Spreadsheets
Spreadsheets related to the tutorials are available for download. The spreadsheets are given in Excel (xls) and OpenOffice (ods) format and require the Java Object Handler for Spreadsheets, "Obba".
Requirements
For the Excel files (.xls):
- Microsoft Excel for Windows (Windows 2000 or better with Excel 2000 or better)
- Java 1.5 Runtime for Windows
- Obba 1.5 for Excel
For the OpenOffice files (.odt)
Download
You may retrieve the spreadsheets from the subversion repository or as a download as ZIP archives (see below).
Contents
Monte-Carlo Simulation
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Brownian Motion.zip
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Plot of some sample paths of a Brownian motion.
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Monte Carlo Simulation of Black Scholes Model.zip
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Monte Carlo simulation of a Black-Scholes model. Contains the pricing of a European option under the Black-Scholes model.
Interest Rate Derivatives
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Swaption.zip
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Pricing of swaption using the generalized Black-Scholes formula.
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CMS Option.zip
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Pricing of cms option and a cms floor using the generalized Black-Scholes formula with a convexity adjustment.