Deriscope

The Excel Derivatives Periscope

Version History

18 Oct 2018 version 4.3.6

New Features:

Bug Fixes:

Improvements:

Other:

  • Small license scheme readjustments.

16 Oct 2018 version 4.3.5

New Features:

Bug Fixes:

  • The license dialog failed to show when Deriscope was installed under insufficient security privileges.

Improvements:

Other:

  • Changed the license scheme.

12 Oct 2018 version 4.3.4

New Features:

Bug Fixes:

  • The live data portion of the contents of an object of type Stock failed to display in the wizard.

Improvements:

Other:

  • Changed the license scheme.

08 Oct 2018 version 4.3.3

New Features:

  • Added the dsSort spreadsheet function that can sort the data of any input range, even when the range contains formulas.

Bug Fixes:

Improvements:

Other:

02 Oct 2018 version 4.3.2

New Features:

  • Added search function from World Trading Data.

Bug Fixes:

  • Display of historical data extending beyond 30 years failed due to a date representation bug.

Improvements:

Other:

29 Sep 2018 version 4.3.1

New Features:

  • Added historical data feeds from IEX concerning US stocks and ETFs.
    A demo is accessible under Tools -> Insert Function -> Live Feeds -> (IEX) -> Time Series.
  • All output fields in historical data are now alphabetically sorted.

Bug Fixes:

  • The order of output columns in intraday historical data from Yahoo Finance was not stable over time.

Improvements:

Other:

24 Sep 2018 version 4.3.0

New Features:

  • Added synchronous and asynchronous real time feeds and historical data from Barchart concerning global stocks, indices, mutual funds, options, futures and forex rates (both fiat and crypto) supported by this provider.
    A demo set of live prices and historical time series is produced by the wizard menu items available under Tools -> Insert Function -> Live Feeds -> (Barchart).

Bug Fixes:

  • Various stability enhancements.

Improvements:

Other:

16 Sep 2018 version 4.2.3

New Features:

  • Increased the maximum granularity of the historical data received from Yahoo Finance from daily down to one minute. Intermediate intervals such as 5 minutes or one hour also apply. In technical terms, the key Interval of an object of type HistYF can now also accept the intra-day values: Minute, 2 Min, 5 Min, 15 Min, 30 Min, 60 Min, Hout, 90 Min

Bug Fixes:

  • Two separate api calls were sent to the live feeds server for each single request. This had the negative side-effects of doubling the overall feed acquisition time delay and the much faster exhaustion of the api call quotas associated with the user's data feed license.
  • Deriscope loading failure after opening certain workbooks.
  • Occasional unwarranted display of error messages by the wizard when switching between open workbooks.

Improvements:

Other:

15 Sep 2018 version 4.2.2

New Features:

Bug Fixes:

Improvements:

Other:

  • Technical changes related to license management. No need to update to this version if you have already installed the previous one!

11 Sep 2018 version 4.2.1

New Features:

  • Added synchronous and asynchronous real time feeds and historical data from World Trading Data concerning several global stocks, indices, US mutual funds and forex rates supported by this provider.
    A demo set of live prices and historical time series is produced by the wizard menu items available under Tools -> Insert Function -> Live Feeds -> (World Trading Data)
    The successful operation requires a special code that can be obtained for free here.
    Higher feed rates are also supported by World Trading Data on a paid basis.

Bug Fixes:

  • Deriscope failed to load if spreadsheet cells containing Deriscope formulas have been calculated before clicking on the "Enable and Show Wizard" button.
  • Contents of objects containing tables could fail to be displayed in wizard for certain types of table data.
  • Calculations involving the daycount convention ACT/ACT(ICMA) could lead to Excel crash if the related time interval had zero length.

Improvements:

Other:

  • In live data acquisition, changed the names of several fields returns by the various live feed providers. So for example the IEX field latest Price, the Alpha Vantage field close and the Yahoo Finace field regularMarketPrice have been all renamed to price.(Note this fix breaks backward compatibility with regard to various functions that rely on these field names. Read the produced error messages for details on the new valid names)
  • In Historical Data requests, changed the name of the key Reverse Order to the more intuitive Descending.(Note this fix breaks backward compatibility with regard to Create functions of HistDataRequest, when this key is explicitly used)

29 Aug 2018 version 4.2.0

New Features:

  • The following special Deriscope functions are now exported to Excel VBA:
    StartWizard
    QuitWizard
    ShowWizard
    MinimizeWizard
    HideWizard
    ForceRecalc
    SetTimeOut
    SetAutoRefresh
    SetFlash
    ToggleFlash
    GetTradeDate
    SetTradeDate

Bug Fixes:

Improvements:

Other:

27 Aug 2018 version 4.1.0

New Features:

