The 60+ financial functions that comprise the Derivicom FinOptions XL financial Add-in have been engineered to empower your business to value a broad range of derivative instruments through Microsoft Excel®. If you need value to derivatives and are ready to experience the Derivicom difference, download your free trial today or explore below the individual function categories that ship as part of this software package.

• Vanilla Options

  Black-Scholes: Non-dividend paying equities.

  Modified Black-Scholes: Dividend yield input (indicies, equities, bonds).

  Black: Futures (commodities, energy, FX, financials).

  Whaley: American style early-exercise assets with a continous yield.

  Eurodollar: Eurodollar and bill future options valued with either Black-Scholes, Whaley, Binomial, or Bjerksund-Stensland.

  Black-Scholes French: Black-Scholes model modified to consider trading days.

  Jump Diffusion: The valuation of the option follows a stochastic process other than a lognormally distributed model such as the Black-Scholes model. The model requires two additional parameters to be estimated; the expected number of jumps per year and the percentage of the total volatility explained by the jumps.

  Bjerksund-Stensland: American style options that have a continuous dividend, a constant dividend yield, and discrete dividends.

  Roll-Geske-Whaley: American style call option on a stock paying a single dividend.

  Binomial (Cox-Ross-Rubinstein and Hull): American and European style options on stocks, futures and currencies generating discrete cash flows or dividends.

  Monte Carlo: European style non-dividend paying equities

• Exotic Options

  Asian Options: Path-dependent options, with payoffs that depend on the average price of the underlying asset or the average exercise price. The payoffs depend on the average price of the underlying asset over a predetermined time period. The following functions are available:

  • Average Price
  • Average Strike
  • Asian Monte Carlo
  • Asian Spread Monte Carlo

  Barrier Options: Path-dependent options, with payoffs that depend on the price of the underlying asset at expiration and whether or not the asset price crosses a barrier during the life of the option. There are two categories or types of Barrier options: "knock-in" and "knock-out". "Knock-in" or "in" options are paid for up front, but you do not receive the option until the asset price crosses the barrier. "Knock-out" or "out" options come into existence on the issue date but become worthless if the asset price hits the barrier before the expiration date. The following functions are available:

  • Single
  • Single Trinomial
  • Double
  • Lookback
  • Partial Start
  • Partial End
  • Soft
  • Partial Two Asset
  • Two Asset

  Binary Options: Also known as digital options, have a discontinuous payout that does not depend on how much it is in-the-money but rather whether or not it is on the money. The payoff is fixed at the option's inception and is based on the price of the underlying asset on the expiration date.

  • Asset or Nothing
  • Cash or Nothing
  • Two Asset Cash or Nothing
  • Gap
  • Supershare
  • Binary Barrier

  Currency Translated Options: Options on foreign assets where the payoff is exchanged into domestic currency at expiration.

  • Equity Linked Foreign Exchange
  • Foreign Equity
  • Quanto
  • Takeover Foreign Exchange

  Lookback Options: Options which are path dependent options where the payoff from a lookback call (put) depends on the exercise price being set to the minimum (maximum) asset price achieved during the life of the option.

  • Extreme Spread
  • Lookback
  • Fixed Strike Lookback
  • Partial Fixed Lookback
  • Partial Float Lookback
  • Lookback Monte Carlo

  Multiple Asset Options: Options whose payoff is based on more than one asset which are associated with one another with a correlation coefficient.

  • Dual Strike
  • Exchange
  • Exchange Binomial
  • Exchange on Exchange
  • Portfolio
  • Rainbow
  • Rainbow Binomial
  • Spread
  • Spread Binomial
  • Two Asset Correlation

  Multiple Exercise Options: Options whose payoff is based on multiple exercise dates.

  • Chooser
  • Complex Chooser
  • Compound
  • Compound Binomial
  • Executive
  • Forward Start
  • Time Switch
  • Writer Extendible
  • Spread Binomial
  • Two Asset Correlation

• Interest Rate Options

  Futures: Forward or future value of a dividend and non-dividend securities.

  Bonds: Theoretical value, yield, duration and modified duration for a coupon paying security .

  Bond Options: Theoretical price, sensitivities, and the implied volatility of a bond option using the Black 76 model.

  Cap/Floor: Theoretical price, sensitivities, and the implied volatility of option on an interest rate cap or floor using the Black 76 option model.

  Swapation: Theoretical price, sensitivities, and the implied volatility of option on an interest rate swap using the Black 76 option model.

• Utilities

  Historic Volatility: High-High, High-Low, High-Low-Close, High-Low-Open-Close.

  Interpolation: Linear and Cublic Spline algorithms.