Finance Add-in for Excel 
 

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Portfolio Analysis & Design Applications
 

On-line Calculators
 

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Hoadley Trading & Investment Tools

Software tools for derivatives traders and portfolio investors.  Tools & prices - summary.
   
Toolset

Finance Add-in for Excel:  Tools to support the analysis of options and other derivatives, portfolio asset/sector allocation & optimization, investment performance analysis, value at risk (VaR), and more.

Information & download

On-line demos & tutorials

Options Strategy Evaluation Tool:  Turn-key Excel application for examining and comparing the profitability and risks of options strategies using payoff diagrams and other techniques.

Information & download

Feature highlights 

On-line guided tour

Historic Volatility Calculator:  GARCH-based forecasting, smile/skew modelling; auto retrieval of historic asset prices from web for most exchanges.

Information & download

On-line demo/tutorial

Implied Volatility Calculator:  Retrieval of on-line option chains;  implied volatility calculation; volatility smile surface charting; combined historic/implied volatility cones.

Information & download

On-line demo/tutorial

Probability Cones: Provides a visual indication of the range of future asset prices for a range of probability bands.

Information & download

Open Positions Manager:  Options portfolio management & position analysis software.

Information & download

On-line demos & tutorials

Portfolio Optimizer:  Analysis and mean-variance optimization of a portfolio using MPT/CAPM principles.

Information & download

On-line demo/tutorial

Black-Litterman Returns Estimator:  Estimation of asset/sector returns using the Black-Litterman model.

Information & download

Portfolio Style Analyzer:  Returns-based analysis of the investment style of a portfolio or fund.

Information & download

Portfolio Simulator:  Analysis of future risks and returns of mutual funds or other portfolios using Monte Carlo simulation.

Information & download

VaR Simulator:  Simulation of Value at Risk (VaR) for both linear and non-linear portfolios.

Information & download

Correlation Analyzer:  Identification of groupings, or clusters, of assets/sectors using hierarchical cluster analysis.

Information & download

Retirement Planner:  Preparation of retirement plans using Monte Carlo Simulation.

Information & download

Black-Scholes pricing: Sensitivity analysis of prices, "Greeks", and probabilities

Run on-line (w/out dividends)

Run on-line (with dividends)

Information

Binomial  pricing: Cox, Ross & Rubinstein or equal probabilities; American or European, with graphical tree structure

Run on-line (CRR)

Run on-line (Equal probs)

Information

Trinomial pricing: - American or European, with graphical tree structure

Run on-line

Information

Barrier option pricing (trinomial & analytic):- American or European, with graphical tree structure 

Run on-line

Information

Black-Scholes/Binomial convergence analysis

Run on-line

Information

Dividend impact analysis; American vs European pricing

Run on-line

Information

Lognormal stock price distribution analysis

Run on-line

Information

Stock price probability calculator

Run on-line

Information

 

Excel Spreadsheet Tools
  • Finance Add-in for Excel: For use in Excel spreadsheets for the calculation of option and warrant prices (equities, currencies, stock indices, futures, barrier options, and Employee Stock Options), "Greeks" , implied volatility (using  the Black-Scholes and binomial models), convertible bonds, historical volatility (including the EWMA and GARCH models), trading profitability, probabilities and optimal early exercise points. Also includes functions for futures pricing and contract valuation. Handles both lognormally distributed asset prices, and non-lognormally distributed (using the Gram-Charlier/Edgeworth expansion & Rubinstein implied binomial trees), values options using the SABR stochastic volatility model; and much more.

    Interest rate derivatives (bonds, floating rate notes (FRNs or floaters), bond options, caps and floors, swaptions) are handled using either the Black-76 model or the Hull-White model (analytic and Hull-White trinomial interest rate trees). Also includes a Monte Carlo simulation components and components for the retrieval of on-line quotes and option chains into a spreadsheet.

    Other portfolio investment related features include portfolio analysis using principal component analysis, asset allocation using the Black-Litterman model, portfolio optimization and efficient frontier, value at risk (VAR) and much more. The add-in provides functions which can be used directly in spreadsheet cells and which can be called from VBA modules/Macros. More information & download. 

     
Options Analysis Applications
  • Options Strategy Analysis Tool:  Assess, using pay-off diagrams, the profitability of any number of options trading strategies and deals. View "Greeks" graphically. Download to use.  

    See feature highlights for a quick overview. 
    See Options Strategy Evaluation Tool page for further information.
     
  • Historic Volatility Calculator: An Excel-based application for the calculation and charting of historic volatility. Includes forecasting --  construction of volatility term structures based on GARCH -- and volatility smile/skew modelling.  Data is automatically retrieved from Yahoo finance without the need for browsing or downloading data. Most exchanges around the world supported.  Not password protected so application can be modified if required. More information & download.
     
