Questions tagged [vba]

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1answer
120 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 ...
0
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1answer
615 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
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0answers
65 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 ...
0
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1answer
101 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
2answers
312 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
1answer
381 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 ...
1
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0answers
42 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
0answers
447 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
1answer
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 ...
1
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0answers
2k 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 ...
5
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3answers
971 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 ...