

Hoadley Trading & Investment Tools
Toolset 
Finance Addin For
Excel
Overview

Finance Addin 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
Online demos & tutorials


Options Applications
Overview

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

Information & download
Feature
highlights
Online guided
tour

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

Information & download
Online demo/tutorial

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

Information &
download
Online 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
Online demos & tutorials


Portfolio Analysis & Design
Applications
Overview

Portfolio
Optimizer: Analysis and meanvariance
optimization of a portfolio using MPT/CAPM principles. 
Information & download
Online demo/tutorial

BlackLitterman Returns Estimator:
Estimation of asset/sector returns using the BlackLitterman
model.

Information & download 
Portfolio Style
Analyzer: Returnsbased 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 nonlinear portfolios.

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

Information & download 
Factor Analyzer:
Analysis of individual assets, funds and portfolios using
the FamaFrench three factor model.

Information &
download

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

Information &
download


Options Valuation Analysis
Calculators (online)

BlackScholes pricing:
Sensitivity analysis of prices, "Greeks", and
probabilities

Run
online (w/out dividends)
Run online (with
dividends)
Information

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

Run online (CRR)
Run online (Equal probs)
Information

Trinomial pricing: 
American or European, with graphical tree structure

Run online
Information

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

Run online
Information

BlackScholes/Binomial
convergence analysis

Run
online
Information

Dividend impact analysis;
American vs European pricing

Run online
Information


Stock Price Behaviour Analysis
(online)

Lognormal stock price
distribution analysis

Run
online
Information

Stock price probability
calculator

Run
online
Information

 Finance Addin 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 BlackScholes 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 nonlognormally distributed (using
the GramCharlier/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
Black76 model or the HullWhite model (analytic and HullWhite trinomial
interest rate trees). Also includes a Monte Carlo simulation
components and components for the retrieval of online quotes and option
chains into a spreadsheet.
Other portfolio investment related features include portfolio analysis using
principal component analysis, asset allocation using the BlackLitterman
model, portfolio optimization and efficient frontier, value at risk (VAR) and
much more. The addin 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 payoff 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 Excelbased 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 online 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 Excelbased 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 payoff 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
Excelbased 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, RSquared, 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
returnsbased 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.
Online Options
Pricing Analysis Calculators 
 BlackScholes 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 BlackScholes
model. No software or files need to be downloaded.
See online 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 treebased pricing
principles for both American & European options with discrete or
continuous dividends.
See online 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 treebased pricing principles
for both American & European options with discrete or continuous
dividends.
See online 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 online calculators for further
information, or use it now.
 BlackScholes/Binomial
convergence analysis: Display graphically the way in which options priced
under the binomial model converge with BlackScholes prices as the number of
binomial steps increases. The impact of changes to the other pricing inputs
can also be examined. See online 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 exdividend
dates. Also compare pricing for American & European
options.
See online calculators for further
information, or use it now.
Online Stock
Price Distribution & Probability Calculators 
 Lognormal distribution
analysis: Examine graphically the expected distribution of stock
prices (assumed by the BlackScholes pricing model), given a starting price
and various assumptions for time, volatility and rate of
return.
See online 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 online calculators for further
information, or use it now.
