Financial Analytics & Risk Management Tools

FinCalc offers tools to build advanced financial functions under Excel.

Financial Instruments

FinCalc covers bonds, money market instruments, futures, options, interest rate swaps, credit default swaps, as well as caps, floors and swaptions.

Key points :

  • Calendar with business holidays for the major financial centers.
  • Bond analytics: yield to maturity, duration, accrued interest; valuation functions and sensitivity measures; bond cash flows; forward price and repo rate.
  • Derivatives: valuation functions and sensitivity measures european and american options; exotic options.
  • Discount curve construction based on money market rates,short term futures and swap rates. 
  • Interest rates derivatives: valuation and sensitivity for swaps, swaptions, caps & floors.
  • Credit derivatives: valuation and sensitivity for CDS.
  • Portfolio analytics: volatility, expected return, tracking error, value at risk, portfolio optimization on an absolute basis or relative to a benchmark.
  • User friendliness: meaningful function and parameter names; user's manual, numerous examples and applications.
  • Excel add-in and examples to download, as well as VBA source code.

Portfolio Analytics

FinCalc allows to compute portfolio statistics like volatility, expected return, tracking error or value at risk. A portfolio can be optimized on an absolute basis or relative to its benchmark.
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