Delta and Gamma using the Achilles trick

In a previous post on the Achilles trick we developed a specific formula – here we show one example usage of that formula that allows us to quickly and easily derive closed form formulas to approximate the delta and gamma of a vanilla call or put option from the GK equations. Some definitions We begin with a…

Basic VBA 10: Debugging and refactoring

Debugging is an extremely important part of coding and one that is often overlooked.  A good programmer often spends just as much time debugging and checking code as actually building new code.  The idea of this post is to give you a set of tools you can use to debug your programs and make sure…

Declaring variables using suffixes in VBA

The usual way for declaring variables in VBA is to use the syntax  Dim myDbl As Double where we change the type according to the variable we want to create.  There is however another way of declaring certain variables within VBA that uses a suffix to the variable name.  The symbols you can use are described on the MSDN website here. …

Basic VBA 9: User defined types

Sometimes when coding we want to group together a set of related but different variables.  Examples could be a parameter set for a specific calculation (which we may want to vary later) or a set of properties we want to store and set for something we are working with. User defined data types (sometimes referred…