excel plugin produces multiple cells. For example, =BDS("VOD LN Equity", "TICK_SIZE_TABLE") fills three columns and 19 rows of data. The ...
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1answer
47 views

Building a fundamental equity scoring model based on data from Bloomberg

I have identified around 20 interesting statistics for a universe of stocks, regarding metrics of size, growth, valuation, quality, risk. Think market cap, free float, average daily volume. The ...
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1answer
51 views

Issue with Monte Carlo Simulation on an interest rate tree in Excel

I need to build a Monte Carlo simulation model that does 10 iterations on the interest rate tree. I need to identify the interest rate given a sequence of moving up and down the interest rate tree. I ...
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1answer
89 views

Best way to get Sharpe ratio and volatility based on BBG-data in Excel for automation

For tickerized portfolios in PRTU, I want to extract Sharpe ratios and historic volatilities per annum or for 1, 3, 5 years from Bloomberg. So far, I have been ...
4
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1answer
101 views

FX Option Price Quotation

I'm trying to replicate the following FX vanilla option pricing exercise (and the conversion between the quote types), taken from Wystup (2006). A call's value today is well-known given by BS / ...
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1answer
106 views

IRR with Inflation Rate

I have cash inflows and cash outflows for a 7 year period and my MIRR and inflation rate. That's all the information I have. How do I calculation the IRR taking the inflation rate into account in ...
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1answer
241 views

Bloomberg bond clean price and accrued amount differs from Quantlib

I'm getting the different bond clean price from Bloomberg and from QL but surprisingly Bloomberg price matches with excel price() function I have the following bond : GETC21117030. The parameters are ...
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0answers
18 views

How to correctly draw data from Thomson Reuters S

I have just got access to DataStream, and wish to do some analysis, however the data is not in the form that I wish for it to be. It is currently like this. I wish for it to be like this, where the ...
4
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1answer
330 views

Complex numbers in VBA

Hey I try to price options in VBA. To do this I need to define characteristic function and do some operations on complex numbers. For example I have this code: ...
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1answer
93 views

How do you simulate returns for a portfolio when you have Lumpsum + Monthly investments (SIP) in place?

I'm trying to simulate portfolio returns using Norm.inv function in excel. Inputs to the formula: Prob= Rand, Std dev= Historical, Mean= 5 year historical average. Its easy to do this when you're ...
2
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1answer
94 views

Excel PasteSpecial Values shortcut button causing QuantLib to crash

I am experiencing a strange issue with QuantLibXL when I use the quick-access PasteOptions/Values button on the Excel right-click toolbar (apologies for the picture: it is surprisingly hard to capture ...
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1answer
572 views

Populating price data from Bloomberg in Excel with BDH via macro not returning time series

Though issue has been addressed before on stackoverflow and reddit, I was not able to find any useful answers. I'm running a macro to populate price data with a macro via excel bloomberg API, say <...
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0answers
35 views

Portfolio Weight Constraints

Hi, So I was asked to calculate the maximum sharpe ratio using solver in excel but it gave me really big numbers for the portfolio weights. So I was wondering what is a good constraint to add and why ...
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2answers
85 views

free equity screeners with export to excel

I am having a tough time finding a free equity screener that allows me to download the following data into excel: P/E or EV/EBITDA, Growth, Return on capital or any return measures would be helpful. ...
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0answers
109 views

How to Calibrate SABR parameters by fixing Beta(Quantlib XL/Python)

Unable to find a good example for either Quantlib XL/Python where we can calibrate Alpha, Rho and Nu by fixing Beta. Any help would be appreciated
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0answers
76 views

Calibration of the Ho Lee model in Excel only based on historical treasury rates (3 months)

I would like to calibrate the Ho Lee model $dr_t=θ_tdt+σdW_t$ with $θ(t)= F_t(0,t)+σ^2$ in Excel based on a time series of 3-month treasury rates and then compare the real time series with that ...
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0answers
196 views

Calibration and comparison of the Vasicek model and Ho-Lee model

I would like to calibrate the Hoo-Lee model and the Vasicek model to a historical interest rate series and compare the interest rate development of both models with the historical interest rate series....
1
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0answers
70 views

Option Based Portfolio Insurance OPBI Simulation Excel

I want to simulate an example of OBPI in Excel. I can't find any example online with random figures that show how to simulate it. I tried to understand the appendix of Perold (1995): Dynamic ...
0
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1answer
50 views

Different XTIR results between Excel, Google Spreadsheets, LibreOffice Calc and my algorithm

I am developing an algorithm to calculate XIRR, and I found some differences between excel and my algorithm, so I decided to compare other software that have the XIRR formula. I found the following ...
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1answer
59 views

How to calculate IRR between 2 numbers

I want to consider 4 scenarios in google sheets. All deal with a periodic return over n periods Positive to Positive Positive to Negative Negative to Negative ...
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1answer
99 views

Swaptions vols,object using quantlib xl

How can I build a good vol surface using QuantlibXl? My goal is to price a swaption 5 year with option maturity 1Y1M. The data are:
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0answers
31 views

Excel rate function with nper as decimal returns unexpected result [closed]

I set up a simple problem Payment after 0.4 year is 25. The rate is 10%. I calculated PV as $\frac{25}{(1+10\%)^{0.4}} = 24.77$ Then I did Rate(0.4,25,-24.77,0) in ...
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0answers
104 views

How to use quantlib Excel for valuation of european swaption with vol surface to calibrate?

