###

Options on equities, indices, currencies and futures

Interest rate derivatives and convertible bonds
Employee stock option valuation
Historical volatility and price distribution
Probability analysis
Portfolio Hedging & Trading profitability
Futures
Value at Risk (VaRtools)
On-Line quotations
Utilities

s, currencies and futures

d convertible bonds

Hoadley Options Tools Web Site

Latest Version Information & Download
Download MPT/CAPM portfolio optimizer
Download VaRtools additional samples spreadsheet

HoadleyOptions1
Returns the price and hedge parameters or European
or American options. Uses absolute dates.
Index

Help

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Spot
Deal_date
Expiry_date
Volatility
Risk_free_rate

P
1
C
13.00
12.50
14-Jan-00
25-Mar-00
30%
5.75%

Optional arguments:
Dividend_type
Dividend_details:
Dividend 1
Dividend 2

D
Amt
Ex-div
0.20 01-Feb-00
0.50 01-Mar-00

Binomial_steps
Results
Price
Delta
Gamma
Vega
Theta
Rho
http://www.hoadley.net/options

50
Calc type
P
D
G
V
T
R

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

C
P
1
2
3
N
C
D

HoadleyOptions2
Returns the price and hedge parameters or European
or American options. Uses days rather than dates.

Help

Index

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Spot
Days
Volatility
Risk_free_rate
Optional arguments:
Dividend_type
Dividends
Days_to_ex_dates
Dividend_count

D
0.75
310
1

Binomial steps
Results
Price:
Delta:
Gamma
Vega
Theta
Rho

P
1
C
13.00
12.50
365
30%
5.75%

50
Calc Type
P
D
G
V
T
R

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Example with user function in VBA module:

Results
Calc Type
Value
Price:
P
#VALUE!
Delta:
D
#VALUE!
Gamma
G
#VALUE!
Vega
V
#VALUE!
Theta
T
#VALUE!
Rho
R
#VALUE!
http://www.hoadley.net/options

C
P
1
2
3
N
C
D

HoadleyImpliedVolatility1
Returns the implied volatility of an option.
Uses absolute dates.

Help

Index

Example
Inputs
Pricing_model (European or American)
Option_type
Strike
Spot
Deal_date
Expiry_date
Option_price
Risk_free_rate
Optional arguments:
Dividend_type

Dividend_details

1
C
13.00
12.50
14-Jan-00
25-Mar-00
0.2560
5.75%

D
Amt
ex-div
0.20 01-Feb-00
0.50 01-Mar-00

Binomial_steps

50

Results
Implied volatility

#MACRO?

http://www.hoadley.net/options

C
P
1
2
3
N
C
D

HoadleyImpliedVolatility2
Returns the implied volatility of an option. Uses days
rather than dates.

Help

Index

Example
Inputs
Pricing_model (European or American)
Option_type
Strike
Spot
Days
Option_price
Risk_free_rate
Optional arguments:
Dividend_type
Dividends
Days_to_ex_dates
Dividend_count
Binomial_steps
Results
Used from a worksheet cell:
Used from a VBA module:
http://www.hoadley.net/options

http://www.hoadley.net/options

1
C
13.00
12.50
365
1.205
5.75%

D
0.75
310
1
50

#MACRO?
#VALUE!

C
P
1
2
3
N
C
D

HoadleyPercentToTarget1
Returns the percentage that the underlying spot price
needs to change to produce a target option price.
A target of 100% produces "percent to double".
Index

Help

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Spot
Value_date
Expiry_date
Volatility
Risk_free_rate

P
1
C
13.00
12.50
14-Jan-00
25-Mar-00
30%
5.75%

Optional arguments:
Target_percent
Option_price

100%

Dividend_type
Dividend_details:

Dividend 1
Dividend 2

Amt
Ex-div
0.20 01-Feb-00
0.50 01-Mar-00

Binomial_steps
Results
Percent change in spot price
Target spot price
Current option price
Target option price
http://www.hoadley.net/options

50
Calc Type
Value
P
#MACRO?
TSP
#MACRO?
COP
TOP

#MACRO?
#MACRO?

C
P
1
2
3
N
C
D

HoadleyPercentToTarget2
Returns the percentage that the underlying spot price
needs to change to produce a target option price.
A target of 100% produces "percent to double".

Help

Index

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Spot
Days
Volatility
Risk_free_rate
Optional arguments:
Target_percent
Option_price

100%

Dividend_type
Dividends
Days_to_ex_dates
Dividend_count

D
0.75
310
1

Binomial steps
Results
Percent change in spot price
Target spot price
Current option price
Target option price
http://www.hoadley.net/options

P
2
C
13.00
12.50
365
30%
5.75%

50
Calc Type
Value
P
#MACRO?
TSP
#MACRO?
COP
TOP

#MACRO?
#MACRO?

C
P
1
2
3
N
C
D

HoadleyImpliedUA1
Returns an underlying asset ("UA") value (strike, spot
days, volatility, risk free rate) implied by either a given
option price or option delta. Uses absolute dates.

Help

Index

Inputs
Solve_for
Pricing_model (European or American)
Option_type
Strike
Spot
Value_date
Expiry_date
Volatility
Risk_free_rate

Results (implied underlying values)

S
1
C
100.00
98.70
20-Dec-03
30-Jun-04
30%
3.75%

Target_type
Target_Value
Seed_value
Dividend_type
Dividend Details

Binomial_steps
http://www.hoadley.net/options

D
Amt
Ex-div
1.50 01-Feb-04
1.80 01-Jun-04
100

Target_type
1 Option price
2 Delta

Target_Value
1 Strike
#MACRO? #MACRO?
#MACRO? #MACRO?

Seed_v
(actual days: 193)

1
2
3
C
P
N
C
D

Solve_for
2 Spot
3 Days 4 Vol'tilty
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO?
Seed_value (optional)
250

5 Rate
###
###

HoadleyImpliedUA2
Returns an underlying asset ("UA") value (strike, spot
days, volatility, risk free rate) implied by either a given
option price or option delta. Uses days.

Help

Index

Inputs
Solve_for
Pricing_model (European or American)
Option_type
Strike
Spot
Days_to_expiry
Volatility
Risk_free_rate

Results (implied underlying values)

Solv
1
P
60.00
62.25
55
30%
3.75%

Target_type
Target_Value
Seed_value
Dividend_type
Dividends
Days_to_ex_dates
Dividend_count

D
1.5
25
1

Binomial_steps

100

http://www.hoadley.net/options

Target_type
1 Option price
2 Delta

Target_Value
1 Strike
#MACRO? #MACRO?
#MACRO? #MACRO?

Seed_valu

1
2
3
C
P
N
C
D

Solve_for
2 Spot
3 Days 4 Vol'tilty
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO?
Seed_value (optional)
90

5 Rate
###
###

HoadleyOptionsNLN
Returns an European or American option price based
on a Non LogNormal underlying price distribution.
Index

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Spot
Days
Volatility
Risk_free_rate

P
1
C
20.00
20.00
182.5
25%
5%

Optional arguments:
Dividend_type (optional)
Dividends (optional)
Days_to_ex_dates (optional)
Dividend_count (optional)

D
0.50
20.0
1

Skewness (0ptional)
Kurtosis (optional)

-0.5
1.8

Binomial_steps (optional)
Results - Calculation of volatility smile
Gap between strike prices:
0.50
Strike prices
15.00
Non-log normal price
###
Log normal option price
###
Implied volatility
###

25%
24%
23%
22%
21%
20%
15. 15. 16. 16. 17. 17. 18. 18. 19. 19. 20. 20. 21. 21. 22.
00 50 00 50 00 50 00 50 00 50 Strike
00 50 00 50 00

50

15.50
###
###
###

Volatility Smile

26%

Volatility

Help

16.00
###
###
###

16.50
###
###
###

17.00
###
###
###

17.50
###
###
###

Notes:
1. The non-log normal and log normal prices are shown above for interest only. They are not
used in calculating the volatility smile.
2. You can use Excel solver to simultaneously calculate the "true" volatility, skewness and
kurtosis from observed market option prices by minimizing the sum of the squares of the
differences between the non-log normal prices and the market prices.

http://www.hoadley.net/options

18.00
###
###
###

"True" volatility:

C
P
1
2
3
N
C
D

25%

25%

25%

25%

25%

25%

25%

Volatility Smile

. 18. 19. 19. 20. 20. 21. 21. 22. 22. 23. 23. 24. 24. 25. 25.
50 00 50 Strike
00 50 00 50 00 50 00 50 00 50 00 50

18.50
###
###
###

19.00
###
###
###

19.50
###
###
###

20.00
###
###
###

20.50
###
###
###

21.00
###
###
###

21.50
###
###
###

22.00
###
###
###

22.50
###
###
###

23.00
###
###
###

23.50
###
###
###

25%

25%

25%

25%

25%

25%

25%

25%

25%

25%

25%

24.00
###
###
###

24.50
###
###
###

25.00
###
###
###

25.50
###
###
###

25%

25%

25%

25%

HoadleyBarrier1
Returns the option price, hedge parameter or implied
volatility of a European or American single barrier option.

