1

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

A
B
C
D
E
AMFExcel.XLS
Returns for months 1 - 62
Summary Statistics:
Returns Ln Returns
Mean
1.78%
0.014
St Dev
8.09%
0.080
Max
21.23%
0.193
Min
-14.21%
-0.153
Month
Feb-92
Mar-92
Apr-92
May-92
Jun-92
Jul-92
Aug-92
Sep-92
Oct-92
Nov-92
Dec-92
Jan-93
Feb-93
Mar-93
Apr-93
May-93
Jun-93
Jul-93
Aug-93
Sep-93
Oct-93
Nov-93
Dec-93
Jan-94
Feb-94
Mar-94
Apr-94
May-94
Jun-94
Jul-94
Aug-94
Sep-94
Oct-94
Nov-94
Dec-94
Jan-95
Feb-95

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37

Returns Ln Returns
7.06%
0.0682
-11.54%
-0.1226
7.77%
0.0748
10.66%
0.1013
-11.72%
-0.1247
-8.26%
-0.0862
-2.89%
-0.0293
9.93%
0.0947
12.65%
0.1191
7.75%
0.0746
5.96%
0.0579
-11.71%
-0.1245
4.50%
0.0440
-3.05%
-0.0310
-1.30%
-0.0131
13.79%
0.1292
5.13%
0.0500
4.44%
0.0434
21.23%
0.1925
-11.91%
-0.1268
9.94%
0.0948
-4.34%
-0.0444
12.29%
0.1159
-1.43%
-0.0144
2.73%
0.0269
-14.21%
-0.1533
5.42%
0.0528
-2.39%
-0.0242
-7.72%
-0.0803
12.96%
0.1219
13.55%
0.1271
-5.73%
-0.0590
7.09%
0.0685
-4.26%
-0.0435
4.69%
0.0458
-11.32%
-0.1201
0.53%
0.0053

Frequency Distribution:
interval
freq
%freq %cum freq
-0.16
#DIV/0!
#DIV/0!
-0.12
#DIV/0!
#DIV/0!
-0.08
#DIV/0!
#DIV/0!
-0.04
#DIV/0!
#DIV/0!
0.00
#DIV/0!
#DIV/0!
0.04
#DIV/0!
#DIV/0!
0.08
#DIV/0!
#DIV/0!
0.12
#DIV/0!
#DIV/0!
0.16
#DIV/0!
#DIV/0!
0.20
#DIV/0!
#DIV/0!
#DIV/0!
#DIV/0!
Total
Quartiles:
quart no. Q points
0
-0.153
1
-0.043
2
0.028
3
0.075
4
0.193

Q%
0%
25%
50%
75%
100%

47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71

A
Mar-95
Apr-95
May-95
Jun-95
Jul-95
Aug-95
Sep-95
Oct-95
Nov-95
Dec-95
Jan-96
Feb-96
Mar-96
Apr-96
May-96
Jun-96
Jul-96
Aug-96
Sep-96
Oct-96
Nov-96
Dec-96
Jan-97
Feb-97
Mar-97

C
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62

D
5.03%
-2.02%
6.43%
12.80%
2.57%
10.65%
0.19%
-1.69%
-10.34%
-1.50%
3.04%
-2.53%
4.75%
9.48%
-3.77%
-6.26%
-4.18%
5.66%
-8.66%
7.22%
8.42%
-4.27%
9.53%
7.96%
-4.46%

E
0.0491
-0.0204
0.0623
0.1204
0.0254
0.1012
0.0019
-0.0170
-0.1091
-0.0151
0.0299
-0.0256
0.0464
0.0906
-0.0384
-0.0646
-0.0427
0.0551
-0.0906
0.0697
0.0808
-0.0436
0.0910
0.0766
-0.0456

K
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

Cumulative Frequency
100%

75%

50%

25%

-0.20

-0.10

0%
0.00

ln(re turn)

0.10

0.20

Cumulative Frequency from quartiles

100%

75%

50%

25%
ln (re tu rn)

-0.200

-0.100

0%
0.000

0.100

0.200

K
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71

AMFExcel.XLS
Excel Normal Functions used for N( 0, 1)
PDF
-4.00
-3.00
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00

CDF

Answer
InvNormal

PDF
CDF
0.0001
0.0000
0.0044
0.0013
0.0540
0.0228
0.2420
0.1587
0.3989
0.5000
0.2420
0.8413
0.0540
0.9772
0.0044
0.9987
0.0001
1.0000

Lookup

AMFExcel.XLS
Sales Commission Lookup
Sales

Commission

Sales >=

CommRate
0
8.0%
10000
10.5%
20000
12.0%

25000
10000

Commission

19999
ComRate
20000
Formula:

=B5*VLOOKUP(B5,ComRate,2)

