Questions tagged [vba]

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Does anyone have all of Paul Wilmott's "Spreadsheets and VBA" files?

I couldn't find it on his website and the only ones I have are the files contained in the Introduction to Quantitative Finance's CD.
2 votes
1 answer
207 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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1 answer
627 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 ...
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4 votes
1 answer
676 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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1 answer
2k 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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1 answer
694 views

VBA Black Scholes Implied Volatility

I keep getting a Implied Vol. = to my initial guess, My code is as bellow ...
0 votes
0 answers
49 views

Quick Question: Error in Theta Put Option for Black Scholes VBA

I have started an analyst role and I am trying to familiarize myself with the Black-Scholes formula in VBA to gauge option prices. However, I cannot seem to get the Put Theta to work properly. I have ...
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1 vote
0 answers
49 views

Quesion about the VBA function of continuous cap look up [closed]

Here is the VBA function to calculate the cap price Can anyone tell me what is N and t0? From the textbook, N = the number of reset (or payment) dates and t0 = time until the first reset date. But ...
0 votes
1 answer
148 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 ...
0 votes
1 answer
476 views

Do quants need to know bloomberg terminal and VBA? [closed]

I am a Pure Maths PhD student who will graduate in 2 years time. My aim is to land a quant job after gradauation. When collecting more information so that I can have some edges over others, I heard ...
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5 votes
1 answer
4k views

Market Making Algorithm/ Strategies

I have been taking a "Trading Strategies" course, but the experience is awful as the instructor barely provides any learning resources. I have an upcoming evaluation on market making algorithm using ...
2 votes
0 answers
498 views

Calculate the True daily Time Weighted Return

I have an access database with records of securities in my portfolio as well as my trades for each security. My aim is to calculate the "Daily Time Weighted Return" then down the line, export it and ...
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2 answers
425 views

Simulated Sharpe Ratio Calculation for Leveraged Portfolio

I've written some VBA code to simulate the effect of borrowing money, investing it, and repaying the loan daily. PseduoCode: Start with a portfolio value of P = 1 Each day borrow P, invest 2*P, ...
-2 votes
2 answers
430 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 votes
1 answer
693 views

I built a monte carlo simulation option pricer in excel. How do i modify it to price american options?

I see several methods to modify the monte carlo model to price american option payoffs. However, the math looks a little too complex to model into excel - i am looking at the least square methods by ...
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1 vote
0 answers
63 views

Stocktrack webscrapping? [closed]

Is it possible to scrape data from stocktrack.com into Microsoft Excel? I have been writing VBA code but the password protection might be a problem because none of my code works. I'm starting back at ...
1 vote
0 answers
542 views

Adding Asset Weights To Cholesky Output - Monte Carlo in VBA

I am looking to create a Monte Carlo generator in Excel to plot correlated asset paths for a portfolio containing 1 to 10 assets. I have the correlation matrix for all 10 assets and have performed the ...
4 votes
1 answer
2k views

Portfolio Optimization with Monte Carlo Simulation - How to do it with Excel?

If I have three asset classes and their historical weekly returns for five years, how can I construct a minimum variance portfolio and an efficient frontier plot with Excel? To do that do I have to ...
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1 vote
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3k views

Exporting Time Series Data For Securities Prices From Bloomberg to Excel

I have a list of securities over a thousand entries long that I want to construct a time series of prices for over a specified historical period (e.g. 2/01/10-2/20/10). Doing this manually would take ...
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5 votes
3 answers
1k views

Resources for finding quantitative finance examples using excel, VBA and access

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 ...