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DerivaGem - Version 1.

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For Excel 97 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" 5/E


and
"Fundamentals of Futures and Options Markets" 5/E
Both books are published by 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: For smooth running of this software make sure that dg151.dll is loaded into your
Windows\System or WINNT\System32 directory

This software was developed for educational purposes by A-J Financial Systems, Inc.
1
en designed to

s" 5/E

rkets" 5/E
ets such as Amazon.com
m/support_fr.html

dll is loaded into your

Systems, Inc.
Equity_FX_Index_Futures_Options

Underlying Data Graph Results


Underlying Type: Time Dividend Vertical Axis:
Equity Option price

Horizontal Axis:
Stock Price: 50.00 Asset price
Volatility (% per year): 30.00%
Risk-Free Rate (% per year): 5.00% Minimum X value 20
Maximum X value 80

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Option Data
27.5
Option Type:
25
Analytic: European ✘ Imply Volatility
22.5
Time to Exercise: 0.4167 ● Put 20
Exercise Price: 50.00

Option Price
Call 17.5
15
12.5
10
Price: 4.08
7.5
Delta (per $): -0.39
Gamma (per $ per $): 0.03 5
Vega (per %): 0.12 2.5
Theta (per day): -0.01 0
Rho (per %): -0.1 20.00 25.00 30.00 35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00 80.00
Asset Price

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Bond Data Term Structure
Time (Yrs) Rate (%)
Principal: 100 Coupon Frequency: 0 3.430%
Bond Life (Years): 4.1 Semi-Annual 0.5 3.430%
Coupon Rate (%): 5.000% 1 3.824%
Quoted Bond Price (/100): 99.53 1.5 4.183%
2 4.512%
Option Data 2.5 4.812%
Pricing Model: 3 5.086%
LogNormal - American Imply Volatility 5 5.500%

Strike Price (/100): 100.00 Quoted Strike


Option Life (Years): 1.00
Short-Rate Volatility (%): 15.00% Call ● Put 1.95
Reversion Rate (%): 6.00% 1.9
1.85
Tree Steps: 10
1.8
1.75
1.7

Option Price
1.65
1.6
Price: 2.17 1.55
DV01 (Per basis point): 0.03 1.5
Gamma01 (Per %): 0.01 1.45
1.4
Vega (per %): 0.02 1.35
1.3
1.25
1.2
7.50% 10.00%
Graph Results
Vertical Axis:
Option price

Horizontal Axis:
Volatility

Minimum X value 7.50%


Maximum X value 22.50%

1.95
1.9
1.85
1.8
1.75
1.7
Option Price

1.65
1.6
1.55
1.5
1.45
1.4
1.35
1.3
1.25
1.2
7.50% 10.00% 12.50% 15.00% 17.50% 20.00% 22.50%
Volatility
Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Swap Option 0.01 1.845%
Settlement Frequency: 0.55 1.820%
Principal : 2000 Semi-Annual 0.8 1.864%
Swap Start (Years): 1.00 1.05 1.952%
Swap End (Years): 5.00 1.3 2.073%
Swap Rate (%): 1.82% Imply Breakeven Rate 1.55 2.217%
2.05 2.496%
Pricing Model: 2.55 2.750%
Normal - European 3.06 2.995%
3.54 3.203%
Short-Rate Volatility (%): 1.53% Imply Volatility 3.81 3.314%
Reversion Rate (%): 4.10% 4.06 3.414%
Rec. Fixed 4.52 3.576%
5.02 3.752%
Pay Fixed

Price: 1.75
DV01 (Per basis point): -0.03
Gamma01 (Per %): 0.05
Vega (per %): 11.07
Graph Results
Vertical Axis:
Option price

Horizontal Axis:
Parallel Rate Shift

Minimum X value -1.00%


Maximum X value 1.00%

240
230
220
210
200
Option Price

190
180
170
160
150
140
130
120
110
-1.00% -0.50% 0.00% 0.50% 1.00%
Parallel Rate Shift