DerivaGem - Version 1.

52
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" 7/E
and

"Fundamentals of Futures and Options Markets" 6/E
Both 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"
This software was developed for educational purposes by A-J Financial Systems, Inc.

. Inc.html 07 you will have to ent" ystems.2 n designed to s" 7/E kets" 6/E from outlets such as schtm/support_fr.

36 0.26 0.08 0.31 0.01 0.00% þÿTime to Exercise Minimum X value Maximum X value 0.41 Time to Expiry Page 3 .5 4 3.06 0.5 2 1.13 -0.5 1 0.42 Option Data Option Type: þÿBinomial: American Imply Volatility 5 4.41 0.16 0.11 0.00 5 Put 3 2.4167 50.49 -0.5 0 0.01 -0.00% 10.5 Call Option Price Time to Expiration: Exercise Price: Tree Steps: 0.00 40.Equity_FX_Index_Futures_Options Underlying Data Underlying Type: þÿEquity Time Dividend Graph Results Vertical Axis: þÿOption price Horizontal Axis: Stock Price: Volatility (% per year): Risk-Free Rate (% per year): 50.21 0.03 0.01 Price: Delta (per $): Gamma (per $ per $): Vega (per %): Theta (per day): Rho (per %): 4.

00% Quoted Strike Call Put Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %): 2.000% 98.800% 4 6.01 1.Analytic European Imply Volatility 100 5 6.00 1.03 0.100% 5 6.500% 1 5.19 Coupon Frequency: þÿAnnual Term Structure Time (Yrs) Rate (%) 0.5 4.98 0.000% 2 5.500% 3 5.300% Strike Price (/100): Option Life (Years): Short-Rate Volatility (%): Reversion Rate (%): 100.01 .Bond Data Principal: Bond Life (Years): Coupon Rate (%): Quoted Bond Price (/100): Option Data Pricing Model: þÿNormal .00% 5.00 1.

Graph Results Vertical Axis: þÿDV01 Horizontal Axis: þÿParallel Rate Shift Minimum X value Maximum X value -1.03 0.00% Parallel Rate Shift 0.04 0.01 0 -1.00% -0.00% .00% 1.00% 0.50% 0.02 0.01 0.03 0.02 DV01 0.50% 1.

496% 2.8 1.3 2.750% 3.05 2.576% 5.203% 3.55 2.05 1.952% 1.52 3.18% þÿQuarterly Principal : Swap Start (Years): Swap End (Years): Swap Rate (%): Pricing Model: þÿNormal .752% 5.Swap / Cap Data Underlying Type: þÿSwap Option Settlement Frequency: 100 1.864% 1.02 0.50% 4.06 2.10% Imply Volatility Rec.314% 4.00 5.820% 0.995% 3.European Imply Breakeven Rate Short-Rate Volatility (%): Reversion Rate (%): 1.97 0.414% 4.01 1.55 1.31 .52 3.845% 0.02 3.81 3.01 1.54 3. Fixed Pay Fixed Term Structure Time (Yrs) Rate (%) 0.073% 1.899% Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %): 1.06 3.00 4.55 2.217% 2.

18% 7.18% 2.Graph Results Vertical Axis: þÿDV01 Horizontal Axis: þÿSwap / Cap Rate Minimum X value Maximum X value 1.18% 6.01 0.18% 4.18% 7.04 0.02 0.03 0.18% 3.01 0 1.18% Swap Rate 5.02 DV01 0.03 0.18% .18% 0.

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