  • Added synchronous and asynchronous real time feeds from Yahoo Finance concerning all securities supported by this provider. In particular international stocks, indices, currencies, commodities and certain options are supported.
    A demo set of live prices is produced by the wizard menu items Synchronous (extended) and Asynchronous (extended) accessible through Tools -> Insert Function -> Live Feeds -> (Yahoo Finance)
    The involved time delays are between 0 and 30 minutes as described here.
    For each ticker, not only the last traded price is returned, but also several more quantities as described below.
  • Reactivated the ~Live Data item contained in each object of type Stock so that it displays the pertinent live data reported by Yahoo Finance. These are the following:
    ask askSize averageDailyVolume10Day averageDailyVolume3Month bid bidSize bookValue currency earningsTimestamp epsTrailingTwelveMonths exchange exchangeDataDelayedBy exchangeTimezoneName exchangeTimezoneShortName fiftyDayAverage fiftyDayAverageChange fiftyDayAverageChangePercent fiftyTwoWeekHigh fiftyTwoWeekHighChange fiftyTwoWeekHighChangePercent fiftyTwoWeekLow fiftyTwoWeekLowChange fiftyTwoWeekLowChangePercent fiftyTwoWeekRange financialCurrency fullExchangeName gmtOffSetMilliseconds longName market marketCap marketState priceHint priceToBook quoteSourceName quoteType region regularMarketChange regularMarketChangePercent regularMarketDayHigh regularMarketDayLow regularMarketDayRange regularMarketOpen regularMarketPreviousClose regularMarketPrice regularMarketTime regularMarketVolume sharesOutstanding shortName sourceInterval symbol trailingAnnualDividendRate trailingAnnualDividendYield trailingPE twoHundredDayAverage twoHundredDayAverageChange twoHundredDayAverageChangePercent

Bug Fixes:

Improvements:

  • Significantly increased the run-time efficiency of live data acquisition on the presence of failed feeds. Now Excel never freezes, even when hundreds of failing feeds are requested per second.

Other:

15 Aug 2018 version 4.0.3

New Features:

Bug Fixes:

  • Fixed a small but annoying bug, whereby Deriscope failed to load if the user clicked on Enable and Show Wizard after one minute had lapsed since Excel start.

Improvements:

Other:

14 Aug 2018 version 4.0.2

New Features:

Bug Fixes:

  • Due to a change to the feeds format received from Alpha Vantage (received 5 min chain although requested 1 min), Dericope could not parse the price quote associated with indices such as ^DJI.

Improvements:

  • Introduced the new configuration entry Alpha Vantage Fetch Interval in Settings -> INTERNET that allows you to customize the time delay between successive api calls to Alpha Vantage. This is an important addition that enables receiving live feeds on several symbols without violating the limit imposed by Alpha Vantage on the number of api calls per minute.
    Note this entry is different from the takt input in the live feeds engine that determines how often the whole set of tickers is processed.
    The default value is set to 20 seconds because testing indicates it is best compatible with the current Alpha Vantage free version policy of allowing only up to 5 api calls per minute.
    You should set it to an appropriate custom value if you possess a commercial Alpha Vantage license that grants you a higher feed rate.
  • Changed the default value of the Alpha Vantage Time Out entry in Settings -> INTERNET from 3 to 12 seconds, since the free version of Alpha Vantage allows only up to 5 api calls per minute, which means there will be no discernible time delay even when the time out interval is occasionally used up.
  • Removed the Alpha Vantage Time Out 2 entry from Settings -> INTERNET because now only a single api call is made to the Alpha Vantage server per live quote request, in order to reduce the overall rate of api calls.

Other:

  • Granted non-licensed Deriscope users a 7-day grace period with 30 minutes per Excel session for evaluation purposes.

29 Jul 2018 version 4.0.1

New Features:

Bug Fixes:

Improvements:

Other:

  • Do not upgrade to this version if you already have the 4.0.0
    The only change introduced here is improved diagnostic messages during non-licensed Deriscope access.

27 Jul 2018 version 4.0.0

New Features:

  • The main change that affects this release 4.0.0 is the fact that Deriscope assumes a semi-commercial character by levying a small one-time fee for its unrestricted usage. The application may still be downloaded and installed anonymously without any registration or payment, but the lack of a user license imposes certain usage restrictions.
  • The second major addition in this release is the local function VaR that applies to all objects the types of which inherit from Tradable. This function is capable of calculating the Value at Risk of the associated tradable instrument. In particular, the tradable instrument can be of type Portfolio, which represents a weighted collection of various other tradable instruments, some of which may be portfolios themselves. With regard to portfolios, the VaR function imposes an upper limit of 5 elementary constituent products. A special commercial Deriscope license that lifts this limit is available.
  • Added the payoff type RSO in the definition of European options on any underlying. The name RSO derives from Risk Scaling Options, which are European options with payoff at expiry given by the formula max{ ε(βS(T)-λK(1-α)S(T)α) , 0 } , where β, λ, K, α are all constants and S(T) is the price of a specified underlying at the option expiry time T. The pricing of these options is done outside of the QuantLib library and is based on an analytical formula derived by Lloyd Blenman and Steven Clark as described here. Several risk figures (greeks) are also reported.
  • Added the tradable instrument with type Power Exchange Option that represents a combination of a spread and power option. It is a European option with payoff at expiry given by the formula max{ λ1*S1(T)α1-λ2*S2(T)α2 , 0 } , where λ1, α1, λ2, α2 are all constants and S1(T), S2(T) are the prices of two specified underlyings at the option expiry time T. The pricing of this option is done outside of the QuantLib library and is based on an analytical formula derived by Lloyd Blenman and Steven Clark as described here.

