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Calc Deriv

Calc Deriv is a software developed with Visual Basic for Applications running on Excel. It calculates the price of a derivative using the Black-Scholes model.

Calc Deriv is a Montecarlo Simulator in which you can set the price of underlying asset, the future payoff, volatilities and correlation structure for an asset basket. Moreover, Calc Deriv allows to define a curve of interest rates and reprogram the payoff using Visual Basic language directly from the Excel worksheet. The interface is similar to commercial softwares like Monis Generalized Monte Carlo XL.

Calc Deriv is offered as it is, without warranty and just trying to be useful to the community. You can use it as you want.

Although in catalan, you can find an extended description of Calc Deriv in description.