Help

Index

Example
Inputs
Calc_type
Pricing_model (European or American)
Option_type
Barrier_type
Strike
Spot
Barrier
Days_to_expiry
Volatility
Interest_rate
Optional arguments:
Dividend_type
Dividends
Days_to_ex
Dividend_count

N
2.30
122
1

Rebate
Option_price
Tri_steps
Discrete_monitoring
Trading_days
Max_steps
Results
Option price
Delta
Gamma
Theta
http://www.hoadley.net/options

http://www.hoadley.net/options

P
1
P
DI
100.00
100.00
80.00
365
25%
6.00%

0.00
300
C
250
1300
Calc Type
P
D
G
T

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

C
P
1
2
3
N
C
D

UI
UO
DI
DO
C
D
W
M

HoadleyBarrier2
Returns the option price, hedge parameter or implied
volatility of a European or American double barrier option.

Help

Index

Example
Example
Calc_type
Pricing_model (European or American)
Option_type
Barrier_type
Strike
Spot
Upper_barrier
Lower_barrier
Days_to_expiry
Volatility
Interest_rate
Optional arguments:
Dividend_type
Dividends
Days_to_ex
Dividend_count

N
2.30
122
1

Rebate
Option_price
Tri_steps
Discrete_monitoring
Trading_days
Max_steps
Results
Option price:
Delta:
Gamma
Theta
http://www.hoadley.net/options

P
1
P
I
100.00
100.00
110.00
80.00
365.0
25%
6.00%

0.00
300
C
250
1300
Calc Type
P
D
G
T

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

C
P
1
2
3
N
C
D

O
I

C
D
W
M

HoadleyBasketOption
Returns the price of a European option on a basket of underlying assets. The
price is calculated analytically, not by simulation.
This function is only available in the full version of the add-in.
Index

Help
Example
Inputs
Option_type
Value_date
Expiry_date
Risk_rate
Strike

Corr_matrix
(correlation matrix)

C
05-Sep-03
17-Apr-04
3.50%
760,000.00

PG
IBM
GE
MSFT

Volatilities
Prices
No_units
div_yields

Results - 1
Option value

PG
1.00

IBM
0.30
1.00

GE
0.20
0.25
1.00

MSFT
0.20
0.30
0.20
1.00

PG
27%
91.43
2500
2.10%

IBM
25%
87.91
1750
3.00%

GE
33%
31.32
5400
1.30%

MSFT
34%
28.43
6300
0.00%

#MACRO?

Results - 2
Comparison with at-the-money options on the individual assets. The basket option
will usually (depending on the correlation between the assets) be cheaper. Hedging
currency exposures and other risks can therefore be done more cheaply than by
purchasing individual options.
PG
IBM
GE
MSFT
Individual option strikes (ATM)
228,575
153,843
169,128
179,109
Individual option values
###
###
### #MACRO?
Strike for basket
Total of individual option values
Basket option value
http://www.hoadley.net/options

730,655
#MACRO?
#MACRO?

C
P

Early Exercise Class

Returns all optimal early exercise points for a range of
spot prices for a given option specification. Only
relevant for American options.

Help

Index

Example:
Inputs
Option dates:
Deal date
Expiry date
Ex-dividend date 1:
Ex-dividend date 2:

Results
13-Sep-01
20-Dec-01
03-Oct-01
31-Oct-01

Inputs:
Option_type
Strike
Days_to_expiry
Volatility
Risk_free_rate

C
17.50
98
33.9%
5.00%

Dividend_type
Dividends
Days_to_ex_dates
Dividend_count

Div 1
0.25
20

D
Div 2
0.5
48
2

Current stock price:

17.65

Range of spot prices to be searched:

13.50
14.00
14.50
15.00
15.50
16.00
16.50
17.00
17.50
18.00
18.50
19.00
19.50
20.00
20.50
21.00
21.50

http://www.hoadley.net/options

Spot
Price
20.50
21.00
21.50

Optimal
Early Exercise
Threshold
On 02-Oct-01
On 02-Oct-01
On 02-Oct-01

19.50
20.00
20.50
21.00
21.50

On 30-Oct-01
On 30-Oct-01
On 30-Oct-01
On 30-Oct-01
On 30-Oct-01

Option Price
at Threshold

C
P
N
C
D

Option Price
at Threshold
3.0000
3.5000
4.0000
2.0000
2.5000
3.0000
3.5000
4.0000

Probability
of reaching
Threshold
2.6%
1.2%
0.5%
17.3%
12.5%
8.8%
6.0%
4.0%

HoadleyBond
Returns the price, yield to maturity, duration or modified
duration of a coupon bond.

Help

Index

Example
Inputs
Calc_type
Principal
Valuation_date
Maturity
Coupon_rate
Coupon_frequ
Term structure:

P
100.00
07-Apr-03
25-May-09
5.0%
4
Years
0.00
0.25
0.50
1.00
3.00
5.00

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%

Optional arguments:
Price_type (quoted or cash)
Bond_price
Yield_type
Prev_ex_date
Results
Quoted ("clean") price
Bond yield (continuous compounding)
Bond yield (discrete compounding)
Cash ("dirty") price
Bond yield (continuous compounding)
Bond yield (discrete compounding)
Duration
Modified Duration
http://www.hoadley.net/options

Calc_type
Value
P
#MACRO?
Y
#MACRO?
Y
#MACRO?
P
Y
Y

#MACRO?
#MACRO?
#MACRO?

D
MD

#MACRO?
#MACRO?

Hoadley FR Note
Returns the price, or the effective margin over swap, for a
floating rate note ("floater")
This function is only available in the full version of the
add-in.

Help

Index

Example
Inputs
Calc_type
Principal
Value_date
maturity_date
Current_coupon
Reset_frequency
Contract_margin
Effective_margin
Term_structure

P
100.00
29-Feb-04
27-Jul-07
4.10%
4
1.00%
1.50%
Years
0.25
0.50
1.00
2.00
3.00
4.00

Optional arguments:
Price_type (Quoted or cash)
Market_price
yield_type
prev_ex_date

Rate
5.50%
5.80%
6.10%
6.30%
6.50%
6.60%

Gross_up_factor
coupon_multiplier

0.7

Results
Quoted ("clean") price
Effective margin

P
EM

#MACRO?
#MACRO?

Cash ("dirty") price

Effective margin

P
EM

#MACRO?
#MACRO?

http://www.hoadley.net/options

HoadleyConvBond
Returns the price and other related information of a
convertible bond with call and/or put features.
This function is only available in the full version of
the add-in.

Help

Index

Example
Inputs
Calc_type
Redemption
Valuation_date
Maturity_Date
Coupon_rate
Coupon_frequ
Risk_free_rate
Credit_spread

PQ
100.00
02-Oct-03
25-Mar-05
8.00%
2
5.00%
2.50%

Share_price
Volatility
Conversion_ratio

24.00
25%
4.0

Optional arguments:
conversion_date
Dividend_type

Dividend_details:
Dividend 1
Dividend 2
Dividend 3
Call_price
Call_date
Call_trigger
call_notice

Amt
Ex-div
0.30 04-Feb-04
0.32 10-Aug-04
0.34 03-Feb-05
103.00
01-Jan-04

Put_price
Put_date
Trinomial_steps
get_accrued

200
0

Results
Convertible bond price (quoted)
Convertible bond price (cash)
Bond price (quoted)
Bond price (cash)
Accrued interest
Delta per share
Option value
http://www.hoadley.net/options

N
D
C
1
0

Calc_type
Value
PQ
#MACRO?
PC
#MACRO?
BQ
BC
AI
D
O

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

HoadleyBondOptBlk
Returns the price, hedge parameters, or implied volatility
of an option on a coupon bond using the Black-76
model.

Help

Index

Example
Inputs
Calc_type
Principal
Valuation_date
Bond_maturity
Coupon_rate
Coupon_frequ
Term_structure

P
100.00
07-Apr-03
25-May-09
5.0%
4
Years
0.00
0.25
0.50
1.00
3.00
5.00

Option_type
Strike
Option_expiry
Yield_vol

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%
C
95.00
7-Dec-03
20.0%

Optional arguments:
Price_type (quoted or Cash)
Option_price

Results
Calc type
Option price
P
Delta (DV01)
D
Gamma
G
Vega
V
Price volatility at option maturity
PV

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Implied volatility

#MACRO?

http://www.hoadley.net/options

IV

C
P
Q
C

HoadleyBondOptHW
Returns the price or hedge parameters of a Eurpoean
or American coupon bond option using either the
Hull-White analytic model (European), or Hul-White
interest rate trinomial trees (European or American).

Help

Index

Example
Inputs
Calc_type
Pricing model
Principal
Valuation_date
Bond_maturity
Coupon_rate
Coupon_frequ
Term_structure

P
1
100.00
07-Apr-03
25-May-09
5.0%
4
Years
0.00
0.25
0.50
1.00
3.00
5.00

Option_type
Strike
Option_expiry
Short_rate_vol
Reversion_rate

C
95.00
7-Dec-03
1.5%
10%

Optional arguments:
Price_type (quoted or cash)
Tri_steps
Results
Option price
Delta (DV01)
Gamma
Vega
http://www.hoadley.net/options

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%

Q
20
Calc type
P
D
G
V

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

1
2
3
C
P
Q
C

HoadleyCapFloorBlk
Returns the price, hedge parameters or implied
volatility of interest rate caps and floors using the
Black-76 model.