Bug Fixes:

  • Setting Add Risk = TRUE and selecting at least one of the Delta, Vega or Rho in the input parameters of the Price function within the wizard, followed by a click on the Optional Parameters Visibility button to hide all unchanged optional inputs, resulted in a pasted formula that lacked the important inputs Risk Ref and Risk Models and thus returning error. The resolution has been to redefine the Risk Ref and Risk Models inputs as mandatory if Add Risk = TRUE. (Note this fix breaks backward compatibility with regard to the spreadsheet formula ds, when it is used to process a Price function taking the explicit input Add Risk = FALSE in combination with the Risk Ref and Risk Models entries. Please edit all such spreadsheet occurrences by following the instructions in the produced error message. A simple resolution for example would be to change the name of the affected formulas from ds to dsi.)

Improvements:

  • Renamed the keys Cash Payoff and Second Strike in the creation of objects of type Payoff to Cash and Strike2 respectively.(Note this fix breaks backward compatibility with regard to the spreadsheet formula ds, when it is used to create Payoff objects with explicit reference to any of these two keys. Please edit all such spreadsheet occurrences by renaming the affected keys.)

Other:

07 Jul 2018 version 3.12.0

New Features:

  • In order to allow custom filtering of the rows in the historical data coming from Alpha Vantage or Yahoo Finance, added the optional entry Filter in the creation of objects of type HistAV and HistYF that can be set to one of:
    NoFilter: No filter is applied
    BlockFirstZero: Blocks the rows of which the first data element (after the initial date element) is zero
    BlockAllZeros: Blocks the rows of which all data elements (after the initial date element) are zero.
    BlockDates: Blocks the rows of which the left date element is part of a supplied list of dates. This option requires the additional entry Blocked Dates that supplies the array of excluded dates.

Bug Fixes:

Improvements:

Other:

30 Jun 2018 version 3.11.0

New Features:

  • Added four new output fields in the Alpha Vantage live feeds for stock prices: open, high, low and volume.
  • In Yield Curve construction, futures maturities can now follow the australian ASX schedule, in addition to the more common IMM schedule. This is achieved by adding the optional input Futures Dates that may be set to either IMM or ASX.

Bug Fixes:

  • When the Pricing Method of a Model[CDS] object was set to Isda Cds a wrong price of CDS was produced during the first calculation attempt.
  • The yield curve creation out of BMA rates failed when the valuation date was different from Wednesday or Tuesday due to a missing historical BMA index fixing as of the prior Wednesday. This is now resolved by supplying an additional mandatory entry called Previous Wednesday Fixing that supplies the missing fixing.(Note this fix breaks backward compatibility with regard to the spreadsheet formula ds, when it is used to create a yield curve out of BMA rates. Please edit all such spreadsheet occurrences by adding the new mandatory key/value input.)

Improvements:

Other:

01 May 2018 version 3.10.0

New Features:

  • Added the stochastic processes: Geometric Brownian, Ornstein Uhlenbeck, Exponential Ornstein Uhlenbeck with Jumps, Square Root, Heston.
  • Added the function Simulated Values that takes as input an array of stochastic processes and a time grid and returns the simulation-generated paths attained by the stochastic processes on the given time grid.
  • Added the following functions that apply on any stochastic process: Initial Value, Drift, Diffusion, Expectation, Std Deviation, Covariance, Evolve. In particular the Expectation, Std Deviation, Covariance, Evolve functions take as input a time interval.
  • Added three new Heston model discretization types: Broadie Kaya Exact Scheme Lobatto, Broadie Kaya Exact Scheme Laguerre and Broadie Kaya Exact Scheme Trapezoidal.

Bug Fixes:

  • The stand alone creation of a SABR Model contained an Optimization element that was set with default Max Iterations and Max State Iters values that were too low for a successful SABR calibration.

Improvements:

Other:

22 Apr 2018 version 3.9.0

New Features:

  • Added the read-only elements ¬Sparse SABR Params, ¬Dense SABR Params, ¬Market Vol Cube and ¬Vol Cube ATM Calibrated as part of a Vol Curve object that are visible only when the Vol Input is set to Swaption Cube. These elements contain valuable information about the SABR calibration. In case the SABR calibration fails, then a new read-only element called ¬Calibration Failure Info appears that contains diagnostics about the failure.

Bug Fixes:

Improvements:

  • Removed the item SABR from the list Vol Type that lives within the type Vol Spec. It is not needed because now the SABR model is automatically used when the Vol Input element within a Vol Curve object is set to Swaption Cube.

Other:

11 Apr 2018 version 3.8.0

New Features:

  • Added the volatility specification types Normal and Shifted Lognormal
  • Added the pricing methods Bachelier and Black Displaced to the instruments Vanilla Swaption and CapFloor
  • Added the optional input Reverse Order in the creation of HistYF and HistAV, which controls the chronological ordering of the historical data received from Yahoo Finance and Alpha Vantage.

Bug Fixes:

Improvements:

Other:

04 Apr 2018 version 3.7.0

New Features:

  • Enhanced the Yield Curve constructor out of bond prices in the parametric fit case by adding a new optional key called Parameter Constraint that expects an object of type Constraint. The later object defines the constraint applied on the parametric model parameters, which may be one of No Constraint, Positive Constraint, Boundary Constraint, Nonflat Boundary Constraint and Composite Constraint

Bug Fixes:

Improvements:

Other:

29 Mar 2018 version 3.6.5

New Features:

  • Added several new wizard menu items under Tools -> Insert Function -> Live Feeds -> xyz that insert a minimal version of dsLiveGetSync and dsLiveGetAsync in the currently selected single cell.

