Deriscope

The Excel Derivatives Periscope

Version History

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.
  • Fixed date parsing bug, whereby a certain type of text (eg "193.2000") was wrongly interpreted as date (19.03.2000)
  • Fixed 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