Prof. J. R. Varma - Software

It is all on GitHub now

This page used to host some of the software that I have written for educational use. This has all been removed because GitHub is a better way to share software. Below are links to some of my GitHub repositories:

Binomial valuation of options and convertible bonds (GitHub).

The software handles embedded puts and calls (including soft calls) and has limited support for multi-currency structures. The software uses a binomial lattice with the stock price as the only state variable. This means that all call and put features are regarded as options only on the stock price, and values that may attach to these because of the volatility of interest rates, exchange rates or the credit spread are ignored. The software does not use the warrant valuation approach which requires the volatility of equity (stocks plus warrants). Instead, it ignores the dilution effect and uses stock price volatility which is more readily available. The software can also be used in valuing options on stocks. This is more useful for American puts, and to a lesser extent American calls on dividend paying stocks. European options can be valued more easily by the Black-Scholes formula.

Markowitz Efficient Frontier (GitHub)

This software computes Markowitz (Mean-Variance) Efficient Frontier. Also computes risk and return for any portfolio.

Valuation of options on bonds and of bonds with embedded put and call options (GitHub).

This software uses the Black-Derman-Toy (BDT) model to value Options on Bonds (Interest Rate Options) or bonds with embedded interest rate options (put/call options). A single factor binomial interest rate tree is built calibrated to the specified yield curve and volatility curve and this is used to value the options.

Black Scholes Option Valuation, Implied Volatility and Option Greeks in Java (GitHub).

This software provides JAVA code for option valuation using Black Scholes. It provides a set of JAVA functions for Black Scholes option values, implied volatility and greeks. It also provides a graphic use interface using Swing where the user can provide the asset price, strike, interest rate, volatility and other parameters. The GUI instantly displays the option values and greeks as the input parameters are changed.

Microsoft Excel Add In (Visual Basic code)