Volatility
This is a free spreadsheet that downloads free historical stock data from the Yahoo database into the spreadsheet and calculates the historical or realized volatility of the selected stock. The standard deviation of prices are plotted along side the stock price chart. The user can freely change...
Platforms: Windows, Mac
License: Freeware | Size: 70 KB | Download (63): Stock Volatility Calculator Download |
This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below. TSOVs avaible are: TermType - 1 = sigma = A exp (-CT) - 2 = sigma = A exp (-CT) + D - 3 = sigma = (A + BT) exp (-CT) + DRequired...
Platforms: Matlab
License: Freeware | Size: 174.08 KB | Download (45): Term Structure of Volatility Calibration Download |
It connects and retrieves data from the Yahoo! finance service.The program uses daily closing prices in the calculations.If not specified, the program defaults to N=20 previous trading days.The user may supply either a single ticker symbol or a cell array of ticker symbols.Using the supplied N,...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (50): Historical Volatility Script Download |
The Toolbox forecasts the volatility of a (mxn) vector of data and from a variety of in-built / non-in-built GARCH models with various distributions, as well as the univariate RiskMetrics. The toolbox also estimates a number of Volatility Forecast Loss Functions and if selected Value-at-Risk for...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (45): Volatility Forecast Toolbox Download |
The self-contained script demonstrates excess, volatility driven growth, in a rebalanced portfolio.Based on the paper "Benchmarking and Rebalancing" by Gabay and Herlemont, yats.com, 19 Septembre 2007, this script reproduces example 1, showing the long-term rebalancing excess growth rate g*.There...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (43): Example of Volatility Pumping Download |
This toolbox estimates the following volatility loss functions:1. Mean Square Error, MSE2. Mean Absolute Deviation, MAD3. Mean Logarithm of Absolute Errors, MLAE4. Heteroskedasticity-adjusted Mean Square Error, HMSE5. Heteroskedasticity-adjusted Mean Absolute Error, HMAE6. Median Absolute Error,...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 1024 KB | Download (44): Volatility Loss Functions and VaR Conditional, Indepedence and Regulatory BackTests Download |
This GUI uses a constant relative volatility (alpha) to estimate the equilibrium curve. From there, the GUI uses the "McCabe and Thiele Graphical Method" to estimate the ideal number of plates in the column.A reference is provided in the GUI: look in Help/About.Comments, suggestions or bugs,...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (44): GUI for distillation columns: McCabe and Thiele Method. Download |
[DIMENSION STANDARD_DEV] = fractalvol(DATA) calculates the fractal dimension of the 1 dimensional random walk, DATA. DATA is assumed to be a function of its indices. Finds fractal volatility by embedding in the unit square and box counting. Y axis will be rescaled values of DATA, x axis is...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (48): Fractal Volatility of Financial Time Series Download |
This paper outlines a methodology for calibrating the Schwartz-Smith two factor commodity pricing model across multiple commodities such that on the valuation date:1. The calibration produces simulations that are consistent with the current forward curve term structure2. The calibration produces...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 419.84 KB | Download (39): Calibration of Forward Price, Volatility, and Correlations across multiple assets Download |
MCTH Number of Theoretical Plates by McCabe-Thiele method for distillation towers of binary mixtures
- Interactive changes using McCabe-Thiele diagram
- Full printable reports
- Vapor equilibrium using relative volatility or VLE data table
- 47 VLE data tables included
- Easy and fast...
Platforms: Windows, Windows 7
License: Shareware | Cost: $24.00 USD | Size: 2.22 MB | Download (47): MCTH - McCabe Thiele Plates Calculator Download |
The Derivicom FinOptions XL analytics library is a comprehensive suite of functions with extensive cross asset derivative coverage for the financial professional. Built to support the demand of today's financial markets, FinOptions XL gives you the ultimate in accuracy and flexibility to handle...
Platforms: Windows, Windows 8, Windows 7, Windows Server
License: Shareware | Cost: $499.00 USD | Size: 8.69 MB | Download (338): FinOptions XL Download |
Advanced option calculator - powerful and unique tool for option traders. Major features: calculates the fair value of put and call options; calculate implied volatility; calculate greeks (Delta, Vega, Gamma, Theta); plots Profit & Loss graph of option position; calculates probability of the...
Platforms: Windows
License: Demo | Cost: $49.95 USD | Size: 600 KB | Download (615): Advanced Option Calculator Download |
Option Calculator - calculates the value of put and call options (The Black-Scholes Option Pricing Model), calculates implied volatility and greeks (Delta, Vega, Gamma, Theta). You can see graph of option position (buy call or buy put).
Platforms: Windows
License: Freeware | Size: 500 KB | Download (384): Option Calculator Download |
Option Calculator - calculates the value of put and call options (The Black-Scholes Option Pricing Model), calculates implied volatility and greeks (Delta, Vega, Gamma, Theta). You can see graph of option position (buy call or buy put).
Platforms: Windows
License: Freeware | Size: 500 KB | Download (180): SQL Examiner 2008 Download |
Finance::BDT is a Perl module that implements BDT yield curve model. SYNOPSIS use Finance::BDT; use Data::Dumper my @y = (0, 0.0283, 0.029, 0.0322, 0.0401, 0.0435, 0.0464, 0.0508, 0.0512); ## YTM on strips my $vol = 0.20; ## constant volatility my $epsilon = 0.01; my ($r, $d, $A) =...
Platforms: *nix
License: Freeware | Size: 4.1 KB | Download (112): Finance::BDT Download |
Trading systems developing software primarily for the forex market. Extremely fast calculations. Dozens of the unique features: independent stop loss and take profit levels for both long and short positions; formula based bias; trailing take profit and trailing stop loss with behaviour options;...
Platforms: Windows
License: Shareware | Cost: $390.00 USD | Size: 460 KB | Download (109): Signalator FX Download |
NumXL is a Microsoft Excel add-in for econometrics and data analysis, designed to make finance modeling and time series easier to manage. You can perform all of your data work right in Excel. NumXL allows you to apply advanced econometric analysis quickly and easily via an intuitive user...
Platforms: Windows, Windows 8, Windows 7, Windows Server
License: Shareware | Cost: $625.00 USD | Size: 609 KB | Download (768): NumXL Download |
The program computes the number of equilibrium stages for a binary ideal mixture with relative volatility equal to 2.45. The feed is a two phase mixture with a feed quality is equal to 0.85. The distillate, feed and bottom mole fractions are 0.9, 0.5 and 0.1, respectively. The reflux ratio is...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (40): McCabe-Thiele Method for an Ideal Binary Mixture Download |
RiskMetrics.m: Estimates the univariate or multivariate RiskMetrics. USAGE: rm = RiskMetrics(data,alpha) INPUTS: data = ( m x n ) vector lamba = the scale parameter method = Univariate or Multivariate OUTPUTS: rm = ( m x n ) volatility vector for the univariate case or an [( n x n )x m]...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (43): RiskMetrics Download |
One must input to a dialog box Antoine's constants, Wilson binary interaction parameters and liquid molar volume of any binary mixture of his choice. The program computes and plots activity coefficients, relative volatility and VLE diagram.
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (42): Binary VLE Computations using Wilson's Model Download |