DerivaGem is Excel-based.
Main features:
- It now carries out calculations for credit derivatives and interest rate derivatives, as well as for options on stocks, indices, currencies, and futures
- It calculates prices, implied volatilities, and the Greeks
- It implements normal and lognormal interest rate models to value American-style interest rate options
- It displays charts showing the relationships between variables
- It displays the binomial/trinomial trees used for valuation
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