Questions tagged [excel]

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1answer
37 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 ...
0
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1answer
51 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 ...
3
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0answers
63 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 / ...
0
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1answer
54 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 ...
0
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1answer
118 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 ...
0
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0answers
15 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
271 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: ...
0
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1answer
90 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
89 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 ...
0
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1answer
288 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 <...
1
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0answers
32 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 ...
0
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2answers
63 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. ...
0
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0answers
80 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
0
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0answers
52 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 ...
0
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0answers
127 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
61 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
45 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 ...
1
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1answer
55 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 ...
0
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1answer
81 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:
1
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0answers
30 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
85 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
0
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0answers
36 views

Missing functions in QuantLibXL

I have been using the open source addin QuantLibXL extensively. This provides an easy way to use the QuantLib library in a simple Excel environment. However, there are a few of the more recent ...
0
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0answers
34 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 ...
0
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0answers
162 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
389 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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0answers
61 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
votes
2answers
153 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
307 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
79 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. ...
0
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0answers
46 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
votes
2answers
235 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
73 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 ...
-1
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1answer
385 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
330 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 = ...
-1
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1answer
491 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? ...
0
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2answers
578 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
150 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
626 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 ...
0
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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 ...
0
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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
818 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
votes
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
611 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
377 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 ...
1
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1answer
20k views

Price at Specific Time from Bloomberg

I have a file where I easily export real-time prices to excel using the Bloomberg Add-In, using the formula BDP. Is there a way to get these prices of a specific time? For example, =BDP("EURGBP ...
0
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1answer
217 views

How do I modify my basic black scholes model in Excel to price american options?

I've modeled a basic black scholes model in Excel and I have been using it to price European options for backtesting purposes. This has been working fantastically and I would like to adjust this to ...
4
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1answer
422 views

Holdings based style analysis

This question is not very technical. I have a file with holdings (both for the fund and the benchmark) of a number of securities and need to do a style allocation analysis. For these securities, I ...
1
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1answer
5k views

What are Generic government treasury bonds? (Bloomberg terminal)

I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the ...
1
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0answers
321 views

how to use excel solver to get the shares weights minimize a risk indicator given a fixed profitability I want to make?

I don't know whether this question should have better been asked on Quantitative Finance's forum or Cross Validated or Super-User. I want to minimize a risk indicator given a fixed profitability I ...