Anyone with the intestinal fortitude to wade through our Eumaeus Guide might have noticed that in several places in the report we promised to post two spreadsheets: one giving the calculations underlying our volatility chapter, Chapter 10, and the other the hedging example discussed in the Appendix to Chapter 20.
So why didn’t we post them as promised when we published the report?
Simple: because we, er, forgot. Sorry.
So here (1) they are (2), and see also our new models page
A word of explanation about these spreadsheets.
We operate to a colour coding convention: yellow boxes for exogenous inputs, uncoloured boxes for intermediate calculations and light blue for important results. Why do we do this? Because it helps the user from screwing up the spreadsheet. Don’t change the inputs in any cells but the yellow ones! It is best also if you download the spreadsheet and keep a clean copy of the original in case you need to recover it, and then you can adjust the inputs to see how it works and screw it up as many times as you want.
A few other housekeeping points:
Feedback – positive or negative makes no difference – is always welcome and we do our best to take it seriously.
We make a standing offer to any of readers that we will publish in full any critiques of our work, although naturally we reserve the right to respond. This offer applies particularly to anyone who might feel aggrieved by anything we have written, and tbh we have had one or two complaints. To clarify, we would never knowingly misrepresent anyone else’s point of view. If you feel aggrieved, just talk to us and have your say, on our blog if you wish. We operate an open forum.
If anyone finds errors (come on, guys, they must be there!), we will correct them.
One theme of our future work (and there is a fair bit in the pipeline) is to address issues of what might loosely be described as scientific integrity. This topic would cover, e.g., appropriate scientific procedure as it applies to controversial findings, accountability, transparency and openness.
To elaborate, the basis of any scientific results must be clearly stated and enough information must be given for those results to be reproducible. Our report spells these out, including the assumptions and our justifications for those assumptions, and the mathematics and empirics that determine the results. Important calculations are illustrated in spreadsheets we have provided. So our results are reproducible and open to criticism, and we are willing to talk.
We aspire to practice what we preach. Please correct us where we fall short.
As ever, we thank our readers for their feedback through our contact form. This feedback has been hugely valuable and features prominently in our report, and in our work more generally.
Please keep the comments coming in!