Monis FX Options XL
Monis FX Options XL is a collection of routines running within the familiarity of an Excel front-end. It enables users to evaluate a wide range of FX option types, including standard, bermudan, asian, barrier, lookback, ladder, compound, spread and many others. Monis FX Options XL is also available as an analytic library for integration with other systems.
It uses analytical (closed formula) and numerical (binomial and trinomial trees, numerical integration) solutions, as well as fast Monte Carlo simulation models - single and multiple assets. The trinomial routines allow you to use term structures of interest rates, volatilities and discrete dividends.
In addition to the options price and the full set of greeks, Monis FX Options XL's outputs also includes break-even, leverage factor, probability of hitting barriers and forward prices.