Thread: Symphony Excel sample for option pricing using Heston model

1. About Platform Symphony Excel Sample
2. About this Package
3. Installation and Configuration
4. About the Excel Spreadsheet
5. Running the sample

=====================================
1. About Platform Symphony Excel Sample
=====================================

This Excel Sample allows to arbitrage option exchange. The XLS does Pricing and Risk for all the options defined.
Each stock is represented by a chain of 13*6 options (13 strikes and 6 times).
The level and the Strike frequency is configurable and so is the time steps.

Please note that only the Heston stochastic volatility model is implemented in this sample.



=====================
2. About the Package
=====================

Package is available here -> Download

This package includes the following files:

readme.txt
OEX1004.xls: The Excel spreadsheet that can do the pricing and risk analysis both locally and on Symphony grid
sclient.xll: Excel add-in implementing the local c++ calculation
service.exe: Symphony service for pricing and risk analysis
OptionUniverse.xml: The Symphony application profile for this sample
src: Folder containing all the sources for this sample

Symphony DE 5.0 Middleware is available for free -> Download

==============================================
3. Installation and Configuration
==============================================

Prerequisite : Symphony Client and MS Excel must be installed before this sample can be executed

Package is available here -> Download

Install local c++ calculation

• Unzip the package to the desired location on a Symphony host.
• Open MS Excel
• Click menu Tools->Add-Ins, browse and select sclient.xll from the unzip location

Install symphony application

• Deploy the symphony service

soamdeploy add OptionService -p service.exe -c /SampleApplications

• Register the application

soamreg OptionUniverse.xml

Open OEX1004.xls in MS Excel

The sample is now ready to run.

==============================================
4. About the Excel Spreadsheet
==============================================

The sample spreadsheet has 4 important sheets:

• "Market" - containing all the market data
• "Market USD" - with Interest rates curve and model definition
• "Template" - the template used to generate all the other sheets in the sample
• "Control" - containing configuration and menu definition

All the other sheets are generated from the "Market" sheet using the "Template" sheet.

Please note that the VB code is password protected. The password is "1234".

========================
5. Running the sample
========================

o To run the sample locally select the following from the main menu:
"Option Market" -> "Price Market" -> "Sequential_xll"

The status bar on the bottom of excel will display "Pricing ..." while the pricing is executed.
In the end of the run the status bar will show the time needed to perform the calculation locally


o To run the sample on the Symphony grid select the following from the main menu:

"Option Market" -> "Price Market" -> "Parallel"

The status bar on the bottom of excel will display "Pricing ..." while the pricing is executed.
In the end of the run the status bar will show the time needed to perform the calculation on the grid

o To run the sample locally by VBA select the following from the main menu:

"Option Market" -> "Price Market" -> "Sequential_vb"

The status bar on the bottom of excel will display "Pricing ..." while the
pricing is executed. Note it can be much slower than the xll(c++) way.

The results will be displayed on each of the generated sheets.

=============================
6. Add load to the example
=============================

By default the example only run 1 iteration. The number of iteration is
configurable by changing "I4" cell of "Market USD" sheet. The calculation by
"Sequential_xll" for 100 iterations will take about 100 seconds

Excellent example Young, thanks for sharing ... any plans for iintegration with Linux spreadsheets such as OpenOffice Calc or Gnumeric?

Interesting. I think it will be a good candidate for an open-source project.

Excel is still the industry standard for financial modelling. For large spreadsheets, Excel is said to be 100 times faster than OpenOffice Calc:

Performance analysis of OpenOffice and MS Office