How to Implement Market Models Using VBA

Index

Acklam algorithm (Monte Carlo) 127–8

affine function 167

American-stye option 94

arbitrage 77

forward exchange rate 76–7

arithmetic (VBA) 10–13

binary logical operators 11

comparison operators 11

conditional statements 11–12

loops 12–13

maths operations 10–11

unary logical operator 11

arrays 9–10

one-dimensional 16

two-dimensional 16–17

Asian-style options 144, 150–2, 260–3

Black–Scholes model 260

Heston closed-form solution 260

attainable claim 93

at-the-money (ATM) 95, 210

backward induction 107

barrier options 92, 95–102, 254–9

code 257–9

knocked in 95

knocked out 95

numerical results 257

basket option 105

benchmark curves 89

Benharnou Gobet Miri method 204, 239, 244 see also Heston model

Bermudan style option pricing 94

Bermudan swaption 272

Bernouilli variable 122

binomial trees 112–16

bit-shifting 118

bivariate cumulative probability 139

Black-Scholes basic model 89

Black's caplet volatility 218

bond futures 81–3

cheapest-to-deliver 81

conversion factor 81

notional bond 81

Borel set 84

Box-Müller method 128–9 see also Monte Carlo simulation

Brace Gatarek Musiela model see LIBOR Market Model

Brownian motion 84–5

filtration of 85

cancelable swaps 272–3

code 272–6

tree approximation 276–81

quadrinomial tree constraint 276–81

central limit theorem 112

cheapest-to-deliver bond 81

Cholesky decomposition 46–8, 140–1

class module 2, 22

classes 22–4

definition 22–3

Property 23

Types 22

cliquet-style options 144, 158

CMS swap 267–72

code 268–72

under HJM model 269–70

under ...