Bug Fixes:

  • Excel was hanging for a few seconds as it was trying to locate dependencies. This bug appeared when a big subset of an object's contents were displayed in the spreadsheet through the Show function and became worse the bigger the displayed subset was.
  • Failure of the rescaling of historical data in certain cases where the last row in the live feeds contained only the date but no values.

Improvements:

Other:

28 Mar 2018 version 3.6.4

New Features:

Bug Fixes:

Improvements:

  • Enhanced the output of the wizard menu item Paste Demo Formulas under Tools -> Insert Function so that it includes usage demos of the special Deriscope functions dsMergeH and dsMergeV.

Other:

27 Mar 2018 version 3.6.3

New Features:

  • Added the wizard menu item Paste All Currency Pairs under Tools -> Insert Function -> Live Feeds -> TrueFX that simply pastes all currency pair symbols supported by the TrueFX live feeds provider.

Bug Fixes:

  • The spreadsheet formula =dsLiveGetSync("TrueFX","XYZ/ABC") failed when it was applied on a single cell.

Improvements:

Other:

25 Mar 2018 version 3.6.2

New Features:

Bug Fixes:

  • Wrong calculation of the target price presented as default input parameter within the wizard when the Implied Vol function was selected.

Improvements:

Other:

21 Mar 2018 version 3.6.1

New Features:

Bug Fixes:

  • The automatic creation of the default bond referenced by a CDS during its construction in the wizard resulted in a maturity extending beyond the end of the swap.

Improvements:

Other:

17 Mar 2018 version 3.6.0

New Features:

  • Enhanced the Clean Price function of the Bond type so that it can handle a Z-spread input.
  • Added the following 22 Bond functions:

    • Is Tradable
    • Previous Cash Flow Date
    • Next Cash Flow Date
    • Previous Cash Flow Amount
    • Next Cash Flow Amount
    • Previous Coupon Rate
    • Next Coupon Rate
    • Accrual Start Date
    • Accrual End Date
    • Reference Period Start
    • Reference Period End
    • Accrual Period
    • Accrual Days
    • Accrued Period
    • Accrued Days
    • BPS
    • ATM Rate
    • Duration
    • Convexity
    • Basis Point Value
    • Yield Value Basis Point
    • Z-spread

Bug Fixes:

  • The wizard's Browse Area consumed unnecessarily space by showing up as an empty rectangle when new information was displayed in the Info Area, even though it was supposed to be collapsed due to an earlier user action.

Improvements:

Other:

  • Changed the names of the Bond functions Get Start Date and Get Maturity to Start Date and Maturity Date respectively. Changed the names of a few input keys to various Bond functions. Changed the names of the Schedule functions Get Start Date and Get Last Date to Start Date and Last Date respectively.(Note these changes break backward compatibility with regard to the spreadsheet formula ds, when its input references one of these functions. Please replace all spreadsheet occurrences with the correct function syntax, which you can create using the wizard.)

10 Mar 2018 version 3.5.0

New Features:

  • Added the date bump conventions Half Month Modified Following and Nearest.
  • Added the day count conventions ACTUAL/365 for Canadian bonds, ACTUAL/365 no leap and Bus/252BR for Brazilian bonds.
  • Introduced two optional input parameters to the Time Length function of the DayCount type, so that the reference dates required by certain day counts can be specified.

Bug Fixes:

  • Creation of Yield Curve failed when a mixture of zero and fixed rate bonds was used as input data.

Improvements:

  • Changed the hierarchy with regard to zero bonds so that the Zero Bond type inherits from the Fixed Rate Bond type. This has the advantage that now a Zero Bond object can be used wherever a Fixed Rate Bond object is required.

Other:

06 Mar 2018 version 3.4.0

New Features:

  • In the case of the yield curve creation out of a flat rate, added the optional Compounding and Frequency inputs that specify the respective rate conventions.
  • Added Compounded Then Simple interest rate compounding convention that is essentially the reverse of the existing Simple Then Compounded convention.
  • Added the United States calendars US_LiborImpact and US_FederalReserve.
  • Added the Chinese calendar CN_IB for Interbank calendar.
  • Added the Israelish calendars TASE and TASE_GENERIC.
  • Changed the Icelandish calendar name from IS to ICEX.

Bug Fixes:

Improvements:

Other:

23 Feb 2018 version 3.3.0

New Features:

Bug Fixes:

Improvements:

  • Minor wizard-level improvement concerning the display ordering of the keys used as input to the Create function of the type Yield Curve. More specifically the keys Modelled Qty, Interpolation Method, Build Method and Accuracy have been shifted to the bottom of the Browse Area screen.

Other:

20 Feb 2018 version 3.2.0

New Features:

  • Introduced the spreadsheet function dsReplace that takes input a) a source range with dimensions NxM containing any data, b) the coordinates of an orthogonal subset of that range with dimensions nxm, c) a target range with dimensions nxm and returns an array with dimensions NxM, the data of which match those of the source range except of the nxm subset, which is replaced with the data of the target range. This function is particularly useful in cloning objects that contain array data - such as Yield Curve objects containing a table of deposit rates -, whereby only a subset of the original array data needs to be replaced with new data.

