Deriscope™ is a free Excel Add-In specializing in financial derivatives valuation. Its main innovative feature is an integrated wizard - the first of its kind in the financial industry - that helps you create spreadsheets with real time data (stock and fx live quotes) 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.
Deriscope draws on QuantLib's analytical power to calculate the price, risk and various other properties of selected financial instruments as described in detail at Products. Deriscope facilitates data input by supplying instrument definitions filled with typical values that you may replace with your own custom data. It also supplies certain live market data, such as stock tickers and current prices. Deriscope also significantly simplifies the process of spreadsheet construction through an included spreadsheet generation tool. Deriscope makes no attempt to sanitize the output of QuantLib algorithms. This is so by design so that Deriscope may be also used as a QuantLib test tool. For example the QuantLib "AnalyticBarrier" pricing method calculates option prices as if the rebate were zero, even if a non-zero rebate is supplied by the user. Deriscope outputs the price as calculated by QuantLib but it also warns you that the rebate input is ignored. Generally you must supply the input data expected by the applicable QuantLib model. Deriscope is free. You may start using it right now. 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:
Deriscope is fully integrated with Excel. All Excel versions - both 32 and 64 bit - from 2000 to the latest 2016, 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 related info 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.
Stock tickers and associated live and historical prices for a number of countries worldwide are made available to the end user through a link to the free service of IEX (Investors Exchange), Yahoo Finance and Alpha Vantage. Real time FX rates on most major currency pairs are delivered through TrueFX, while slightly delayed rates among crypto and fiat currencies are supplied by Alpha Vantage. Deriscope cannot guarantee the accuracy or the timely update of the displayed "live" data. Data from IEX are "instant" but only cover US stocks and ETFs, while those from Alpha Vantage are time delayed by 1 minute but have global coverage. Note that since early November 2017 Yahoo Finance has stopped delivering live data and only serves historical data. In particular, IEX data include real time bid and ask quotes from the deep Order Book that are used to create a simulated trading environment in a spreadsheet that can be downloaded from the Download page. They also include quarterly company financial results. For more details check the tutorial on how to use the Real Time Trading Simulator and the tutorial on how to get all IEX data into Excel. Watch the live prices tutorial and historical data tutorial for more information on how to work with live prices / fx rates and historical data respectively in Excel through both Yahoo Finance and Alpha Vantage. Watch the real time fx rates tutorial for more information on forex feeds from TrueFX. For those who are interested in analyzing the time series directly in Excel, the real-statistics.com offers a thorough, state of the art statistical analysis package for free.