Help

Index

Example
Inputs
Cap_or_floor
Calc_type
Principal
Valuation_date
Start_date
Term_months
Cap_floor_rate
Frequency
Volatility
Term_structure

C
P
100,000
07-Apr-03
07-Apr-04
24
5.00%
4
20%
Years
0.00
0.25
0.50
1.00
3.00
5.00

Optional arguments:
Year_basis
Cap_floor_price

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%
365

Results
Cap/floor price
Delta (DV01)
Gamma
Vega

Calc type
P
D
G
V

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Implied volatility

IV

#MACRO?

http://www.hoadley.net/options

360
365
C
P
Q
C
C
F

HoadleyCapFloorHW
Returns the price, hedge parameters or implied volatility
of interest rate caps and floors using the Hull-White
model.

Help

Index

Example
Inputs
Cap_or_floor
Calc_type
Principal
Valuation_date
Start_date
Term_months
Cap_floor_rate
Frequency
Short_rate_vol
Reversion_rate
Term_structure

C
P
100,000
07-Apr-03
07-Apr-04
24
5.00%
4
1%
10%
Years
0.00
0.25
0.50
1.00
3.00
5.00

Optional arguments:
Year_basis
Cap_floor_price
Results
Cap/floor price
Delta (DV01)
Gamma
Vega
http://www.hoadley.net/options

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%
365

Calc type
P
D
G
V

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

360
365
C
P
Q
C
C
F

HoadleySwaptionBlk
Returns the price, hedge parameters or implied volatility
of a Eurpoean Swaption (an option on an interest rate
swap) using the Black-76 model.

Help

Index

Example
Inputs
Swap_type
Calc_type
Principal
Valuation_date
Start_date
Term_months
Swap_rate
Frequency
Volatility
Term_structure

PF
P
100,000
07-Apr-03
07-Apr-04
24
5.00%
4
20%
Years
0.00
0.25
0.50
1.00
3.00
5.00

Optional arguments:
Year_basis
Option_price

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%
365

Results
Swaption price
Delta (DV01)
Gamma
Vega

Calc type
P
D
G
V

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Implied volatility

IV

#MACRO?

http://www.hoadley.net/options

RF
PF
360
365

HoadleySwaptionHW
Returns the price, hedge parameters or implied volatility
of a Eurpoean Swaption (an option on an interest rate
swap) using the normal analytic or trinomial tree models.

Help

Index

Example
Inputs
Swap_type
Calc_type
Calc_model
Principal
Valuation_date
Start_date
Term_months
Swap_rate
Frequency
Short_rate_vol
Reversion_rate
Term_structure

PF
P
1
100,000
07-Apr-03
07-Apr-04
24
5.00%
4
1%
10%
Years
0.00
0.25
0.50
1.00
3.00
5.00

Optional arguments:
Year_basis
Tri_steps
Results
Swaption price
Delta (DV01)
Gamma
Vega
http://www.hoadley.net/options

Rate
2.75%
3.00%
3.25%
3.50%
4.00%
4.50%
365
20

Calc type
P
D
G
V

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

RF
PF
360
365
1
2
3

HoadleyEurodollar
Returns the price, hedge parameters, or implied volatility
of an option on an Eurodollar time deposit futures
contract.

Help

Index

Example
Inputs
Calculation_type
Pricing_model (European or American)
Option_type
Strike
Futures_price
Days
Volatility
Risk_free_rate
Optional arguments:
Binomial_steps (optional)
Option_price (optional)
Results
Option price:
Delta:
Gamma
Vega
Theta
Rho
Implied volatility
http://www.hoadley.net/options

P
1
C
93.25
93.15
450
10%
6.00%

50

Calc Type
P
D
G
V
T
R

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

IV

#MACRO?

C
P
1
2
3

HoadleyESO1
Returns the fair value of an employee stock option
priced according to the basic US Financial Accounting
Standards Board (FASB) 123 standard.

Help

Index

Example
Inputs
Pricing_model (European or American)
Exercise_price
Stock_price
Expected_life
Volatility
Risk_free_rate
Dividend_yield
Vesting_period
Employee_exit_rate
Optional arguments:
Binomial_steps
Results
Fair value of option:
http://www.hoadley.net/options

1
87.00
87.00
5.3
30%
4.50%
2.50%
2.0
5%

200

#MACRO?

1
2

HoadleyESO2
Returns the fair value and expected life of an employee stock
option priced according to the Hull-White "enhanced" US
Financial Accounting Standards Board (FASB) 123 standard.

Help

Index

Example of company ESO grant schedule

Inputs
Grant date:
1-Jan-03
Exercise price:
95.70
Current stock price:
87.00
Maximum option life in years:
10
Volatility:
30%
Risk free rate:
4.50%
Dividend yield:
2.50%
Trinomial steps
200
Results
Vesting period (years):
Percent of grant vested:
Employee category

Options Employee
granted exit rate

Exercise
multiple

Senior managers

56,000

3%

2.5

Option value
Total expense
Expected option life

Middle managers

41,000

5%

2.3

Option value
Total expense
Expected option life

Professional staff

45,500

8%

1.9

Option value
Total expense
Expected option life

Support staff

15,000

15%

1.5

Option value
Total expense
Expected option life

Total options granted:

http://www.hoadley.net/options

157,500

1.5
40%

Vesting schedule
2.0
2.5
20%
20%

3.0
20%

Details by vesting period

Total
Expense

#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?
Total option expense for 1-Jan-03 grant:

#MACRO?
#MACRO?

HoadleyHistoricVolatility
Returns the annualized volatility of an asset based
on a sample of historical prices. Volatility can be
calculated in four ways.

Examples
Inputs
Day
Mon
Tue
Wed
Thu
Fri
Mon
Tue
Wed
Thu
Fri
Mon
Tue
Wed
Thu
Fri

Date
21-Jan-02
22-Jan-02
23-Jan-02
24-Jan-02
25-Jan-02
28-Jan-02
29-Jan-02
30-Jan-02
31-Jan-02
01-Feb-02
04-Feb-02
05-Feb-02
06-Feb-02
07-Feb-02
08-Feb-02

Index

High
102.00
102.00
101.50
100.00
99.00
99.50
101.00
100.50
103.00
95.50
98.00
97.00
96.50
95.00
93.50

Results
Close Price Volatility:
High-Low Volatility:
High-Low-Close Volatility:
High-Low-Open-Close Volatility:
EWMA volatility
decay_factor (EWMA):
GARCH volatility:
http://www.hoadley.net/options

Low
100.00
100.50
99.00
97.50
98.00
98.00
98.00
98.00
100.00
94.00
95.00
96.00
94.00
93.50
92.50

Open
100.00
101.50
101.50
100.00
98.00
98.00
99.00
100.00
100.00
95.50
95.00
96.00
94.00
95.00
93.50

Close Dividend
101.50
104.00
99.00
97.50
98.50
99.00
100.00
99.00
101.00
95.00
5.00
96.00
96.50
96.00
94.50
93.00
Calc type
C
HL
HLC
HLOC
EWMA
EWMAL
GARCH

Value
###
###
###
###
###
###
###

Weekly Moving Av
1200%
1000%
800%

Volatility

Help

600%
400%
200%

0%
2528293031Jan-02 Jan-02 Jan-02 Jan-02 Jan-02

Important note: This example is not me

reality, much larger samples would be re
(eg four years of daily close prices for GA

Note: you would not normally use EWMA or GARCH with such a small sample.
They are is included here for illustrative purposes only.

Weekly Moving Average Volatility

0%

0%

0%

0%

0%

0%

0%
2528293031010405060708Jan-02 Jan-02 Jan-02 Jan-02 Jan-02 Feb-02 Feb-02 Feb-02 Feb-02 Feb-02 Feb-02

Date

ant note: This example is not meant to reflect a realistic situation. In

much larger samples would be required to produce a meaningful result.
years of daily close prices for GARCH)

Weekly
Moving
Average
###
###
###
###
###
###
###
###
###
###
###

HoadleyGARCH
Uses the GARCH model to return the annualized volatility, forecast volatility and a
number of 'GARCH' parameters of an asset based on a sample of historical closing prices.
This function is only available in the full version of the add-in.

Example:
Inputs
Historical stock prices
Week
Close
1
101.50
2
101.50
3
100.00
4
97.50
5
98.50
6
99.00
7
100.00
8
99.00
9
101.00
10
102.00
11
103.00
12
101.00
13
100.00
14
98.00
15
99.00
16
99.00
17
98.00
18
100.00
19
105.00
20
110.00
21
115.00
22
110.00
23
116.00
24
110.00
25
106.00

Index

Results
Current volatility
Long term forecast

http://www.hoadley.net/options

#MACRO?
#MACRO?