Bug Fixes:

Improvements:

Other:

04 Feb 2018 version 3.1.1

New Features:

Bug Fixes:

  • Serious bug that caused severe Excel sluggishness (almost freeze) as soon as the contents of an object containing an array were displayed in the taskpane.

Improvements:

Other:

02 Feb 2018 version 3.1.0

New Features:

Bug Fixes:

Improvements:

Other:

  • Linked to the recently released QuantLib version 1.12. The QuantLib list of changes for this release is here.

29 Jan 2018 version 3.0.2

New Features:

Bug Fixes:

  • Failure to report the latest available Deriscope version during startup, which was caused by the host server's Transport Layer Security (TLS) upgrade to the latest TLS 1.2

Improvements:

Other:

08 Jan 2018 version 3.0.1

New Features:

Bug Fixes:

  • Small bug introduced in version 3.0.0

Improvements:

Other:

05 Jan 2018 version 3.0.0

New Features:

  • Added a new version of the Stock Trading Simulator spreadsheet that is capable of retaining the received live feeds for further processing by the user. Available for download here. Video tutorials available: Stock Trading Simulator and Stock Trading Simulator - version 2.
  • Added a new Forex Trading Simulator spreadsheet that is capable of retaining the received live feeds for further processing by the user. It handles most important currency pairs and powered by the TrueFX live feeds provider. Available for download here. Video tutorial available: Forex Trading Simulator.
  • Introduced real time FX rates in Excel on the most important currency pairs powered by the TrueFX live feeds provider. The respective formulas can be generated under Tools -> Insert Function -> Live Feeds -> (TrueFX). Video tutorial at Real Time forex rates in Excel from TrueFX Demo spreadsheet at ExcelRealTimeTrueFX.xlsx
  • Enhanced the Live Feeds Engine so that it can retain in a memory buffer a specified number of incoming live feeds. This can be achieved by starting the Engine through a new spreadsheet formula called dsLive that takes as input a single handle name. If that handle name points to an object of type Live Engine, then dsLive starts the Engine according to the specifications in that object. Among else, the Live Engine object determines the number and type of the received live feeds that need to be retained in memory. Note the dsLiveStartEngine spreadsheet formula is still retained because of its simplicity, but it cannot be used to start an Engine with buffer capabilities. Video tutorial at Real Time data in Excel with retention of the received feeds Demo spreadsheet at ExcelRealTimeAdvanced.xlsx
  • The buffered feeds can be displayed on the spreadsheet through the dsLiveGetAsync formula, by setting a newly introduced last optional parameter to true. Alternatively they may be displayed through the dsLive formula, provided that its input is the handle name of an object of the new type Live Display Async.
  • The dsHist formula has been replaced by the dsLive formula.(Note this change breaks backward compatibility with regard to the spreadsheet formula "dsHist"! You must replace all occurrences of dsHist in your spreadsheets with dsLive). Note also that the second input GoToURL argument to the original dsHist formula does not exist in the new dsLive formula. The GoToURL boolean still exists, but is now part of the object that is fed as input to the dsLive formula.
  • The strategy is to elevate dsLive as an all-in-one formula that can do various live data related jobs according to the specs in some object being fed to it as its single input argument.
  • Changed the names of the types HistRequestAV, HistRequestYF, HistRequestComp to HistAV, HistYF, HistComp respectively, in order to reduce their length and thus the width of the Excel columns containing these names. (Note this change breaks backward compatibility with regard to the spreadsheet formula ds, when its input references one of these types! Please replace all spreadsheet occurrences as suggested here!)
  • Introduced new Yield Curve calibration to bond prices based on non-linear optimization. The popular Nelson-Siegel and Svensson parametric fitting methods are supported. Additional supported methods are: Exponential Splines, CubicB Splines, Simple Polynomial and Spread. Video tutorial at Bond Curve Fitting in Excel using the QuantLib Nelson-Siegel and Svensson methods Demo spreadsheet at YieldCurveNelsonSiegelSvensson.xlsx

Bug Fixes:

Improvements:

Other:

24 Dec 2017 version 2.7.2

New Features:

Bug Fixes:

  • Bug that seemed to affect primarily the fx and cryptocurrency rates received from Alpha Vantage but had the potential to affect all feeds that are received in decimal format.
  • Bug that caused the suppression of the "Loading Values, Please wait!" alert meant to appear when the user clicked on a cell in the taskpane that contained a large number of possible values, such as the value cell for the "Name" of an Issuer object with country set to "United States", which contains over 35,000 possible values.

Improvements:

Other:

21 Dec 2017 version 2.7.1

New Features:

Bug Fixes:

  • Related to first call of dsLiveHist

Improvements:

Other:

20 Dec 2017 version 2.7.0

New Features:

  • (A)synchronous live data from IEX (Investors Exchange) include now the top section of the IEX Order Book. In other words, live quotes on the best bid and ask prices and sizes are (a)synchronously reported. This is achieved through a new provider code named "IEX Tops". For demonstration purposes the wizard generates the complete set of formulas under Tools -> Insert Function -> Live Feeds -> (IEX Tops).
  • Introduced the new Deriscope formula dsAny that is capable of producing in Excel anything that IEX delivers in json format! This new formula works like dsLiveHist, i.e. it expects as input an object of type AnyRequestIEX, the role of which is to specify the details of the request to be sent to the server of the live feeds provider. For demonstration purposes the wizard generates the complete set of formulas under Tools -> Insert Function -> Live Feeds -> (IEX) -> Any.