I would like to replicate the following Bloomberg pricer in quantlib using Quantlib xl. Is it possible? Thanks
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0answers
36 views

how to calculate yearly volatility from weekly obersvations over 179 weeks?

I am working right now at something and I want to get sure that I am not doing any mistakes - maybe you can help me: I collected weekly returns from a stock over 179 weeks and know I want to ...
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0answers
211 views

Excel formula for Laplace distribution

I am trying to create a forecast model, projecting the number of passengers through an airport over a period of time (daily, weekly, and monthly). I've already used Excel's FORECAST and POISSON ...
1
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1answer
446 views

Find Interest Rate Swap BUMPs from Bloomberg in Excel

I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. ...
1
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1answer
104 views

How can I get real-time CDOR rate, swaps, and options pricing data refreshed on a daily basis in Excel?

I'm currently using "Bloomberg Anywhere", which is the same as Bloomberg Terminal except account-specific rather than PC/hardware-specific. I currently have to refresh the rates every morning at ...
2
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2answers
162 views

Single-step Monte Carlo in Excel

How do you simulate correctly using raw prices not returns? I have corresponding periods of earnings to Futures but the Excel call function =NORMINV(RAND(),mean,stdev) generates negative Futures ...
1
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1answer
444 views

Annualising standard deviation (monthly, quarterly data)

The question I have refers to annualised standard deviation. For example, I have various funds monthly returns data for the period 1980-2019. Some of them report data for e.g. 13, 19, 43, 56 months ...
1
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0answers
129 views

Extract historic share prices for certain securities at certain points in time with Bloomberg Excel Add-in? [closed]

In order to create some sort of basic framework for everything we are planning on doing in a research project, we would need to get historic intraday data about share prices at certain points in time. ...
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0answers
50 views

Calculating the interest portion of a loan between two dates

The IPMT function in Excel calculates the interest portion of a loan between 2 dates. Is this a closed loop formula? Or are the payments projected and the interest summed up? I need to implement ...
4
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2answers
251 views

Finding Lead-Lag Relationship [duplicate]

Given two series of data, volatility and returns, is there a way (Excel) of finding which one is the leading factor and lagging factor? Thank you for your help.
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0answers
77 views

Markowitz models with uncertain returns

I am analyzing the Markowitz models with uncertain returns as follows: after calculating the expected returns and the covariances of 30 monthly historical series of 30 stocks, I resolve the Markowitz ...
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1answer
406 views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
1
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1answer
345 views

Multi year performance evaluations [closed]

first question here on StackExchange; I would value your help, I am on excel working with a 3 year / 36 month investment performance. I am calculating the Sharpe Ratio as follows; Cell KV32 = ...
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1answer
505 views

(Bloomberg) BDP Formula question [closed]

Good Morning, I am using the below formula and need some help, how do I change the below strike price (400) to pull from a separate cell (T2) I have on the spreadsheet? ...
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2answers
637 views

question on XIRR (excel)

Let's say we have an initial investment of -10 on 1/1/2000, and from 1/1/2001 to 1/1/2018 (with annual payments on Jan-1 of each year for 18 years) we get a CF of +2 each year with a final payment of ...
0
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1answer
6k views

Bloomberg formula for bond total return

Do you know a bloomberg excel formula to retrieve the dayly total return of a bond over a period? By total return I mean : (change in price + coupon)/initial price Same as for a stock but with ...
1
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0answers
158 views

DCF valuation and the constant WACC assumption

I have a question that has been on my mind ever since I learned about DCF. I was taught that for the DCF to be valid WACC should be constant. As a physicist by training this assumption is strange to ...
1
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1answer
662 views

Excel Add-In Volatility Interpolation I am trying to Understand

The Microsoft Excel at my investment bank has an .xll add-in with a function whose coded functionality I cannot observe. This function is called VolInterp and as the name suggests, calculates the ...
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2answers
1k views

Pulling portfolio from bloomberg

I am not sure wether I should post this question here or on stack overflow, but I'll give it a shot anyway. I am trying to get my portfolio from PORT in bloomberg. Basically I am trying to automate a ...
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2answers
1k views

Calculating 10-year Sharpe ratio for a mutual fund in excel?

Probably a very simple question but here goes. I am looking to calculate the Sharpe ratio for some funds in excel (173 funds to be exact). The monthly returns I have are from January 2006 to December ...
1
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1answer
904 views

Calculating fund alpha using Fama-French 3 factor model?

My dissertation requires me to evaluate fund performance, and for that I need to find the alpha for each fund. I have 173 funds total. I have all the inputs for the 3-factor model, and I realise ...
3
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2answers
3k views

Excel YIELD function equivalent in python Quantlib

I am struggling to get an equivalent of Excel's YIELD function using Quantlib in python. As you can see from the Excel documentation on YIELD here, only a few parameters are needed compared to this ...
1
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1answer
641 views

QuantLibXL swap valuation fixing dates

I'm trying to build a Excel spreadsheet with QuantLib 1.4 for swap valuation of "live" swaps; IRSs with a start date in the past, and an end date in the future. This is what I've got so far... ...
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2answers
385 views

Modeling stock performance in excel

I am trying to model the ending value of a stock after a certain number of years, I need it for a bigger project but I made this sample sheet to get help. This sheet is assuming that annual returns ...