Volatility forecast
Week ahead
Volatility
0
#MACRO?
1
#MACRO?
2
#MACRO?
3
#MACRO?
4
#MACRO?
5
#MACRO?
6
#MACRO?
7
#MACRO?
8
#MACRO?
9
#MACRO?
10
#MACRO?
11
#MACRO?
12
#MACRO?
13
#MACRO?
14
#MACRO?
15
#MACRO?
16
#MACRO?
17
#MACRO?
18
#MACRO?
19
#MACRO?
20
#MACRO?
21
#MACRO?
22
#MACRO?
23
#MACRO?
24
#MACRO?
25
#MACRO?
26
#MACRO?
27
#MACRO?
28
#MACRO?
29
#MACRO?
30
#MACRO?
31
#MACRO?

Forecast Vo

1224.0%
Volatility

Help

1024.0%
824.0%
624.0%
424.0%
224.0%
24.0%

0 1 2 3 4 5 6 7 8 9 10 11 12 13 1

Forecas

Term Structure:
Option life in weeks:
Volatility:
Notes:
1. This function is only available in the full version
show as zero.

2. The term structure shows that, for example, if yo

estimate of the volatility fro historical data would be

3. The HistoricVolatilityCalculator (included with fu

volatility, volatility forecasts and term structures au

4. This example is not meant to be realistic and is

must be much larger (eg four years of daily data) f

Forecast Volatility

%
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Forecast week

4
###

8
###

12
###

16
###

20
###

ction is only available in the full version of the add-in. In the trial version all results will
ro.
structure shows that, for example, if you are pricing a 12 week option then the best
the volatility fro historical data would be 26%.

oricVolatilityCalculator (included with full version of the add-in) calculates current

olatility forecasts and term structures automatically using GARCH

mple is not meant to be realistic and is for illustrative purposes only. Sample sizes
uch larger (eg four years of daily data) for GARCH to be effective.

HoadleyPriceDist
Returns skewness and kurtosis coefficients, and standard
errors of skewness and kurtosis, from a sample of
historical asset prices

Help
Example
Inputs
Closing prices
For one year
10.61
10.65
10.75
10.58
10.38
10.73
10.76
10.85
10.80
10.55
10.34
10.65
10.80
10.43
10.55
10.67
10.50
10.38
10.40
10.60
10.80
10.95
10.49
10.18
10.10
10.25
9.72
9.44
9.67
9.58
9.57
9.29
9.22
9.31
9.41
9.50
9.57
9.60
9.68
9.55
9.55
9.69

Index

Results

Value

Skewness:
Excess kurtosis

###
###

Standard error of skewness:

Standard error of kurtosis

###
###

Significance tests:
Skewness T ratio:
Kurtosis T ratio:

###
###

Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

http://www.hoadley.net/options

9.45
9.55
9.57
9.57
9.33
9.12
9.26
9.45
9.37
9.38
9.30
9.16
9.05
9.13
9.33
9.20
9.28
9.49
9.67
9.53
9.34
9.29
9.35
9.34
9.41
9.52
9.33
9.35
9.25
9.19
9.21
9.32
9.44
9.74
9.72
9.60
9.53
9.43
9.40
9.34
9.36
9.37
9.31
9.30
9.31
9.31
9.21
9.24
9.14
9.30
9.25
9.27
9.32
9.40

9.26
9.34
9.30
9.35
9.32
9.37
9.48
9.45
9.35
9.26
9.31
9.31
9.46
9.50
9.41
9.56
9.52
9.64
9.48
9.48
9.54
9.42
9.41
9.47
9.47
9.55
9.35
9.00
9.05
9.09
9.08
9.03
8.95
8.89
8.80
8.75
8.74
8.96
9.02
9.10
9.05
9.05
9.02
9.01
9.11
9.11
9.02
8.87
9.02
8.98
9.04
9.06
9.12
9.07

9.07
9.08
9.05
9.00
8.99
8.83
8.84
8.88
8.99
8.90
8.75
8.73
8.47
8.49
8.50
8.66
9.05
9.40
9.46
9.44
9.61
9.62
9.47
9.31
9.30
9.39
9.45
9.55
9.32
9.46
9.54
9.50
9.55
9.50
9.36
9.57
9.65
9.65
9.75
9.76
9.64
9.76
9.91
9.95
10.02
9.84
9.95
9.98
10.25
10.32
10.25
10.30
10.23
10.13

9.96
9.95
9.82
9.98
9.86
9.80
9.92
9.91
10.13
10.02
9.95
9.94
9.86
9.89
10.00
10.31
10.28
10.38
10.11
10.04
9.75
9.63
9.60
9.55
9.71
9.88
9.73
9.60
9.70
9.65
9.82
9.95
9.84
9.89
9.84
9.94
9.76
9.73
9.80
9.86
9.75
9.50
9.55
9.60
9.54
9.68
9.51
9.48
9.39

Comment
(based on daily sampling)
(based on daily sampling)

Skewness not statistically different from normality.

Kurtosis is significantly different from that expected
from a lognormal distribution of prices.
(see help file for significance testing)
stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyAutoCorrel

Returns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of
or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies stron
autocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is app
for the data.

Help
Example
Inputs
Closing prices
For one year

10.61
10.65
10.75
10.58
10.38
10.73
10.76
10.85
10.80
10.55
10.34
10.65
10.80
10.43
10.55
10.67
10.50
10.38
10.40
10.60
10.80
10.95
10.49
10.18
10.10
10.25
9.72
9.44
9.67
9.58
9.57
9.29
9.22
9.31
9.41
9.50
9.57

Index

Results
Confidence level:
data_type:

lag
1
2
3
5
10
20
30

Autocorrelation
###
###
###
###
###
###
###

2%
3 Null hypothesis: there is no autocorrelation for this data_type

Ljung-Box
statistic
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Chisquare
P-value
###
###
###
###
###
###
###

Chisquare
critical
value
5.412
7.824
9.837
13.388
21.161
35.020
47.962

Notes:
1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical ex
this function can be used to evaluate GARCH suitability.
2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

http://www.hoadley.net/options

9.60
9.68
9.55
9.55
9.69
9.45
9.55
9.57
9.57
9.33
9.12
9.26
9.45
9.37
9.38
9.30
9.16
9.05
9.13
9.33
9.20
9.28
9.49
9.67
9.53
9.34
9.29
9.35
9.34
9.41
9.52
9.33
9.35
9.25
9.19
9.21
9.32
9.44
9.74
9.72
9.60
9.53
9.43
9.40
9.34
9.36
9.37
9.31
9.30
9.31
9.31
9.21
9.24
9.14

9.30
9.25
9.27
9.32
9.40
9.26
9.34
9.30
9.35
9.32
9.37
9.48
9.45
9.35
9.26
9.31
9.31
9.46
9.50
9.41
9.56
9.52
9.64
9.48
9.48
9.54
9.42
9.41
9.47
9.47
9.55
9.35
9.00
9.05
9.09
9.08
9.03
8.95
8.89
8.80
8.75
8.74
8.96
9.02
9.10
9.05
9.05
9.02
9.01
9.11
9.11
9.02
8.87
9.02

8.98
9.04
9.06
9.12
9.07
9.07
9.08
9.05
9.00
8.99
8.83
8.84
8.88
8.99
8.90
8.75
8.73
8.47
8.49
8.50
8.66
9.05
9.40
9.46
9.44
9.61
9.62
9.47
9.31
9.30
9.39
9.45
9.55
9.32
9.46
9.54
9.50
9.55
9.50
9.36
9.57
9.65
9.65
9.75
9.76
9.64
9.76
9.91
9.95
10.02
9.84
9.95
9.98
10.25

10.32
10.25
10.30
10.23
10.13
9.96
9.95
9.82
9.98
9.86
9.80
9.92
9.91
10.13
10.02
9.95
9.94
9.86
9.89
10.00
10.31
10.28
10.38
10.11
10.04
9.75
9.63
9.60
9.55
9.71
9.88
9.73
9.60
9.70
9.65
9.82
9.95
9.84
9.89
9.84
9.94
9.76
9.73
9.80
9.86
9.75
9.50
9.55
9.60
9.54
9.68
9.51
9.48
9.39

1
2
3

est results for a sample of prices, the (log) returns of the prices,
or volatility clustering: volatility clustering implies strong
one indication that the GARCH volatility model is appropriate

thesis: there is no autocorrelation for this data_type

Meaning
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

uded with full version of the add-in) for a practical example of how
CH suitability.

orp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyProbAtEnd
Returns the probability of the spot price being above or
below a target price at the end of the specified number
of days.

Help

Index

Example
Prob_type
Target_price
Spot
Days
Volatility
Expected_return

A
55.00
50.00
365
30%
5%

Optional arguments:
Dividend_type
Dividends
Days_to_ex_dates
Dividend_count

D
2.50
182.5
1

Results
Probability of spot being above target at end:
Probability of spot being below target at end:
Probability of being above when expected return = 0
and dividend = 0 (equivalent to a stock
with a dividend yield equal to expected return)
http://www.hoadley.net/options

Prob_type
A
B

From a worksheet cell

#MACRO?
#MACRO?

From VBA
module
#VALUE!
#VALUE!

#MACRO?
#MACRO?

#VALUE!
#VALUE!

N
C
D

HoadleyProbAnyTime1
Returns the probability of the spot price ever being above or below
a target price at any time during a specified number of days.
This function is only available in the full version of the
the add-in.