Black-Scholes Call Value Lookup Table

Volatility
VLOOKUP

call value
MATCH

row
column
INDEX

Volatility BS Call Value

15%
8.63
16%
8.84
17%
9.05
18%
9.27
19%
9.50
20%
9.73
21%
9.96
22%
10.19
23%
10.43
24%
10.67
25%
10.91

20.0%

9.73

6
2

Lookup Table for No. of days in month

Days in Month
date
month
year
col_index
2-Feb-96
2
1996

no. of days in month

=IF((D33/4)=INT(D33/4),3,2)
=VLOOKUP(C33,$H$33:$J$44,E33)

Page 6

Mth
1
2
3
4
5
6
7
8
9
10
11
12

Normal
31
28
31
30
31
30
31
31
30
31
30
31

Lookup

Commission
3000
1050
2100
2400

Leap
31
29
31
30
31
30
31
31
30
31
30
31

Page 7

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

A
B
AMFExcel.XLS
Bond Cashflows
Bond
Price
Coupon
Maturity

Type 1
100.0
5
1

Type 2
98.0
4
2

Type 3
95.5
3
2

Type 4
101.0
5
3

Type 5
102.1
6
3

Cash Flows for bonds

Initial Cost
Receipts:
Year
1
Year
2
Year
3

Type 1
100.0

Type 2
98.0

Type 3
95.5

Type 4
101.0

Type 5
102.1

105

=IF($B11<C$6,C$5,IF($B11=C$6, 100+C$5,0))
Bond Portfolio
initially
Optimal amount
Portfolio Cash Flow
Initial Cost
Receipts:
Year 1
Year 2
Year 3

Type 1
1.00
1.00

Type 2
1.00
1.00

Type 3
1.00
1.00

Type 4
1.00
1.00

Type 5
1.00
1.00

Portfolio

100.00

98.00

95.50

101.00

102.10

Totals:
496.60

105.00
0.00
0.00

0.00
0.00
0.00

0.00
0.00
0.00

0.00
0.00
0.00

0.00
0.00
0.00

105.00
0.00
0.00

I
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

Required CF

min
100.0
200.0
300.0

CompoundDTab

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44

A
B
AMFExcel.XLS
Continuous Compounding
Inputs:
Initial value (a)
Interest rate-cont ( r)
ra =exp(r)-1
Interest rate-p.a.

1
5.0%

Time (t)

5.1%
1

Outputs:
Compound factor t yrs
Discount factor t yrs

1.051
0.951

=$C$4*EXP($C$5*$C$7)
=$C$4*EXP(-$C$5*$C$7)

Enter formula(s) for output

compound
1.051

discount
0.951

1
2
3
4
5
6
7
8
9
10

Enter numbers
for input variable t

Compounding/Discounting Factors
2

Rate =
Rate = 0.05

1.75
1.5
1.25
1
0.75
0.5

compou
nd

t years

0.25
0
0

10

11

Enter formula for output

Enter numbers
for input variables

time t

0.951
1
2
3
4
5
6
7
8
9
10

3.0%

interest rate r
3.5%
4.0%

Discount factors, diffe ring rates

5.0%

5.5%

6.0%

3.0%

0.75

3.5%
4.0%
5.0%
5.5%
6.0%

t yrs
0.5

Page 10

10

11

257439229.xls

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

BSDTab

A
B
C
AMFExcel.XLS
Black-Scholes Option Values
Share price (S)
Exercise price (X)
Int rate-cont (r)
Dividend yield (q)
Option life (T,years)
Volatility ()

100.00
95.00
8.00%
3.00%
0.50
20.00%

###

Black-Scholes Call Value

Market value

10.43

Difference

###

Exercise 1 : Data Table 1 (Varying S)

Enter formula for output

Answer

Enter numbers
for input variable

95
96
97
98
99
100
101
102
103
104
105

9.73
6.45
7.05
7.68
8.34
9.02
9.73
10.46
11.21
11.98
12.77
13.58

Exercise 2 : Data Table 1 (Varying )

Enter formula for output

Answer

Enter numbers
for input variable

15%
16%
17%
18%
19%
20%
21%
22%
23%
24%
25%

9.73
8.63
8.84
9.05
9.27
9.50
9.73
9.96
10.19
10.43
10.67
10.91

Exercise 3 : Data Table 2 (Varying X and T)

Prepared by Mike Staunton 01/16/2015

Page 11

257439229.xls

A
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62

BSDTab

Enter numbers
for input variables

Enter formula for output

0.25
11.58
10.74
9.93
9.14
8.38
7.66
6.97
6.31
5.70
5.12
4.58

0.50
13.30
12.54
11.80
11.08
10.39
9.73
9.08
8.47
7.88
7.32
6.79

1.00
16.21
15.52
14.85
14.20
13.57
12.95
12.35
11.77
11.21
10.67
10.14

Answer

9.73
90
91
92
93
94
95
96
97
98
99
100

Prepared by Mike Staunton 01/16/2015

Page 12

Beta

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

A
B
C
AMFExcel.XLS
Simple Linear Regression
Mth
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42

