Pricing Derivatives in VBA

[vickymaj]

I am looking to model and price Exotic Derivatives Such as Range Accruals, CDOs etc via VBA. Can anybody suggest some good books for this?

Thanks a lot in advance!!!

 

[Daniel Duffy]

Nick Webber's book has VBA code but not sure for these specific derivatives.

But maybe you can develop VBA code for these yourself? If you know the algorithm then it should be easy, no?

And you will learn more (become a better programmer) than just using someone else's code?

 

[vickymaj]

Hi Daniel. Thanks for your reply. I do wanna develop my own codes only but I wanna start somewhere, understand how I should progress and then take off from there.

Can you please specify the name of the book that you mentioned in your post and also if you or anybody else can think of some other books which can help me code in VBA?

 

[Daniel Duffy]

hello vickymaj,

IMHO Nick's book is very good as he does VBA step-by-step and lots of examples.

hth
D

 

[vickymaj]

hello vickymaj,

IMHO Nick's book is very good as he does VBA step-by-step and lots of examples.

hth
D

Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Is this the one you are talking about?

 

[Daniel Duffy]

yep, forgot the link

http://www.amazon.com/Nick-Webber/e/B0034OSY5M