A selection of VBA codes and macro-enabled Excel workbooks submitted as part of the Numerical Methods in Finance course offered by the Columbia Mathematics of Finance MA program.
The VBA code and macro-enabled Excel workbook in this folder encapsulates the following functionality for European Options:
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User inputs spot, domestic interest rate, foreign interest rate, volatility, strike, today’s date, and expiration date
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The spreadsheet outputs: Value, Delta, Gamma, Vega, Theta, Phi (rate of change of value with respect to change of foreign interest rate), Rho (rate of change of value with respect to change of domestic interest rate) of the call option
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The user can select two Greeks from the list of the Greeks above (Greek1 and Greek2), the starting spot, the end spot and the number of spots between the start and end value. Then, at the press of a button, the spreadsheet gives: (a) The spot-Greek1 graph (b) The spot-Greek2 graph (c) The Greek1-Greek2 graph
The VBA code and macro-enabled Excel workbook in this folder implements implied volatility functionality for European call options and bull spreads using the following root solving methods on the Black Scholes formula:
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Newton Raphson
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Regula Falsi
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Secant
With the following inputs:
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Non-Product-Specific Inputs: (a) Target Market Value (b) Initial Guess(es) for each Root Solving Method
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European Call Option Specific Inputs: (a) Spot Price (b) Strike Price (c) Domestic Zero Rate (d) Foreign Interest Rate (e) Expiration (In Days)
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Bull Spreads Specific Inputs: (a) Spot Price (b) Long Call Strike Price (c) Short Call Strike Price (d) Domestic Zero Rate (e) Foreign Interest Rate (f) Expiration (In Days)
