DerivaGem - Version 2.
01
For Excel 2000 and more recent versions of Excel
This is the Options Calculator Software that has been designed to
accompany John Hull's texts:
"Options, Futures and Other Derivatives" 8/E
"Fundamentals of Futures and Options Markets" 7/E
and
"Risk Management and Financial Institutions" 2/E
All books are published by Pearson Prentice Hall. They can be ordered from outlets such as
Amazon.com or directly from the publisher at http://www.prenhall.com/mischtm/support_fr.html
Important: Do not forget to enable Macros. If you are using Office 2007 you will have to
click on the Options button and choose "Enable this content"
A-J Financial Systems, Inc., 2010
n designed to
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kets" 7/E
ons" 2/E
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07 you will have to
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Equity_FX_Index_Futures_Options
Underlying Data
Underlying Type:
Time
Dividend
Graph Results
Vertical Axis:
Horizontal Axis:
Stock Price:
Volatility (% per year):
Risk-Free Rate (% per year):
50.00
40.00%
10.00%
Minimum X value
Maximum X value
Option Data
1.00%
200.00%
70
Option Type:
Imply Volatility
0.4167
50.00
Price: 4.07597514
Delta (per $):
-0.385727
Gamma (per $ per $): 0.02962538
Vega (per %): 0.12343907
Theta (per day): -0.0098324
Rho (per %):
-0.097343
Put
Call
50
Option Price
Time to Exercise:
Exercise Price:
60
40
30
20
10
0
1.00%
21.00% 41.00% 61.00% 81.00% 101.00% 121.00% 141.00% 161.00% 181.00%
Volatility
Page 3
Bond Data
Principal:
Bond Life (Years):
Coupon Rate (%):
Quoted Bond Price (/100):
100
10
8.000%
122.8245
Coupon Frequency:
Term Structure
Time (Yrs) Rate (%)
1
5.000%
Graph Results
Vertical Axis:
Horizontal Axis:
Option Data
Pricing Model:
Minimum X value
Maximum X value
110.00
120.00
Imply Volatility
Strike Price (/100):
Option Life (Years):
Yield Volatility (%):
115.00
2.25
20.00%
Quoted Strike
Call
Put
DV01
0
110.00
-1
Price:
DV01 (Per basis point):
Gamma01 (Per %):
Vega (per %):
1.741372
0.023744
0.016497
0.162269
112.00
114.00
-2
-3
-4
-5
-6
Strike Price
116.00
118.00
120.00
Swap / Cap Data
Underlying Type:
Settlement Frequency:
Principal :
Cap/Floor Start (Years):
Cap/Floor End (Years):
Cap/Floor Rate (%):
10000000
1.00
1.25
8.00%
Imply Breakeven Rate
Pricing Model:
Volatility (%):
20.00%
Imply Volatility
Floor
Cap
Price:
DV01 (Per basis point):
Gamma01 (Per %):
Vega (per %):
5161.9149
65.862761
56.074886
550.58306
Term Structure
Time (Yrs) Rate (%)
1
6.940%
2
6.940%
3
6.940%
4
6.940%
5
6.940%
Graph Results
Vertical Axis:
Horizontal Axis:
Minimum X value
Maximum X value
0.91
5.00
2.5
Option Price
1.5
0.5
0
0.91
1.41
1.91
2.41
2.91
Cap/Floor End
3.41
3.91
4.41
4.91
CDS Data
Life(Yrs) Spread (bp)
1
124.23
5
124.23
10
124.23
25
124.23
Default Rate Data
Time (Yrs) Hazard Rate
1
2.02%
5
2.02%
10
2.02%
25
2.02%
Term Structure
Time (Yrs) Rate (%)
1
5.000%
2
5.000%
3
5.000%
4
5.000%
5
5.000%
Cont. Compo
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
Calculate Spreads
Recovery Rate
Payment Frequency:
0.4
Imply Hazard Rates
0.0107928
0
Cont. Compounded Hazard Rates
10
15
Time (Yrs)
20
25
30
CD0 Data
Life (Years)
Recovery Rate
Number of Names
No. of Integration Points
5
0.4
125
30
Default Rate Data
Time (Yrs) Hazard Rate
1
0.83%
5
0.83%
10
0.83%
25
0.83%
Term Structure
Time (Yrs)
1
2
3
4
5
Payment Frequency:
Imply Corr.
Attachment Point (%)
0.00%
3.00%
6.00%
9.00%
12.00%
Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
3.00%
500.00
36.608%
0.1625
6.00%
347.789933
0.1500
9.00%
151.31
0.2500
12.00%
68.89
0.2500
22.00%
15.26
0.2360
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Term Structure
Rate (%)
3.500%
3.500%
3.500%
3.500%
3.500%
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
ExpLoss
52.243%
14.966%
6.730%
3.112%
0.695%
PVPmts
3.1270
4.3032
4.4480
4.5169
4.5572
Base Corr.