Help

Index

Example showing probabilities by volatility and spot price

Inputs
Prob_type
A
Target_price
60.00
Spot
50.00
Days
300
Volatility
30%
Expected_return
10%
Optional arguments:
Dividend_yield
Observations_per_day

0%
1

Results
The following table shows the probability of the spot price being above the target at any time.
The "at end probability" is shown for comparison.
Spot Price
Volatility
Any time during period
At end of period
45.00
50.00
55.00
60
45.00
50.00
55.00
5%
###
###
###
###
###
###
###
10%
###
###
###
###
###
###
###
15%
###
###
###
###
###
###
###
20%
###
###
###
###
###
###
###
25%
###
###
###
###
###
###
###
30%
###
###
###
###
###
###
###
35%
###
###
###
###
###
###
###
40%
###
###
###
###
###
###
###
45%
###
###
###
###
###
###
###
50%
###
###
###
###
###
###
###
55%
###
###
###
###
###
###
###
60%
###
###
###
###
###
###
###
http://www.hoadley.net/options

60.00
###
###
###
###
###
###
###
###
###
###
###
###

HoadleyProbAnyTime2
Returns the probability of the spot price moving outside a target range at any
time during a specified number of days. It also will return the probability of moving
outside both prices in the range, or remaining within the range at all times.
This function is only available in the full version of the add-in.

Help

Index

Example
Results
prob_type
upper_target
lower_target
spot
days
volatility
expected_return

E
55.00
45.00
50.00
100.00
30%
7.00%

Optional arguments:
dividend_yield
observations_per_day

0.00%
0.00

Results
Probability of being either above or below target at any time
Prob of remaining within target range at all times
Probability of being both above upper and below lower targets
Probability of being between target prices at some time

Prob_type
E
N
B
W

Value
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Probability of being above upper target at any time

Probability of being below lower target at any time

A
B

#MACRO?
#MACRO?

Probability of being above upper target at end of period

Probability of being below lower target at end of period

A
B

#MACRO?
#MACRO?

HoadleyProbDist
Returns an array containing the probability distribution for a range of
asset prices. The skewness and kurtosis of the distribution can be
specified to handle non-lognormally distributed prices.
This function is only available in the full version of the add-in.
Index

Help
Example
Inputs
spot
days
volatility
expected_return

70.00
180
35%
5.0%

Optional arguments:
dividend_yield
skewness
Excess kurtosis

0%
-0.50
1.50

Results

Price gap:

1.00

Prices
30.00
31.00
32.00
33.00
34.00
35.00
36.00
37.00
38.00
39.00
40.00
41.00
42.00
43.00
44.00
45.00
46.00
47.00
48.00
49.00
50.00
51.00
52.00
53.00
54.00
55.00
56.00
57.00
58.00
59.00

Probability Distribution
nonlognormal lognormal
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

Note: This function returns an array of prices

as an Excel array formula.

This is done by highlighting the range which

wizard to enter all arguments, and then hittin

Price Probability

30.00
31.00
32.00
33.00
34.00
35.00
36.00
37.00
38.00
39.00
40.00
41.00
42.00
43.00
44.00
45.00
46.00
47.00
48.00
49.00
50.00
51.00
52.00
53.00
54.00
55.00
56.00
57.00
58.00
59.00
60.00
61.00
62.00
63.00
64.00
65.00
66.00
67.00
68.00
69.00
70.00
71.00
72.00
73.00
74.00
75.00
76.00
77.00
78.00
79.0
80.0
81
82
8
Ass et P

http://www.hoadley.net/o

60.00
61.00
62.00
63.00
64.00
65.00
66.00
67.00
68.00
69.00
70.00
71.00
72.00
73.00
74.00
75.00
76.00
77.00
78.00
79.00
80.00
81.00
82.00
83.00
84.00
85.00
86.00
87.00
88.00
89.00
90.00
91.00
92.00
93.00
94.00
95.00
96.00
97.00
98.00
99.00
100.00
101.00
102.00
103.00
104.00
105.00
106.00
107.00
108.00
109.00
110.00
111.00
112.00
113.00

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

114.00
115.00
116.00
117.00
118.00
119.00
120.00
121.00
122.00
123.00
124.00
125.00
126.00
127.00
128.00
129.00
130.00

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

returns an array of prices and as such the function must be entered

ormula.

hlighting the range which is to receive the results, using the function
arguments, and then hitting ctrl-shift-enter to enter the formula.

Price Probability Distribution

Log-normal
Non log-normal

8.00
00
050.00
9.00
00
51.00
52.00
53.00
54.00
55.00
56.00
57.00
58.00
59.00
60.00
61.00
62.00
63.00
64.00
65.00
66.00
67.00
68.00
69.00
70.00
71.00
72.00
73.00
74.00
75.00
76.00
77.00
78.00
79.00
80.00
81.00
82.00
83.00
84.00
85.00
86.00
87.00
88.00
89.00
90.00
91.00
92.00
93.00
94.00
95.00
96.00
97.00
98.00
99.00
100.00
101.00
102.00
103.00
104.00
105.00
106.00
107.00
108.00
109.00
110.00
111.00
112.00
113.00
114.00
115.00
116.00
117.00
118.00
119.00
120.00
121.00
122.00
123.00
124.00
125.00
126.00
127.00
128.00
129.00
130.00
Ass et Price

http://www.hoadley.net/options

Monte Carlo Simulation Class

Will produce a range of underlying asset probabilities in situations where no analytic solution is possible.
Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected
return and duration.
This object is only available in the full version of the add-in.

Help

Index

Examples:
1. Calculating probabilities
Inputs:
Upper target
Lower target
Spot
Days
Volatility
Expected return
Dividend type
Dividend amount
Days to ex dividend
Number of dividends
Prices per day
Iterations

60.00
45.00
50.00
100
30%
10%
D
2.00
60
1
1
2,000

Results:
Probabilities:
Above upper target at expiration
Above upper target at any time
Below lower target at expiration
Below lower target at any time
Touching either target
Touching neither target
Touching both targets
Being between targets at any time
Average end price:

2. Deriving a call price from simulation

This illustrates how simulation can be used to derive the price of an option (in this case a call).
The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very clo
To the Black-Scholes price.
Inputs:
Results:
Spot price
100.00
Strike
98.00
Call price from simulation:
Volatility
30%
Days
50
Call price from Black-Scholes:
Risk free interest rate
5%
Number of iterations
30,000

Probability

3. Production of normal distribution curve

A simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations i
The simulated distribution converges on the analytic distribution. This example is proof that the prices produced by the s
Lognormally distributed.
Inputs:
Results:
Current price
90
Gap between prices:
Volatility
30%
Days
365
Price
Expected return
7%
24
Iterations
50,000
26
(Change iterations to, say, 5,000 and
28
see the effect)
30
32
34
Simulated & Analytic Lognormal Probability Distributions
36

Probability

Simulated & Analytic Lognormal Probability Distributions

2223333344444555556666677777888889999911111111111111111111111111111111111111111111111111222222222222
4680246802468024680246802468024680246800000111112222233333444445555566666777778888899999000001111122
02468024680246802468024680246802468024680246802468024680246802

Stock Price

38
40
42
44
46
48
50
52
54
56
58
60
62
64
66
68
70
72
74
76
78
80
82
84
86
88
90
92
94
96
98
100
102
104
106
108
110
112
114
116
118
120
122
124
126
128
130
132
134
136
138
140
142
144

146
148
150
152
154
156
158
160
162
164
166
168
170
172
174
176
178
180
182
184
186
188
190
192
194
196
198
200
202
204
206
208
210
212
214
216
218
220
222

n is possible.
volatility, expected

get at expiration
get at any time
get at expiration
get at any time

argets at any time

10.1%
19.6%
30.8%
51.5%
70.5%
29.6%
0.6%
100.0%
49.36

) will produce a price very close

5.82
###

As the number of iterations increases,

the prices produced by the simulation object are

Gap between prices:

2
Simulation
Frequency
Prob
0
0.000
0
0.000
0
0.000
3
0.000
3
0.000
8
0.000
16
0.000

Analytic
Prob below
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Prob
0.000
###
###
###
###
###
###

33
57
102
125
200
214
303
384
458
530
666
704
863
1035
1024
1074
1218
1292
1284
1434
1461
1502
1475
1527
1468
1554
1476
1451
1416
1345
1317
1334
1274
1198
1128
1071
1046
973
954
851
858
776
702
678
639
613
583
491
473
428
381
398
352
345

0.001
0.001
0.002
0.003
0.004
0.004
0.006
0.008
0.009
0.011
0.013
0.014
0.017
0.021
0.020
0.021
0.024
0.026
0.026
0.029
0.029
0.030
0.030
0.031
0.029
0.031
0.030
0.029
0.028
0.027
0.026
0.027
0.025
0.024
0.023
0.021
0.021
0.019
0.019
0.017
0.017
0.016
0.014
0.014
0.013
0.012
0.012
0.010
0.009
0.009
0.008
0.008
0.007
0.007

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###

263
281
223
231
211
202
191
167
146
153
128
121
107
89
88
80
84
60
68
51
40
48
42
33
33
25
36
14
25
8
13
18
20
14
9
13
4
5
7
49,919

0.005
0.006
0.004
0.005
0.004
0.004
0.004
0.003
0.003
0.003
0.003
0.002
0.002
0.002
0.002
0.002
0.002
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.000
0.001
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
1.00

#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###

HoadleyHedge
Returns an array containing the number of options and/or number of units in the
underlying to achieve specific hedge ratio targets with respect to one or more
of a portfolio's position delta, position gamma and position vega. An example
would be making a portfolio both delta and vega neutral.
This function is only available in the full version of the add-in.

