Deriscope™ is an application specializing in financial derivatives valuation.
It comes with an Excel-integrated wizard - the first of its kind in the financial industry - that helps you create spreadsheets with real time stock, ETF, forex, cryptocurrency, futures, option and commodity prices, historical time series and company data that deal with the pricing and risk management of diverse types of derivatives such as options, interest rate swaps, swaptions, credit default swaps, inflation swaps, basket options etc.
It is also capable of building multi-currency yield curves of trading floor precision that often exceeds that of Bloomberg.
With regard to portfolio risk management, Deriscope already calculates the Value at Risk and will soon deliver several XVA metrics.
Finally, if integration with a company's other processing systems is desired, Deriscope may be accessed without Excel's intervention through xml-based data exchange.
Deriscope draws on QuantLib's analytical power to calculate the price, risk and various other properties of all the financial instruments listed under Products. It also makes use of a QuantLib extension called ORE, sponsored by Quaternion Risk Management for pricing instruments not available in QuantLib and calculating portfolio analytics such as VaR and XVA. Deriscope facilitates data input by supplying instrument definitions filled with typical values that you may replace with your own custom data. Deriscope also significantly simplifies the process of spreadsheet construction through an included spreadsheet generation tool. You may start using Deriscope right now, without registration or license. Simply go to Download page to get the latest available version.
The following are some of Deriscope's advantages that distinguish it from other similar products in the market:
Live feeds, historical prices and statistical indicators on various security types are displayed in the spreadsheet from several different providers as described in detail in this blog article.
Deriscope is fully integrated with Excel. All Excel versions - both 32 and 64 bit - from 2000 to the latest 2019, including the Office 365, are supported. It does not litter Excel's existing menu (or ribbon in the latest versions) with its own items. It only displays a dedicated task pane that acts as both information board and workplace in real-time interaction with the spreadsheet contents.
Rather than relying on proprietary analytics, Deriscope delegates the option pricing job to the QuantLib software library, which has been in existence since the year 2000 and is actually used by thousands of professionals worldwide. In a sense Deriscope acts as the Excel interface to the QuantLib pricing library. This fact bestows Deriscope with the reliability sought by the average user with regard to number accuracy. This fact also makes Deriscope an excellent way to get acquainted with QuantLib and test its several features and models directly in Excel without the need to use a programming language. More details at the Technology page.
Deriscope is designed in such a way that it can be used immediately to build and price complex derivative instruments without the need of prior training. The dedicated task pane allows you to browse through all available instruments and functions. After you have made your function selection, you may browse and edit the respective input parameters and finally generate a regular spreadsheet formula that may be inserted in any cell. You can then manipulate this formula directly in the spreadsheet just like any other Excel formula without the need of the dedicated task pane.
You will never need to consult a manual in order to understand the meaning of the hundreds of functions and their input parameters that are accessible through Deriscope. Context based information is dynamically generated in real time and displayed in the dedicated task pane. You may even enquire the actual steps undertaken by the pricing algorithm to better diagnose potential data entry errors.