Derivatives
portfolio modeler XL is a powerful option strategy simulator on stock, ETF,
indices, commodities option strategies using whatif scenarios. Does not
depend on data source. Requires Microsoft Excel 2003 or OpenOffice 2.0+.
Employs BlackScholes model, well documented code with scientific references,
may be extended for any other financial stochastic models. Does not require
external libraries, small package (~100Kb). Best suited for educational and
small investor purposes. 
© Andrey
Bogomolov, 20032005, 2008. 






















Download Link: 











https://sourceforge.net/project/showfiles.php?group_id=167429&package_id=190396&release_id=632686 
















SourceForge
Project Page: 










https://sourceforge.net/projects/dpmxl/ 






















References: 
























Double
precision univariate cumulative normal distribution function VB algorithm is
based on: 



Hart, J.
(1968), Computer Approximations, Wiley. Algorithm 5666 for the error
function. 





Weisstein,
Eric W. "Normal Distribution." From MathWorldA Wolfram Web
Resource. http://mathworld.wolfram.com/NormalDistribution.html 
Feller, W. An
Introduction to Probability Theory and Its Applications, Vol. 1, 3rd ed. New
York: Wiley, 1968. 



Feller, W. An
Introduction to Probability Theory and Its Applications, Vol. 2, 3rd ed. New
York: Wiley, p. 45, 1971. 


Papoulis, A.
Probability, Random Variables, and Stochastic Processes, 2nd ed. New York:
McGrawHill, pp. 100101, 1984. 

Patel, J. K.
and Read, C. B. Handbook of the Normal Distribution. New York: Dekker, 1982. 




Spiegel, M. R.
Theory and Problems of Probability and Statistics. New York: McGrawHill, pp.
109111, 1992. 
















BlackScholes
option pricing algorithm is based on: 







Black, F.,
Scholes, M. The pricing of options and corporate liabilities. // Journal of
Political Economy. 1973. V. 81. P. 637659. 

Hull, J.,
Options, Futures, and Other Derivatives. 6th Edition. PrenticeHall. 2008. 


















Implied
Volatility from option price calculation algorithm is based on Newton–Raphson
Method: 



http://numericalmethods.eng.usf.edu/mws/gen/03nle/mws_gen_nle_txt_newton.pdf 





Historical
Development of the Newton–Raphson Method. SIAM Rev. Volume 37, Issue 4, pp.
531551 (December 1995) 


http://dx.doi.org/10.1137/1037125 





