Bug Fixes:

Improvements:

Other:

  • Changed the name of the Deriscope spreadsheet formula dsHist to dsLiveHist in order to make it clear that it retrieves live feeds. (Note this change breaks backward compatibility with regard to this spreadsheet formula!)
  • Removed the Deriscope spreadsheet formulas dsStats, dsFin because their output is now produced by the new spreadsheet formula dsAny that references a Request object of type AnyRequestIEX that has its Service property set to one of stats, financials, earnings. (Note this change breaks backward compatibility with regard to these spreadsheet formulas!)
  • Removed from wizard the menu items Stats, Financials under Tools -> Insert Function -> Live Feeds -> (IEX) due to the change above.

05 Dec 2017 version 2.5.4

New Features:

  • Live data from IEX (Investors Exchange) are now available. They cover true real time (sub-second time delay) prices of over 8,000 US stocks and ETFs. Both synchronous and asynchronous requests are supported. Also several statistical indicators - called stats by IEX - and company quarterly financial data are reported.
  • The synchronous and asynchronous live data from IEX are accessed through the same functions as those used for AlphaVantage by setting the feeds provider code to "IEX".
  • The statistical indicators are accessed through the new Deriscope formula dsStats.
  • The quarterly financial data are accessed through the new Deriscope formula dsFin.

Bug Fixes:

Improvements:

Other:

28 Nov 2017 version 2.5.4

New Features:

  • No Deriscope taskpane is any more loaded when Excel starts. This allows the user to work with Excel without any interference with Deriscope. It is nevertheless possible to configure Deriscope so that it loads automatically.
  • A new ribbon group item called Deriscope - a top menu item in versions earlier than Excel 2007 - appears that allow the user to switch on and off the Deriscope taskpane. A similar option is made available through the Tools button and Excel's context menu appearing after a mouse right-click.

Bug Fixes:

  • About overall taskpane stability in Excel 2013 and later by redesigning the taskpane manager. Also about third party Add-Ins loaded together with Deriscope.

Improvements:

  • Now Deriscope works fine in Excel 2013 when Excel starts after the user opens a spreadsheet directly through the Windows Explorer.

Other:

  • Removed the Deriscope-managed workbook saving dialog introduced in version 2.5.0 and re-enabled Excel's native dialog.

15 Nov 2017 version 2.5.3

New Features:

Bug Fixes:

  • When the number of tickers processed by Hist Request AV or Hist Request YF exceeded 27, a failure was caused by a built-in Excel limitation. A similar restriction was also imposed on Hist Request Comp, this time with regard to the total number of individual requests.
  • Related to Hist Request Comp or when several tickers were processed by Hist Request AV or Hist Request YF, whereby the whole report failed even if only one of the constituent requests failed.

Improvements:

Other:

13 Nov 2017 version 2.5.2

New Features:

  • Enhanced the type Hist Request Comp to also accept individual requests that happen to share the same Function Name. Now, for example, a composite request may comprise two SMA requests differing on their time_period property.
  • Added the optional key Function Label in the Hist Request AV and Hist Request YF types so that the user can customize the label under which the respective data are reported in the combined (composite) report.

Bug Fixes:

  • Failure of the wizard menu option TimeSeries (Composite) under Tools -> Insert Function -> Live Feeds

Improvements:

Other:

10 Nov 2017 version 2.5.1

New Features:

Bug Fixes:

  • About the dsHist formula: Ticker inputs containing blanks (invisible characters) caused url failures. Now such blanks are trimmed away.

Improvements:

Other:

09 Nov 2017 version 2.5.0

New Features:

  • Introduced live fx rates for physical and digital currencies (cryptocurrencies) from the Alpha Vantage provider. A total of 165 physical and 392 digital currencies are supported. All possible cross fx rates can be requested.
  • Introduced historical bitcoin fx rates from the Alpha Vantage provider. The intraday series is updated in real time every 5 minutes. Available are also daily, weekly and monthly time series.
  • Added an optional input parameter to the special Excel formulas dsHist and dsLiveGetSync called GoToUrl. It takes a boolean value. If set to true, each produced url will be also visited through the default browser. If omitted it is set to false. It enables the user to run diagnostics by examining the raw data as they produced by the feeds provider before they are intercepted, processed and relayed to the spreadsheet by Deriscope.
  • Released API for Visual Basic. This Programming Interface allows the user to interact with Deriscope through Visual Basic code.
  • Replaced Excel's native dialog appearing when a workbook is closing with a Deriscope-managed dialog. This protects Deriscope's stability under various scenarios of user actions, such as cancelling the closing operation or saving the workbook before closing.

