This class calculates integral of a 1D function which takes a single value and returns result. Signature is similar to quad fucntion of Matlab

To use this function, follow these steps:


Note : It is not necessary to keep the integrand function name 'TmpIntegrand'. You can use any existing function which takes a double and returns a double.
An example usage file can be found in :
http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=170&curent_dir=1

Generates an implied volatity surface using Online query to Yahoo Finance or QuotesData.dat file downloaded from CBOE.com

Enter a stock symbol in the Main Menu Page if an online connection is available. For an offline work, leave the symbol blank and place Quotedata.dat downloaded from CBOE

It has been tested on F quote available here
Implied volatility surface is processed using the following steps:
1. Form quotes summary information of call and put price bid and ask in "AvgSummary" worksheet
2. Implied vol bid ask limits are placed in ImpliedVols sheet
3. Implied vols are filtered using objective function of minimizing the vol gradients on the strike/maturity axes. Constraint is the bid-ask limits
4. Implied vols are then extrapolated on the non-quoted coordinates, using objective of minimizing gradient and vol > 0 for constraint
5. A Bicubic spline is used to smoothen the surface


Note :
1.Yahoo finance does not display quotes in the night after 12 and online function will not work during the time.
2.Excel file will not work properly if launched from browser. It has to be saved to hard disk before running

Implied Binomial Trees in Excel without VBA

TOM ARNOLD
University of Richmond - E. Claiborne Robins School of Business
TIMOTHY FALCON CRACK
University of Otago - Department of Finance and Quantitative Analysis
ADAM SCHWARTZ
Washington and Lee University - Department of Business Administration
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May 14, 2004



Abstract:
We show how to implement a Rubinstein (1994) implied binomial tree using an Excel spreadsheet, but without having to use visual basic in Excel (VBA). We demonstrate both the optimization needed to generate implied ending risk-neutral probabilities from a set of actual option prices and the backwards recursion needed to solve for the entire implied tree. By using only standard Excel functions, and not resorting to VBA, we make this option pricing technique immediately accessible to both practitioners and academics. With minimal preparation, this technique can also be introduced to the undergraduate classroom.


Keywords: Option Pricing, Implied Binomial Tree, Excel

The spreadhseet calculates price for European/ American Put Options using implicit finite difference method as described in Hull's book "Options, Futures and other Derivatives" in section 18.8

Accompained code for paper Implementation of Hull-White's No-Arbitrage Term Structure Model

Search for "accompaning Excel sheet .zip 1.1M"