Help

Index

Portfolio example
Portfolio: general valuation details
Spot
27.80
Valuation date
20-Apr-04
Volatility
30.0%
Risk free rate
4.00%

Note:
1. The function must be entered as an Excel array formula.
for details.
2. Set the "use_underlying" argument to TRUE or FALSE to
on hedging of using or not using trades in the underlying.

Portfolio: holdings and current position greeks

Options portfolio:
Put or Call
C
C
P
P
C
Underlying position:
Net portfolio position:

Options to be used for adjusting hedge ratios

Put or Call
Option 1 (currently in portfolio)
C
Option 2 (currently in portfolio)
P
Option 3 (not currently in portfolio)
C

Strike
25.00
26.00
27.00
30.00
30.00

Expiry
30-Sep-04
31-Aug-04
30-Nov-04
30-Jun-04
30-Nov-04

QTY
3000
2000
-1000
3000
-2000
780
Current Postion greeks:
Target portfolio hedge ratios (greeks):
Required adjustment to portfolio greeks:

Strike
25.00
27.00
28.00

Expiry
30-Sep-04
30-Nov-04
31-Dec-04

Hedging results

Delta
Delta, gamma
Vega
Delta, vega
Delta,gamma,vega
http://www.hoadley.net/options

Hedge
Type
D
DG
V
DV
DGV

Change in number of units

Underlying
Option 1
Option 2
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?

Option 3
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

1
0

tered as an Excel array formula. See help

" argument to TRUE or FALSE to see the impact

using trades in the underlying.

Delta
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
1.000
#MACRO?
0
#MACRO?

Gamma
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Vega
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

#MACRO? #MACRO?
0
0
#MACRO? #MACRO?

Delta
Gamma
Vega
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?

Change in position greeks

Delta
Gamma
Vega
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO?

Use_underlying
1

New
Delta
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

position greeks
Gamma
Vega
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

HoadleyPLExpiry
Returns the profit or loss of an option trade at option
expiry.
Index

Help
Example:
Inputs

Option
trade 1
C
4,000
9.50
1.153

Option_type
No_options
Strike
Initial_option_price
Results
Stock price at expiry
P/L for option trade 1
P/L for option trade 2
Total deal profit/loss

Option
trade 2
C
-4,000
11.00
0.421

7.50
8.00
8.50
9.00
9.50
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Profit/Loss

Total Profit/Loss
12
10
8
6
4
2
0
7.50

8.00

8.50

http://www.hoadley.net/options

9.00

9.50

10.00

10.50

Stock Price at Expiry

11.00

11.50

12.00

12.50

C
P

10.00
10.50
11.00
11.50
12.00
12.50
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

12.00

12.50

HoadleyPLIfClose
Returns the profit or loss of an option trade if closed at
any time prior to expiry.
Index

Example:
Inputs
Pricing_model
Option_type
No_options
Strike
Expiry_date
Volatility
Risk_free_rate
Initial_option_price

2
P
-1,000
50
31-Dec-03
30%
5%
6.2

Optional arguments:
Dividend_type

Profit/Loss if closed prior to

Profit/Loss

Help

12
10
8
6
4

D
2

Dividend_details

Amt
1.00

Binomial_steps

50

Results
Stock price
Profit/Loss at expiry

Profit/Loss at analysis date 1

Profit/Loss at analysis date 2
Profit/Loss at analysis date 3
http://www.hoadley.net/options

Ex-div
10-Apr-03

0
35.00

40.00

45.00

50.00Stock
55.00
Price 60.00

35.00
40.00
45.00
50.00
55.00
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Analysis
dates
31-Mar-03
31-Jul-03
31-Oct-03

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

65

1
2
3
C
P
N
C
D

t/Loss if closed prior to expiry

Expiry
31-Oct-03
31-Jul-03
31-Mar-03

00Stock
55.00
Price 60.00

65.00

70.00

75.00

60.00
65.00
70.00
75.00
#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?
#MACRO? #MACRO? #MACRO? #MACRO?

HoadleyPLUnderlying
Returns the profit or loss of a position in the underlying
asset as at a specified date. The function takes into
account dividends received or paid.
Index

Example:
Inputs
No_units
Initial_price
Initial_transaction_date
Analysis_date

1,000
20.00
1-Jan-03
30-Jun-03

Optional arguments:
Dividend_type
Dividend_details
Dividend 1
Dividend 2

Covered Call Profit/Loss

Profit/Loss

Help

12
10
8

D
Amt
1.00
0.60

Ex-div
1-Mar-03
1-Jun-03

6
4
2
0
16.00

17.00

18.00

19.00

Stock20.00
Price at21.00
Expiry

Results: Payoff diagram for covered call

Stock price
16.00
17.00
18.00
19.00
20.00
Stock P/L
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Call option details:
strike:
20.00
Initial option price
0.512
Option P/L at expiry
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Total covered call P/L
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

http://www.hoadley.net/options

N
C
D

overed Call Profit/Loss

00

Stock20.00
Price at21.00
Expiry

22.00

23.00

24.00

25.00

21.00
22.00
23.00
24.00
25.00
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

HoadleyFuturesPrice
Returns the forward or futures price of an investment asset.

Help

Index

Example
Inputs
Calc_type
Value_date
Maturity_date
Spot
Risk_free_rate

P
07-Apr-03
30-Nov-03
102.00
3.25%

Optional arguments:
Income_type

Income_details:
Income payment 1 (eg coupon)
Income payment 2

Amt
Date
2.50 04-May-03
2.50 04-Nov-03

Futures_price
Results -1
Futures price
Implied risk free rate

Calc Type
P

Results
#MACRO?

IR

#MACRO?

Option
Results - 2
details
Results
Strike:
100
Price volatility
12%
Call/Put
C
Spot option (uses spot price):
#MACRO?
Futures option (uses futures price):
#MACRO?
This example shows that a European futures option is worth
exactly the same as a spot option if the option matures at the
same time as the futures contract. This example proves the
consistency of the futures and options functions.

C
P
N
C
D

HoadleyFuturesConVal
Returns the profit or loss of a position in the underlying
asset as at a specified date.

Help

Index

Example
Inputs
Value_date
Maturity_date
Spot
Delivery_price
Risk_free_rate
Income_type
Income_details

10-May-03
03-Dec-03
102.00
98.74
2.50%
C
2.50%

Results
Contract value

Value
#MACRO?

N
C
D

VaRtools - HoadleyVaRLinear
Returns the Value at risk for a portfolio of instruments linearly dependent on
market variables.
This function is only available in the full version of the add-in.

Help

Index

Example
Inputs
Volatilities
Corr_matrix

S&P 500
NASDAQ
DAX 100
US$/Euro

Positions (US$)

S&P 500 NASDAQ

18.5%
37.0%

DAX 100 US$/Euro

24.0%
9.7%

S&P 500 NASDAQ

1.00
0.92
1.00

DAX 100 US$/Euro

0.36
-0.17
0.41
-0.15
1.00
-0.23
1.00

S&P 500 NASDAQ DAX 100 US$/Euro

780,000 -250,000
450,000
300,000

VaR_days
Conf_interval
Trading_days_pa
Results
Value at risk (US$):
Correlation matrix positive semi-definite:
Overall portfolio volatility:
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

5
1%
252
Value
###
###
###

VaRtools - VaR simulation class

Returns the Value at risk for a portfolio of instruments which may not all be linearly
dependent on market variables. Can also be used to generate a set of correlated asset prices.
The simulation class must be used from a VBA module (macro); it is not a function.
The VaR simulation component is only available in the full version of the add-in.

Help

Index

Example
Inputs - general
Market variable IDs
Current prices (not required for linear assets)
Exchange rates

MSFT
27.60
1

Annual volatilities
Correlation matrix

MSFT
GenElec
10_Yr_Bond

32%
1

GenElec 10_Yr_Bond
30.21
4.8%
1
1
19%
0.8
1

VaR period in days

Confidence interval
Trading days per year
Simulation iterations
Filter by position type (0 = include all)
(set to 1 to compare simulated VaR with analytic)

23%
-0.2
-0.10
1
5
1%
252
10,000
0

Inputs - Positions

Long holding in stock

Short holding in stock

Position
type
1
1

Market
Position
Variable ID
value
MSFT
5,520,210
GenElec
-1,078,500

Option position (note: position value

not required for option position)

MSFT

Ten year bond (using duration method)

10_Yr_Bond 2,200,000

Download VaRtools additional samples spreadsheet

http://www.hoadley.net/options

Position
delta, or
duration

Position
gamma

55,300

12,080

9.3

0
1
2
3

Results
VaR from simulation

643,213

Analytic VaR for linear positions

Error status:
OK
Note: When the simulation is filtered to only include
linear positions ('filter by position' = 1), the
simulated VaR will be very close to the analytic VaR.