Bug Fixes:

  • Problem relating to starting Deriscope from workbooks that have been opened in protected view, such as workbooks that were email attachments at the time of their opening. In particular, this affected only Excel 2013 as well as Excel 2016 64 bit. Notably Excel 2016 32 bit was not affected! In addition the problem appeared only when the user attempted to open a protected view workbook from within Excel and only if at least one other workbook was already open!
  • Time series properties were displayed in a non-constant order.
  • Problem relating to saving and reopening a workbook that has been repaired by Excel due to the existence of validation dropdowns with too many items.
  • Interference problem with external objects that happened to have the BackgroundQuery property set to true. These objects were refreshed as a side-effect of the tutorials with sometimes disastrous consequences.

Improvements:

Other:

04 Nov 2017 version 2.4.1

New Features:

Bug Fixes:

  • This version is a pure bug fix release that addresses a very serious issue confronting the Excel 64 bit users. The Excel 32 bit users who are already in possession of the previous 2.4.0 release, do need to download this version! The bug fixed in this release was the inability to enter the Settings area of Deriscope, which rendered the registration of the Alpha Vantage User key impossible, thus incapacitating the acquisition of live feeds from the Alpha Vantage provider!

Improvements:

Other:

02 Nov 2017 version 2.4.0

New Features:

  • Added support for historical data from the Yahoo Finance provider. Now the special dsHist Excel formula accepts also input objects of the new type HistRequestYF.
  • Added two additional menu items called Time Series and Time Series (Composite) under Tools -> Insert Function -> Live Feeds -> (Yahoo Finance) that demonstrate the new feature above.
  • Added an additional menu item called Refresh Yahoo Credentials under Tools that enables the user - when the link to the Yahoo Finance web service fails - to rebuild the security tokens that Deriscope uses internally in order to execute the web service call.
  • Added an additional permanent configuration setting called Yahoo Finance Auto Refresh Credentials under Tools -> Settings -> Internet that instructs Deriscope to automatically rebuild the Yahoo Finance security tokens mentioned above before each and every web service call.
  • Added an additional menu item called Copy Allowed Parameter Values under Tools that (re)creates all Deriscope validation dropdowns in those cells within the currently selected range, where such dropdowns are applicable and also copies the values associated with these dropdowns into the clipboard so that the user may paste them afterwards in the spreadsheet or anywhere else.
  • Removed the Force Recalc menu item under Tools and replaced it with a submenu consisting of 6 options that provide for fine-tuned forced recalculation of one of: Everything, active workbook, active worksheet, selected range, as well as targeted recalculation of only the error-containing cells found in either the active worksheet or the selected range. The latter is particularly useful when sparse errors have occurred, but a full Excel recalculation is not desired, due to either a) processing time considerations or b) the risk of replacing healthy formula outputs with newly introduced errors.

Bug Fixes:

  • Bug that was responsible for an alert display when the user quit Excel. This fix seems to also have a positive effect on the ability to open an Excel spreadsheet directly from the File Manager before having started Excel. The latter issue still persists though in Excel 2013.

Improvements:

  • Introduced a special storage procedure specifically for the Alpha Vantage User Key entered by the user so that it is permanently stored and is automatically available at a subsequent Excel session, even if the rest of the configuration settings are reset to their default values.

Other:

  • Changed the names of the types HistDataRequest, HistDataRequestAV, HistDataRequestComp to HistRequest, HistRequestAV, HistRequestComp respectively, in order to reduce their length and thus the width of the Excel columns containing these names. (Note this change breaks backward compatibility with regard to the spreadsheet formula ds, when its input references one of these types!)

27 Oct 2017 version 2.3.1

New Features:

Bug Fixes:

  • Problems relating to starting Deriscope from workbooks that have been opened in protected view, such as workbooks that were email attachments at the time of their opening.

Improvements:

  • Substantially stopped the very annoying taskpane flickering by removing an unnecessary highlighting feature. Now the taskpane reacts much faster and more smoothly as the user hovers the mouse over and out of its area.
  • Improved the TaskPane Reactivity High setting so that Excel's undo history is not deleted as the user select various cells.
  • Improved the TaskPane Reactivity High setting so that Excel does not hang for a few seconds as text-containing cells referenced by special formulas, such as dsHist or dsLive, get selected. These functions contain no key-value pairs so there is no reason for the taskpane to waste resources analyzing these functions.

Other:

23 Oct 2017 version 2.3.0

New Features:

  • Introduced integrated Excel tutorials, tips and warnings that appear automatically when and if a need arises.
  • Added multi-ticker and composite request support to the Alpha Vantage Historical data through the new HistDataRequest type. Also the dsHist Excel formula now takes only one argument that is expected to be a handle name of an object of type HistDataRequest. (Note this new feature breaks backward compatibility with regard to the spreadsheet formula "dsHist"!)
  • Added a new timeout property in the HistDataRequest type that takes precedence over the respective timeout definitions under Settings.

Bug Fixes:

  • Bug observed in the stand-alone Excel version 2016 (not the 365 one!), whereby the opening of a spreadsheet directly from the File Manager before Excel had started, led to taskpane corruption.
    Note that a similar attempt to open a workbook in 365 results to the taskpane being completely absent. Users of 365 are therefore advised to start Excel prior to opening workbooks from the file manager.

Improvements:

Other:

09 Oct 2017 version 2.2.1

New Features:

  • The ISDA pricing method has been added in the pricing of Credit Default Swaps
  • The Analytic Heston method has been added in the pricing of european options, which includes the Andersen Piterbarg engine for the representation of the complex logarithm.