  • Implied Volatility Calculator:  An application which retrieves complete option chains from on-line providers and calculates implied volatilities for all options in the series.  The application also produces a volatility surface combining the volatility skew (smile) and term structure for all strikes and expiry months. More information & download.
     
  • Open Positions Manager:  An Excel-based sample application for the maintenance of a portfolio of open options and underlying asset positions. The portfolio management software can be used to perform sensitivity analyses (eg what will be my total exposure be if the market drops by 10%), to produce pay-off diagrams and optimal early exercise reports for open positions.  Designed to be used as is, the application, which is not password protected, can be enhanced or tailored to meet individual user requirements. More information & download.

     
Portfolio Analysis & Design Applications
  • Portfolio Optimizer: An Excel-based application which will automatically download historical data from the web for a specified portfolio of stocks and analyze the portfolio in terms of volatility, beta, R-Squared, Sharpe ratio, and value at risk. The optimization component will estimate optimal portfolio weightings required to produce a range of returns for the lowest risk. The efficient frontier and security/capital market line are charted. More information & download.
     
  • Style Analyzer:  Applies the returns-based methodology, originally developed by William F Sharpe, to analyze the investment style of a mutual fund or other investment portfolio.  

    This approach uses quadratic programming to determine the combination of positions in passive indices, style benchmarks, or asset classes that would best replicate the performance of a fund or investment portfolio over a specified time frame.  More information & download.
  • Portfolio Simulator:  Analysis of the future risks and returns for a mutual fund or other investment portfolio. Includes periodic asset weight rebalancing.  More information & download.
     
  • Retirement Planner:  Preparation of retirement plans using Monte Carlo simulation. Includes graphical representation of expected risks and returns during both the accumulation and retirement phases of the plan..  More information & download.

     
On-line Options Pricing Analysis Calculators
  • Black-Scholes pricing analysis.  Examine graphically how changes in stock price, volatility, time to expiration and interest rate affect the option price, time value, the derived "Greeks" (delta, gamma, theta, vega, rho) and the probability of the option closing in the money.  Uses the Black-Scholes model.  No software or files need to be downloaded. 
    See  on-line calculators for further information, or use it now
     
  • Binomial tree graphical option calculator: Calculate option prices using either the Cox, Ross and Rubinstein binomial option pricing model, or the equal probabilities tree pricing model, and display the tree structure used in the calculation.  Designed to calculate accurate prices and to illustrate tree-based pricing principles for both American & European options with discrete or continuous dividends.  
    See on-line calculators for further information, or use either the  Cox, Ross & Rubinstein  or the Equal Probability tree calculator now.
     
  • Trinomial tree graphical option calculator: Calculate option prices using the trinomial tree pricing model, and display the tree structure used in the calculation.  Designed to calculate accurate prices and to illustrate tree-based pricing principles for both American & European options with discrete or continuous dividends.  
    See on-line calculators for further information, or use it now.  
     
  • Barrier option calculator using trinomial lattice: Calculate barrier option prices, and hedge parameters, using a trinomial lattice, and display the tree structure used in the calculation. Key features include American & European option pricing, dividends as continuous yield or discrete payment, continuous or discrete monitoring of barrier, and two methods of computation enhancement. Analytic prices, where analytic formulas exist, are displayed for comparison.
    See on-line calculators for further information, or use it now.
     
  • Black-Scholes/Binomial convergence analysis: Display graphically the way in which options priced under the binomial model converge with Black-Scholes prices as the number of binomial steps increases. The impact of changes to the other pricing inputs can also be examined. See on-line calculators for futher information, or use it now.
     
  • American & European option pricing comparison, & dividend impact analysis  Examine how dividends paid during the life of the option impact the price, and in particular the sensitivity of the option price to different ex-dividend dates. Also compare pricing for American & European options. 
    See  on-line calculators for further information, or use it now

     
On-line Stock Price Distribution & Probability Calculators
  • Lognormal distribution analysis:  Examine graphically the expected distribution of stock prices (assumed by the Black-Scholes pricing model), given a starting price and various assumptions for time, volatility and rate of return.  
    See on-line calculators for further information, or use it now
     
  • Stock price probability calculator:  Compute the probability of a stock price exceeding, or falling between, upper and lower boundary prices. The results show both closing probabilities (ie at end of period) and the probabilities of the boundary prices ever being exceeded (ie the probability that they will be exceeded at any time during the period).  
    See on-line calculators for further information, or use it now