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...

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...

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

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

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

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

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

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

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

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

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

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

fxoptions( S0, X, rd, rf, T, vol, style)Valuation of European and American call and put options on foreign exchange using Garman-Kohlhagen model.European option prices are given by an exact formula (Garman-Kohlhagen).American option prices are approximated using both binomial and trinomial...


Platforms: Matlab

Use this simple, self-contained class definition to obtain quotes and historical data from Yahoo finance.f = stock('f','5y','d);creates a stock object with a current quote and five year history of daily data for the stock symbol 'f' (Ford Motor Company).f.plot;charts the historical data. The...


Platforms: Matlab

Academic Project aimed at capturing, modeling and predicting stock behavior


Platforms: Matlab

This free option pricing calculator can be used to calculate: Call Price, Put Price, Gamma, Delta, Theta, Vega, Implied Volatility. Calculator can use three option pricing models to caculate prices: Black-Scholes Option price, Binomial American option price and Binomial European option price


Platforms: Windows

Powerful, Simple to use and it Free. No limitations. OptionsOracle is a free tool for stock options strategy analysis. It is a powerful tool that allows testing of different options strategies using real-time options & stock-market information. The tool provides an easy interface to build a...


Platforms: Windows

DBI::DBD is a Perl DBI Database Driver Writers Guide. SYNOPSIS perldoc DBI::DBD Version and volatility This document is still a minimal draft which is in need of further work. The changes will occur both because the DBI specification is changing and hence the requirements on DBD drivers...


Platforms: *nix

A real-time generalized financial derivatives calculator supporting over 136+ theoretical models from open source libraries. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring...


Platforms: Windows

Mibian is a Python library designed to compute the price of an option. You can use it to calculate the price, the volatility or the delta of an option using the following pricing models: · Garman-Kohlhagen · Black-Scholes


Platforms: Windows