Bug Fixes:

  • Any cell-bound validation dropdowns that are created by Deriscope with data exceeding 255 characters are now removed before a workbook is saved. This solves an existing bug, whereby the message "Excel found unreadable content" appeared when the user attempted to open a previously saved workbook that happened to contain such validation items.
  • Date parsing bug, whereby a certain type of text (eg "193.2000") was wrongly interpreted as date (19.03.2000)
  • Several bugs that led to task pane corruption during workbook saving in Excel 2016

Improvements:

  • Made dsHist - the function that retrieves historical time series from a live feeds provider, such as Yahoo Finance or Alpha Vantage - persistent, in the sense that it keeps trying - up to a certain number of repetitions - until the feeds are received. This resolves the frequent "timeout error" appearing after dsHist was executed for the first time.
  • Changed the default setting that controls Excel's calculation state when Deriscope starts, from Manual to Inherited. Under the new setting, the default behaviour will be so that Excel's calculation state will not change when a user presses the Start button in order to load Deriscope analytics into Excel. As before, that default behaviour can still be changed in the Settings.
  • Enhanced the diagnostic message "Object named xyz does not exist!" with a suggestion that the user ensures that the responsible formula has been calculated.

Other:

  • Integration with the latest QuantLib version 1.11
    The QuantLib version history is available here

24 Sep 2017 version 2.2.0

New Features:

  • Complete revamp of the the live feeds interface. The synchronous method is now accomplished through the new function dsLiveGetSync. The asynchronous method now requires a) a live feeds engine initiated through dsLiveStartEngine and b) the display of the latest acquired data through the function dsLiveGetAsync.

Bug Fixes:

  • Now getting live feeds does not erase Excel's undo history, provided that flashing has been switched off. Also several other user actions, such as selecting cells containing keys, does not necessarily interfere with either the clipboard or the undo history.

Improvements:

  • A warning is issued before an action is undertaken that is accompanied with a negative sideeffect, such as clipboard or undo history deletion.

Other:

31 Aug 2017 version 2.1.1

New Features:

Bug Fixes:

  • The grid data entry dialog appears now with the right size and position with respect to all grid cells and various windows text size settings
  • The "About" option in wizard now returns correct operation system information in the cases of Windows 8.1, Windows Server 2012 R2, Windows 10 and Windows Server 2016

Improvements:

Other:

  • Integration with the latest QuantLib version 1.10.1
    The QuantLib version history is available here

29 Aug 2017 version 2.1.0

New Features:

  • On Yield Curve construction:

    • Implementation of Dual Curve Bootstrapping through an additional exogenous Discounting Yield Curve input in the swap market data
    • Optional specification of the Forward Start and Pillar Choice in the market swap rates input
    • New mandatory Spread column in the table of market swap rates, where the floating leg spread for each swap is specified. (Note this new feature breaks backward compatibility with regard to function "Create" of type "Yield Curve"!)
    • New mandatory Pillar Date column in the table of market swap rates in case the Pillar Choice is set to Custom Date
    • Two more Yield Curve building market instrument choices: a) OIS rates and b) BMA Ibor fractions, both with exogenous Discounting Yield Curve input capability
  • On Real Time Data:

    • Addition of Alpha Vantage as a Real Time Data provider. The spreadsheet functions dsLive and dsQuote have been slightly modified so that they can request live data from either Yahoo Finance or Alpha Vantage.
      Note the big current advantage of Alpha Vantage in relation to Yahoo Finance is the delivery of prices with only up to one minute delay. It also supplies quotes, such as DJI, that are not made available by Yahoo (Note this new feature breaks backward compatibility with regard to the spreadsheet functions "dsLive" and "dsQuote"!)
    • Addition of Alpha Vantage as a Historical Data provider. The dsHist spreadsheet function has been slightly modified so that it can request historical data from either Yahoo Finance or Alpha Vantage. Whereas Yahoo Finance historical data service is currently completely broken, Alpha Vantage delivers time series of intraday and daily quotes as well as several statistical indicators that can go back to 20 years (Note this new feature breaks backward compatibility with regard to the spreadsheet function "dsHist"!)
    • Improvement of the information returned to the user by the spreadsheet function dsLive. Instead of long cell-bound sentences and flashing text appearing temporarily in the task pane, an object is now returned that contains all relevant information in a persistent fashion
  • Data Entry change (see below under Bug Fixes)

Bug Fixes:

  • A major user interface issue affecting Excel 2016 users has been addressed. With the previous version users of Excel 2016 were unable to enter data in the task pane using the keyboard. That was due to Excel 2016 resisting to release the focus away from the spreadsheet, which resulted in keyboard-generated user input flowing to the wrong destination.
    The solution required a dramatic change of user input interface towards a new data entry screen, at least in those cases where keyboard is required. This new interface actually is more stable and leads to fewer surprises than the older one.
    As a useful byproduct, users now have the additional option to select a custom date from a calendar pop-up window, while they edit the date inside a grid cell.
  • The mouse right-click context menu choice “Copy selected cells preserving grid structure” has been fixed to work as intended, namely to transfer the selected grid cells to the spreadsheet respecting their original geometric location on the grid

Improvements:

  • Reduction of the noticeable flickering of various task pane elements during user interaction

Other:

18 Aug 2017 version 2.0.0

Initial Deriscope release