Tools
Working models and templates that go with the writing. Each one is built for a specific argument made elsewhere on this site, and each one is auditable: live formulas, no macros, no protected sheets, nothing computed somewhere else and pasted in as a value.
They are versioned. When a correction is made, the changelog inside the file records it, so you can see what changed and when.
The models divide the same way the practice does. Investment Operations covers the environment itself: what the current one costs to run, how prices and curves get built, and what your published history is actually resting on. Derivatives covers the hedging program: effectiveness, sizing, exit, and the cost of a cap.
Fixed vs Float Swap Model
An Excel model of the swap most life insurers actually trade: fixed against a forward-looking Term SOFR leg, bilateral and uncleared. It bootstraps a discount curve from thirty-two market quotes, values both legs, and prices what the Term SOFR basis costs you against the cleared trade you could have had instead.
Cap Ladder Hedge Analyzer
An Excel workbook for the decision most indexed annuity programs make once and never revisit: how many different cap rates to put inside a single hedge. Enter your own ladder, up to eight rungs with weights, and it prices what that structure costs you at expiry, on the path, and under each of the three ways desks size the hedge.
Call Spread Exit Calculator
A Black-Scholes-Merton workbook for capped call spreads. Prices both legs, shows percent of max beside the forward-looking measures for the same position, and puts the hold-versus-sell arithmetic on one tab with your own transaction cost as an input.
Buffered Outcome Calculator
A Black-Scholes-Merton workbook for defined-outcome ETFs. Prices the four options a buffered fund holds, solves for the cap a given buffer can fund, and shows the interim mark beside the outcome for any index level and any point in the period.
Option Greeks Calculator
A Black-Scholes-Merton workbook for the five option Greeks. Prices a vanilla call and put with a continuous dividend yield, and the call spread a capped crediting strategy is built from, with net Delta and net Gamma across the index level.