###

VaRtools - HoadleyCashFlowMap
Returns an array mapping future cash flows (eg from bonds) at any time periods to any
number of user-specified time vertices. The function uses quadratic interpolation to
preserve the value and market risk of the original cash flows. The cash flow map can
then be used in the VaRLinear function or in the VaR simulation component.
This function is only available in the full version of the add-in.

Help

Index

Example
Inputs
Standard time vertices in years (maturity dates)
Zero rates with continuous compounding
Bond price volatilities (% pa)
Correlation matrix

0.25
0.50
1.00

0.25
4.50%
0.96%

0.50
5.00%
1.60%

1.00
6.00%
3.20%

0.25
1.0

0.50
0.9
1.0

1.00
0.6
0.7
1.0

Maturity
0.30
0.80
1.20

Amount
120,000
968,000
875,000

Cash flows:

Note: The function must be entered as an Excel array formula (crtl-shift-enter)

Results -1
Time vertices (years)
Mapped cash flows (PV of equivalent bond positions):

0.25
###

0.50
###

Correlation matrix positive semi-definite:

Five day VaR at 1% confidence interval:
Results - 2: Same result but showing detailed map
Time vertices (years)
Cash flow 1: Year received: 0.3; Amount: 120,000
Cash flow 2: Year received: 0.8; Amount: 968,000
Cash flow 3: Year received: 1.2; Amount: 875,000
Total
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

1.00
###
###
###

0.25
###
###
###
###

0.50
###
###
###
###

1.00
###
###
###
###

1
2
3

VaRtools - HoadleyCorrel
Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.
Note that the matrix returned by the function contains the correlation of returns, not prices.
This function is only available in the full version of the add-in.
Index

Index

Help

Example
Results
S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing prices
Date
S&P 500 FTSE 100 NIKKEI 225
9-Sep-00
1494.50
6600.74
16501.55
12-Sep-00
1489.26
6581.96
16130.90
13-Sep-00
1481.99
6555.52
16040.23
14-Sep-00
1484.91
6478.19
16190.52
15-Sep-00
1480.87
6555.50
16213.28
16-Sep-00
1465.81
6417.30
16213.28
19-Sep-00
1444.51
6410.15
16061.16
20-Sep-00
1459.90
6403.50
16124.19
21-Sep-00
1451.34
6279.87
16458.31
22-Sep-00
1449.05
6199.16
16311.05
23-Sep-00
1448.72
6205.92
15818.25
26-Sep-00
1439.03
6257.13
15992.90
27-Sep-00
1427.21
6213.21
15928.62
28-Sep-00
1426.57
6269.34
15639.95
29-Sep-00
1458.29
6264.06
15626.96
30-Sep-00
1436.51
6294.24
15747.26
3-Oct-00
1436.23
6284.46
15902.51
4-Oct-00
1426.46
6345.04
15912.09
5-Oct-00
1434.32
6334.94
16149.08
6-Oct-00
1436.28
6381.98
16099.26
7-Oct-00
1408.99
6391.23
15994.24
10-Oct-00
1402.03
6264.84
15994.24
11-Oct-00
1387.02
6247.68
15827.72
12-Oct-00
1364.59
6117.63
15513.57
13-Oct-00
1329.78
6131.94
15550.64
14-Oct-00
1374.17
6209.58
15330.31
17-Oct-00
1374.62
6285.73
15512.32
18-Oct-00
1349.97
6203.25
15340.22
19-Oct-00
1342.13
6148.24
14872.48
20-Oct-00
1388.76
6218.91
14811.08
21-Oct-00
1396.93
6276.27
15198.73

CAC 40
6703.36
6675.01
6697.80
6568.89
6637.91
6614.65
6522.38
6529.95
6405.43
6254.77
6258.58
6336.28
6294.06
6319.79
6311.03
6266.63
6349.24
6400.43
6296.13
6335.12
6258.41
6110.06
6143.30
5956.12
5990.70
6064.21
6088.04
6067.15
5937.35
6066.48
6149.44

DAX100
934.78
932.19
922.98
907.58
913.68
910.61
894.96
895.87
878.38
864.69
869.69
879.55
874.75
880.92
883.78
878.32
890.32
890.32
884.63
892.67
877.15
872.56
870.75
855.40
845.08
859.07
857.61
852.25
843.10
862.33
863.69

US$/UK
1.4190
1.4113
1.4032
1.4125
1.4061
1.3987
1.4014
1.4081
1.4107
1.4367
1.4579
1.4535
1.4592
1.4611
1.4638
1.4764
1.4675
1.4567
1.4561
1.4501
1.4458
1.4465
1.4509
1.4606
1.4743
1.4501
1.4461
1.4511
1.4429
1.4463
1.4509

24-Oct-00
25-Oct-00
26-Oct-00
27-Oct-00
28-Oct-00
31-Oct-00
1-Nov-00
2-Nov-00
3-Nov-00
4-Nov-00
7-Nov-00
8-Nov-00
9-Nov-00
10-Nov-00
11-Nov-00
14-Nov-00
15-Nov-00
16-Nov-00
17-Nov-00
18-Nov-00
21-Nov-00
22-Nov-00
23-Nov-00
24-Nov-00
25-Nov-00
28-Nov-00
29-Nov-00
30-Nov-00
1-Dec-00
2-Dec-00
5-Dec-00
6-Dec-00
7-Dec-00
8-Dec-00
9-Dec-00
12-Dec-00
13-Dec-00
14-Dec-00
15-Dec-00
16-Dec-00
19-Dec-00
20-Dec-00
21-Dec-00
22-Dec-00
23-Dec-00
26-Dec-00
27-Dec-00
28-Dec-00
29-Dec-00
30-Dec-00
2-Jan-01

1395.78
1398.13
1364.90
1364.44
1379.58
1398.66
1429.40
1421.22
1428.32
1426.69
1432.19
1431.87
1409.28
1400.14
1365.98
1351.26
1382.95
1389.81
1372.32
1367.72
1342.62
1347.35
1322.36
1322.36
1341.77
1348.97
1336.09
1341.91
1314.95
1315.23
1324.97
1376.54
1351.46
1343.55
1369.89
1380.20
1371.18
1359.99
1340.93
1312.15
1322.74
1305.60
1264.74
1274.86
1305.97
1305.97
1315.19
1328.92
1334.22
1320.28
1320.28

6315.90
6438.38
6367.83
6302.32
6366.55
6388.40
6438.42
6457.61
6392.01
6385.44
6430.99
6466.91
6477.37
6442.19
6400.22
6274.80
6412.90
6432.30
6430.40
6440.10
6344.98
6382.15
6221.36
6287.26
6327.55
6374.69
6249.80
6164.88
6142.20
6170.42
6158.67
6298.98
6273.32
6231.37
6288.33
6370.35
6390.41
6402.96
6263.81
6175.81
6246.48
6294.98
6176.71
6115.48
6097.53
6097.53
6097.53
6218.17
6223.22
6222.46
6222.46

15097.96
15148.19
14840.47
14858.43
14582.20
14464.56
14539.60
14872.39
14837.78
14837.78
15371.44
15340.33
15399.64
15060.05
14988.54
14664.64
14660.04
14799.14
14587.03
14544.30
14531.65
14408.46
14301.31
14301.31
14315.35
14720.39
14658.87
14507.64
14648.51
14835.33
14954.73
14695.05
14889.37
14720.36
14696.51
15015.70
15114.64
15168.68
14927.19
14552.29
14483.90
14132.37
13914.43
13423.21
13427.08
13931.61
14007.85
13981.49
13946.96
13785.69
13785.69

6182.34
6323.74
6277.90
6208.42
6268.93
6296.84
6397.66
6409.05
6400.31
6398.92
6352.24
6386.07
6336.03
6271.15
6147.49
6037.73
6225.98
6301.78
6283.06
6161.92
6021.79
6081.02
5944.70
6053.04
6145.65
6171.33
6069.22
6060.65
5928.08
5928.50
5791.51
5994.89
5985.24
5984.69
5939.32
6077.88
6047.66
5962.29
5905.65
5839.54
5887.49
5958.86
5766.30
5758.92
5783.73
5783.73
5783.73
5857.15
5920.60
5926.42
5926.42

864.96
884.58
880.52
883.86
899.11
903.65
921.39
918.70
921.34
925.15
928.29
921.48
916.65
912.28
899.63
880.44
906.82
907.62
894.88
885.02
870.04
872.17
855.38
866.23
876.65
879.49
871.12
873.23
849.89
859.23
846.16
868.39
873.11
867.90
874.94
888.85
884.02
870.58
855.08
843.69
843.96
857.91
831.38
824.13
828.88
828.88
828.88
835.87
839.78
851.29
851.29

1.4515
1.4501
1.4499
1.4352
1.4547
1.4512
1.4497
1.4520
1.4459
1.4489
1.4271
1.4343
1.4250
1.4329
1.4267
1.4381
1.4313
1.4273
1.4235
1.4233
1.4234
1.4183
1.4068
1.4068
1.3998
1.4175
1.4163
1.4229
1.4265
1.4416
1.4510
1.4338
1.4434
1.4447
1.4453
1.4563
1.4484
1.4569
1.4564
1.4564
1.4756
1.4653
1.4786
1.4735
1.4818
1.4818
1.4818
1.4818
1.4818
1.4960
1.4960

f historic asset prices.

