Examples and Tools for Quantitative Finance Applications
Summary
The document seeks practical examples of spreadsheet and database applications used on trading desks or in bank middle offices, particularly to prepare for interviews. Responses point to several kinds of learning material: QuantLib as a source of tested quantitative routines, spreadsheet interfaces for yield-curve construction and option pricing, and downloadable Excel trading-system examples with data and backtesting features.
The suggestions have different limitations. One respondent notes that real desks commonly use proprietary or costly third-party systems, so public examples may not reflect workplace applications. Another cautions that an online GARCH implementation did not match a cited specification. A separate response recommends spreadsheet signals but offers only personal experience, not systematic validation. These examples can help identify tools and functionality to explore, but the document does not compare them or establish their accuracy or suitability for interview preparation.
Key ideas
- QuantLib is presented as a source of tested quantitative finance routines used in practice.
- Spreadsheet interfaces can support tasks such as yield-curve building and option pricing.
- Online Excel examples may combine trading signals, market data, and backtesting features.
- Public examples may differ from the proprietary systems used on trading desks.
- The cited implementations and signal claims are not independently validated in the document.
Tags
Full text
# Resources for finding quantitative finance examples using excel, VBA and access # Resources for finding quantitative finance examples using excel, VBA and access I am seeking to increase my knowledge in the quantitative finance field. I would be grateful if someone could point me to useful resource online, where I can find working examples of they types of applications built in Excel or Access, one can expect to find on a trading desk or in the middle office of a bank. I already know how to program (C, C++, Python etc), but I want to familiarize myself with working applications - in preparation for interviews. In the event that no resources are forthcoming, I would be interested in hearing from practitioners, what types of applications (or tools), they construct using Excel, VBA, and/or access. It would be useful in terms of the required functionality of the tools, so that in the event that there are no suitable resources online, I can try to build the tools myself. ## Answer by Yannis (score 2, accepted) https://quant.stackexchange.com/a/14309 In terms of end-user applications, all trading desks and middle office places I know, use either their own proprietary or expensive third party sources. On the other hand there exists a c++ library called QuantLib that is well known among real world practitioners, probably because it contains several routines that are well tested and robust. Often pieces of this library are "copied and pasted" into the otherwise "proprietary" company's software. Since you are looking for free access to public domain software, I would therefore suggest you take a look at quantlib. If you are more interested towards end-user spreadsheet-based analysis for yield curve building and option pricing, you may find the freeware deriscope to be a user-friendly, wizard-based interface to the QuantLib's algorithms, but I guess my last advice is unavoidably skewed due to my personal involvement with Deriscope's development. ## Answer by berkorbay (score 0) https://quant.stackexchange.com/a/14277 Volopta has some nice examples, but not always true. Their MATLAB GARCH code was not in line with Duan's specs. ## Answer by Snehil (score -1) https://quant.stackexchange.com/a/32730 Trading Tuitions has some nice examples of complete Trading systems in Excel sheet. There are some downloadable excel sheets with real time price/options data with backtesting option. I have been using Open=High, Open=Low Excel sheet from last few months and the signals are pretty accurate.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.