ShareA
-0.1326
0.0671
0.0939
-0.1339
-0.0951
-0.0381
0.0882
0.1140
0.0694
0.0527
-0.1298
0.0395
-0.0358
-0.0179
0.1251
0.0457
0.0391
0.1889
-0.1318
0.0906
-0.0488
0.1122
-0.0187
0.0230
-0.1581
0.0488
-0.0284
-0.0849
0.1180
0.1231
-0.0641
0.0638
-0.0487
0.0409
-0.1261
-0.0002
0.0441
-0.0260
0.0574
0.1157
0.0199
0.0961

Index
-0.0534
0.0868
0.0182
-0.0800
-0.0666
-0.0455
0.0925
0.0393
0.0422
0.0362
-0.0006
0.0223
0.0071
-0.0150
0.0092
0.0192
0.0101
0.0581
-0.0215
0.0369
-0.0069
0.0766
0.0358
-0.0426
-0.0715
0.0106
-0.0526
-0.0265
0.0538
0.0497
-0.0757
0.0150
-0.0070
-0.0062
-0.0292
0.0023
0.0325
0.0237
0.0318
-0.0075
0.0456
0.0073

Output from Tools / Data Analysis / Regression (With Output Range E7)

Excel regression functions

INTERCEPT
SLOPE
RSQ
STEYX

=INTERCEPT(ShareA,Index)
=SLOPE(ShareA,Index)
=RSQ(ShareA,Index)
=STEYX(ShareA,Index)

Output from Linest (Remember Ctrl+Shift+Enter)

Beta
Beta (SE)
RSQ
F
Regression SS

Page 13

1.5065
0.2077
0.4755
52.5873
0.1860

-0.0013
0.0078
0.0595
58
0.2051

Alpha
Alpha (SE)
STEYX
N-2
Residual SS

Beta

A
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64

43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60

B
-0.0037
-0.0227
-0.1151
-0.0205
0.0250
-0.0308
0.0417
0.0861
-0.0435
-0.0697
-0.0476
0.0506
-0.0959
0.0650
0.0760
-0.0491
0.0865
0.0719

C
0.0059
-0.0021
0.0289
0.0060
0.0194
-0.0026
-0.0003
0.0362
-0.0170
-0.0173
-0.0128
0.0416
0.0134
0.0043
0.0123
0.0122
0.0342
0.0075

E
Using Index ( Linest )
Alpha (SE)
Beta (SE)
STEYX

Page 14

J
1
2
3
4
sion (With Output
5 Range E7)
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29 Answer
30
-0.0013
31
1.5065
32
0.4755
33
0.0595
34
35
36
37
38 Answer
39
1.5065
40
0.2077
41
0.4755
42
52.5873
43
0.1860
44
45
46

Beta

-0.0013
0.0078
0.0595
58
0.2051

Page 15

Beta

J
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64

Answer
0.0078
0.2077
0.0595

Page 16

MatDef

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23

A
B
C
AMFExcel.XLS
Array Manipulation:
array:
dim
x
(2x1)
2
4
y

xy

(1x2)

(1x1)

array:
A

dim
(3x3)

(3x1)

40

-3
2
7
20
-5
0

array:
xT

dim
(1x2)

yT

(2x1)

6
7

(xy)T

(2x2)

12
14

(yx)T

(1x1)

40

array:
A-1

dim
(3x3)

Transposes

Array Multiplication
(2x2)
12
14
24
28

yx

2
20
9

7
19
21

x = A-1b

(3x1)

24
28

-0.175

-0.015

0.072

-0.064

0.079

-0.050

0.086

-0.029

0.045

-3.436
-1.677
1.864

Page 17

AA-1

###
###
###

###
###
###

###
###
###

AMFExcel.XLS
Excel Matrix Functions
Amat1

1.1
1.6
1.8

1.2
1.5
1.8

1.3
1.4
1.9

Answer

MDETERM

-0.0270

MINVERSE

-12.22
19.26
-6.67

-2.22
9.26
-6.67

10.00
-20.00
10.00

1.10
1.20
1.30

1.60
1.50
1.40

1.80
1.80
1.90

0.8
1.1
0.5

1.4
2.0
2.7

2.85
3.63
4.37

7.45
9.02
11.25

3.51
9.54

3.53
9.75

TRANSPOSE

Excel Matrix Multiplication

Amat1

1.1
1.6
1.8

1.2
1.5
1.8

1.3
1.4
1.9

Amat2

MMULT Amat1 * Amat2

MMULT Transpose (Amat2) * Amat1

3.54
9.60