US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

US$/Yen US$/EURO
0.0094
0.8664
0.0094
0.8618
0.0094
0.8607
0.0093
0.8646
0.0093
0.8614
0.0093
0.8631
0.0094
0.8544
0.0093
0.8536
0.0094
0.8475
0.0094
0.8529
0.0093
0.8817
0.0093
0.8733
0.0093
0.8801
0.0093
0.8813
0.0093
0.8829
0.0093
0.8825
0.0092
0.8817
0.0092
0.8764
0.0091
0.8728
0.0092
0.8695
0.0092
0.8697
0.0092
0.8690
0.0093
0.8682
0.0093
0.8739
0.0093
0.8625
0.0093
0.8595
0.0092
0.8486
0.0092
0.8499
0.0093
0.8476
0.0092
0.8396
0.0092
0.8376

0.0092
0.0093
0.0092
0.0092
0.0092
0.0092
0.0092
0.0092
0.0092
0.0093
0.0093
0.0093
0.0093
0.0093
0.0093
0.0093
0.0092
0.0092
0.0092
0.0092
0.0091
0.0091
0.0091
0.0091
0.0090
0.0090
0.0091
0.0090
0.0091
0.0090
0.0090
0.0090
0.0091
0.0090
0.0090
0.0090
0.0090
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0089
0.0087
0.0087

0.8360
0.8372
0.8287
0.8290
0.8427
0.8450
0.8476
0.8576
0.8601
0.8636
0.8612
0.8607
0.8563
0.8589
0.8635
0.8601
0.8581
0.8594
0.8543
0.8527
0.8489
0.8456
0.8433
0.8421
0.8398
0.8489
0.8550
0.8601
0.8705
0.8730
0.8894
0.8850
0.8846
0.8898
0.8881
0.8779
0.8772
0.8756
0.8874
0.8975
0.8958
0.8911
0.9068
0.9141
0.9235
0.9235
0.9289
0.9306
0.9257
0.9389
0.9389

VaRtools - HoadleyCorrelEWMA
Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.
Note that the matrix returned by the function contains the correlation of returns, not prices.
This function is only available in the full version of the add-in.
Index

Help
Example
Results
S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing prices
This is examples uses the closing prices on the Correl sheet.
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/Yen
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

EWMA model.

US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

VaRtools - HoadleyCovar
Returns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.
Note that the matrix returned by the function contains the covariance of returns, not prices.
This function is only available in the full version of the add-in.
Index

Help
Example
Results
S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing prices
This is examples uses the closing prices on the Correl sheet.
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/Yen
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

VaRtools - HoadleyCovarEWMA
Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.
Note that the matrix returned by the function contains the covariance of returns, not prices.
This function is only available in the full version of the add-in.
Index

Help
Example
Results
S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing prices
This is examples uses the closing prices on the Correl sheet.
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/Yen
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

e EWMA model.

US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

VaRtools - HoadleyCorrToCovar
Converts asset volatilities and correlations to a covariance matrix of a specified number of days.
The default matrix is for a period of one day.
This function is only available in the full version of the add-in.
Index

Help
Example
Inputs

S&P 500
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?

CAC 40
#MACRO?

DAX100
#MACRO?

US$/UK
#MACRO?

S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Covariance
(daily)

S&P 500
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Notes:

1. The above matrix should be the same as the covariance matrix on the covar sheet
2. The function must be entered as an Excel array formula (crtl-shift-enter)

Volatilities

Correlation

Results

Download VaRtools additional samples spreadsheet

http://www.hoadley.net/options

US$/Yen US$/EURO
#MACRO? #MACRO?
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

VaRtools - HoadleyCovarToCorr
Converts a covariance matrix to a correlation matrix.
This function is only available in the full version of the add-in.
Index

Help
Example
Inputs
Covariance S&P 500
matrix
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

S&P 500
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

FTSE 100 NIKKEI 225

#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

CAC 40
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

DAX100
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

US$/UK
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?

Results
Correlation S&P 500
matrix
FTSE 100
NIKKEI 225
CAC 40
DAX100
US$/UK
US$/Yen
US$/EURO
Notes:

1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet
2. The function must be entered as an Excel array formula (crtl-shift-enter)

Download VaRtools additional samples spreadsheet

http://www.hoadley.net/options

US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?

VaRtools - HoadleyCheckPD
Checks that a matrix (correlation, covariance) is positive definite.
The VaR simulation component requires positive definite matrices in order to
generate correlated scenarios using the Cholesky decomposition.
This function is only available in the full version of the add-in.

Help

Index

Example
Inputs and Results
Positive
definite

Matrix

Positive semidefinite

Positive definite (and therefore also

positive semi-definite

1.0
0.5

0.5
4.0

#MACRO?

#MACRO?

Not positive definite but

positive semi definite

1.0
2.0

2.0
4.0

#MACRO?

#MACRO?

-1.0
2.0

2.0
2.0

#MACRO?

#MACRO?

Neither positive definite nor

positive semi-definite

Download VaRtools additional samples spreadsheet

http://www.hoadley.net/options

VaRtools - HoadleyCheckPSD
Checks that a matrix (correlation, covariance) is positive semi-definite
The HoadleyVaRLinear functions requires positive semi-definite matrices.
This function is only available in the full version of the add-in.

Help

Index

Example
See the examples on the CheckPD sheet
Download VaRtools additional samples spreadsheet
http://www.hoadley.net/options

VaRtools - HoadleyPortfolioVol
Returns the volatility of a portfolio consisting of any number of linear
instruments.
This function is only available in the full version of the add-in.

Index

Example
Inputs
Volatilities
Expected annual returns

Correlation matrix

Matix positive semi-definite?

Results: Portfolio scenarios
% US % EAFE
equities equities
0%
100%
5.00%
95%
10.00%
90%
15.00%
85%
20.00%
80%
25.00%
75%
30.00%
70%
35.00%
65%
40.00%
60%
45.00%
55%
50.00%
50%
55.00%
45%
60.00%
40%
65.00%
35%
70.00%
30%
75.00%
25%
80.00%
20%
85.00%
15%
90.00%
10%
95.00%
5%
100.00%
0%

US
EAFE

US
equities
15.0%
10%

EAFE
equities
17.5%
13%

US
1.00

EAFE
0.35
1.00

###

Portfolio
return
13.0%
12.9%
12.7%
12.6%
12.4%
12.3%
12.1%
12.0%
11.8%
11.7%
11.5%
11.4%
11.2%
11.1%
10.9%
10.8%
10.6%
10.5%
10.3%
10.2%
10.0%

Portfolio
volatility
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###

Efficien

13.5%
13.0%
12.5%

Portfolio Return

Index
Help

12.0%
11.5%
11.0%
10.5%
10.0%
9.5%
13.0%

513.0%

1013.0%

Portfol

Efficient Frontier

5%

100% EAFE

0%

5%

0%

5%

0%

5%

0%

5%
13.0%

100% US
513.0%

1013.0%

1513.0%

2013.0%

Portfolio Volatility
Download VaRtools additional samples spreadsheet
Download MPT/CAPM portfolio optimizer

2513.0%

HoadleyGetQuotes
A subroutine which can be called from a VBA module to return stock quotes from
Yahoo.

Help

Index

Example

Click on heading fields below to select/change columns

Symbol

Name

Date

IBM
MSFT
Dell
GE
F
C
BA
BAC
MER
XOM

INTL BUS MACHINE

MICROSOFT CP
DELL COMPUTER
GENERAL ELEC CO
FORD MOTOR CO
CITIGROUP
BOEING CO
BANK OF AMERICA
MERRILL LYNCH
EXXON MOBIL

ANZ.AX
NCP.AX

ANZ BANKING GRP

NEWS CORP
#VALUE! (yahoo format string)

http://www.hoadley.net/options

Last Trade

Change

27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02
27-Dec-02

77.36
52.97
27.02
24.70
9.58
35.17
32.33
69.17
38.30
34.64

-1.14
-0.42
-0.36
-0.41
-0.21
-0.85
-0.30
-0.67
-1.24
-0.68

27-Dec-02
27-Dec-02

17.70
11.81

0.03
-0.16

Unhide YahooFormatString sheet to view format character table

w to select/change columns
Last Trade
(Real-time)

Day's High

Day's Low

79.18
54.00
27.45
25.30
9.80
36.06
33.09
70.20
39.48
35.52

76.61
52.9
26.83
24.54
9.53
34.85
32.14
68.9
38.08
34.6

Click on column
77.25 headings to change
52.86 selection.
27.03
24.75
9.64
35.17
32.33
69.12
38.27
34.58

17.74
11.93

17.53
11.76

17.7
11.81

o view format character table

HoadleyRateCon
Converts a rate or yield from one compounding
frequency to another.
eg quarterly to continuously compounded.

Help

Index

Example
Inputs
Rate to be converted
source_frequ
target_frequ

10.000%
4
0

Results
Converted rate:

#MACRO?

Converted back to original rate:

#MACRO?

http://www.hoadley.net/options