Valuation and risk analytics for financial instruments, inside Excel
834 worksheet functions for bonds, FX, interest rate, inflation and equity derivatives, curves, VaR and performance measures, each documented publicly with a worked example. Value a book, measure its risk, or check someone else's numbers, in the spreadsheets you already use.
The GIAnalyzer tab in Excel. Position Mapper and Confirmation Mapper sit on the same ribbon, under Banks.
The full version, for 30 days. Download it and get your activation key by email, or ask us to send the installation file and keys. Runs in Excel on Windows.
What it adds to Excel
- Valuation functions for financial instruments, with market conventions built in
- Sensitivities and risk measures
- Stress and scenario analysis
- VaR, risk and performance measures
- Curve construction from market quotations
- Example and template workbooks for every instrument family
- Support for independent valuation, model validation and controlled Excel processes
Where Excel fits
Enterprise platforms run a firm's official processes. Excel stays alongside them, for three reasons:
An analytical environment. Valuation, stress testing, investigation, model validation and reports built for one purpose.
A bridge to production. A new product, method or requirement, run before a strategic system is chosen and connected.
A long-term production tool. Processes where a large system isn't justified by cost, scale or the people available.
What each option is built for
| Option | Built for | Not built for |
|---|---|---|
| Excel on its own | Flexibility, familiarity, speed | Specialist valuation models, market conventions and risk measures for complex instruments |
| Enterprise systems | Controlled, firm-wide official processes | Fast-changing or highly specific requirements, at low cost |
| Models built in house | Complete customisation | Firms without the people to develop, validate, document and maintain them |
GIAnalyzer adds the missing layer: professional valuation and risk functions, inside the workbooks you already use.
What it's used for
Produce a valuation
- Value OTC derivatives: institutional investors, hedge funds, corporates and valuation providers
- Value employee share options with vesting, exit rates and other non-standard features: valuation providers and financial-reporting teams
- Build zero curves and currency basis curves from market quotations: treasury and ALM teams
Produce a risk number
- VaR, stress testing and backtesting: risk-management teams
- VaR-based margin methodology: banks and middle-office teams
- Volatility, correlation, beta and Sharpe ratio: investment and risk teams
- Ad-hoc analysis when a question can't wait for the daily run, or needs a calculation the preset runs don't include
Check someone else's work
- Verify the valuations your banks and counterparties send you
- Validate pricing models, and investigate valuation differences: model-validation units and independent consultants
- Audit and SOX control testing: auditors and internal-control teams
Every number can be explained
Several methods, side by side
Black-Scholes, Black-76, binomial trees, Monte Carlo and Bjerksund-Stensland for options; Vanna-Volga for FX exotics; Tsiveriotis-Fernandes for convertibles; Nelson-Siegel and Svensson for curves; historical, Monte Carlo and hybrid VaR. Where more than one method applies, they run side by side on the same inputs. An American option can be valued by approximation, by tree and by simulation in one workbook, with the results shown together. Results can be compared rather than accepted, and the method behind any number can be named.
Every model, named (Coverage & models) →
Worked examples, down to the manual calculation
- [N] example and template workbooks, each opening with a Navigator sheet that links every function to the sheet that shows it.
- Manual calculations in several of them, showing step by step what a function does.
- The same four sections on every sheet: deal terms, market data, calculation settings, results, with parameters in the function's own order.
- Names that follow one pattern: module, instrument, output, with no obscure abbreviations, and parameters in a consistent order.
- One menu from module to function, with the example workbooks on the same menu.
Browse the function reference: every function, documented publicly →
Coverage
Bonds · FX derivatives · interest rate derivatives · inflation derivatives · equity derivatives · curves and rates · VaR, risk and performance measures
Depth where a mid-sized book needs it: custom amortization on each leg, cross-currency swaps in all four leg combinations, inflation swaps split into nominal and inflation legs, FX barriers, KIKO and TARF. 834 functions across nine libraries.
Not covered today: credit and commodity derivatives. Need an instrument that isn't listed? Tell us.
How positions and market data reach the workbook
GIAnalyzer is the analytics; your positions and market data reach the workbook the way they reach Excel today.
Positions
- From your data warehouse or BI system: a connected workbook holds the portfolio, instruments and filters; refresh it and the latest positions and deal terms load into place.
- From your banks' files: Position Mapper turns the position files your banks send into the standard format the workbook takes.
- By hand: enter or paste terms into controlled templates, for single trades, checks and investigations.
Market data
- From Bloomberg, LSEG, your own databases, BI connections, Power Query, controlled files or manual input. No data provider is required.
- Use prepared curves and surfaces as they are, or build them from quotations: a zero curve from bond prices with Nelson-Siegel, or a currency basis curve from FX forward points and the USD SOFR curve.
The same models, run automatically
The Gamma Impact API covers the same instruments and models, without Excel: for valuation and risk run every day, into your own systems. GIAnalyzer adds functions the API doesn't use.
In use
| Institution | What it produces |
|---|---|
| A bank | Greeks, VaR and regulatory capital adequacy on option positions |
| A bank | Margin add-ons for long-short equity positions, from empirical percentiles of relative performance |
| An insurance company | Greeks and scenario analysis across nostro and managed equity portfolios, reported to the investment committee |
| An insurance company | Ad-hoc verification of bank valuations |
| A hedge fund | Volatility and correlation estimation |
More examples, on the Company page →
Licensing and trial
Licensed by module and by user, on its own or with any other Gamma Impact product. Terms of one, two or three years. Bug fixes and new versions are included for the length of the licence; support is offered separately. No prices on the site: we quote for your modules and users.
30-day free trial: the full version. Two ways to start: download it and enter your name and email, and we email you an activation key; or contact us, and we send you the installation file and activation keys, for one user or several.
System requirements: Windows, with [Excel versions, from Alexey]. Version [5.12.0]. On a Mac, it runs only in a Windows virtual machine.
Start with your own instruments
- Start a 30-day free trial: download it, or ask us for the installation file and keys. Learn from the example workbooks, one per instrument family.
- Book a working session, in person or on Zoom, on instruments from your own book.
- Send a sample of your positions, under NDA. We value them and return the workbook for you to check.
- Compare with your current source: your own valuations, your bank's, or your data vendor's.