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INTEGRANTES

GRANADOS AVALOS, RONALD EDUARDO


HUAMANI MUNIVE, DARIN DENNIS
ORTEGA RICRA, FERGIE ELEONOR
PINZAS ESPINOZA, EDUARDO ALONSO
Black-Scholes Worksheet for Foreign Currency Opt
(the User must change the yellow in

Inputs Outputs as a % of spot


Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric ### 2.02%
Strike price (same units as Spot) 3.6254
volatility (annualized) 7.06% Put Price ### 1.93%
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0715 0.0685 The units are the same as the ex
Delta 0.5123 -0.4789 Derivative of price wrt spot rate
Vega 0.0099 0.0099 Derivative of price wrt volatility
Gamma 2.2307 2.2307 Derivative of delta wrt spot rate
Theta 0.0004 0.0000 Derivative of price wrt time meas
Rho domestic 0.0087 -0.0088 Derivative of price wrt to the dom
Rho foreign -0.0091 0.0085 Derivativeof price wrt to the fore
Omega or Lambda 25.4092 -24.8044 Elasticity of option price wrt the s
Vanna 0.0004 0.0004 Derivative of delta wrt volatility

Required Expressions
Black-Scholes D1 0.0422
Black-Scholes D2 -0.0077
Cumulative Normal(D1) 0.5169
Cumulative Normal(D2) 0.4969
Normal PDF(D1) 0.3986
Normal PDF(D2) 0.3989
Cumulative Normal(-D1) 0.4831
Cumulative Normal(-D2) 0.5031
Foreign Currency Options
t change the yellow inputs)

as a % of spot
7.061%

ues associated with the specific amounts have the same units as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
s are the same as the exchange rate 143.07 137.01 Cost of position
ve of price wrt spot rate 1,024.70 -957.88 per 1 unit change in spot
ve of price wrt volatility 19.82 19.82 per change in Vol of 1% p.a
ve of delta wrt spot rate 4,461.39 4,461.39 per 1 unit change in spot
ve of price wrt time measured in days 0.81 -0.06 per 1 day increase
ve of price wrt to the domestic interest rate 17.46 -17.68 per change in i(DC) of 100
veof price wrt to the foreign interest rate -18.18 16.99 per change in i(FC) of 100 b
y of option price wrt the spot rate 36.35 -33.98 per 1% change in Spot
ve of delta wrt volatility 0.87 0.87 per change in Vol of 1% p.a
amount of underlying

Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt

Volatilidad Febrero 2002 Agosto 2002 4.06% Anualizada


Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Price
Strike price (same units as Spot) 3.6254
volatility (annualized) 5.74% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0585 0.0554
Delta 0.5121 -0.4792
Vega 0.0099 0.0099
Gamma 2.7432 2.7432
Theta 0.0004 -0.0001
Rho domestic 0.0088 -0.0088
Rho foreign -0.0091 0.0085
Omega or Lambda 31.0741 -30.6717
Vanna -0.0001 -0.0001

Required Expressions
Black-Scholes D1 0.0416
Black-Scholes D2 0.0010
Cumulative Normal(D1) 0.5166
Cumulative Normal(D2) 0.5004
Normal PDF(D1) 0.3986
Normal PDF(D2) 0.3989
Cumulative Normal(-D1) 0.4834
Cumulative Normal(-D2) 0.4996
choles Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK
5.74%
Outputs as a % of spot
0.0585 1.65%

0.0554 1.56%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

ut Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%

Ganancia Banco PPK 0.49%

he same units as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
the exchange rate 116.93 110.86 Cost of position
1,024.15 -958.43 per 1 unit change in spot
19.82 19.82 per change in Vol of 1% p.a
5,486.30 5,486.30 per 1 unit change in spot
e measured in days 0.74 -0.13 per 1 day increase
he domestic interest rate 17.58 -17.56 per change in i(DC) of 100
he foreign interest rate -18.17 17.00 per change in i(FC) of 100 b
rt the spot rate 36.33 -34.00 per 1% change in Spot
-0.13 -0.13 per change in Vol of 1% p.a
amount of underlying

Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt

Volatilidad Agosto 2001 Agosto 3.29% Ya esta anualizada


Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric
Strike price (same units as Spot) 3.6254
volatility (annualized) 3.29% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0342 0.0311
Delta 0.5149 -0.4764
Vega 0.0099 0.0099
Gamma 4.7858 4.7858
Theta 0.0003 -0.0001
Rho domestic 0.0090 -0.0086
Rho foreign -0.0091 0.0085
Omega or Lambda 53.4702 -54.2907
Vanna -0.0031 -0.0031

Required Expressions
Black-Scholes D1 0.0487
Black-Scholes D2 0.0255
Cumulative Normal(D1) 0.5194
Cumulative Normal(D2) 0.5102
Normal PDF(D1) 0.3985
Normal PDF(D2) 0.3988
Cumulative Normal(-D1) 0.4806
Cumulative Normal(-D2) 0.4898
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK
a anualizada
Outputs as a % of spot
0.0342 0.96%

0.0311 0.88%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%

Ganancia Banco PPK 1.18%

the same units as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
the exchange rate 68.33 62.26 Cost of position
1,029.82 -952.76 per 1 unit change in s
19.82 19.82 per change in Vol of 1
9,571.59 9,571.59 per 1 unit change in s
e measured in days 0.62 -0.25 per 1 day increase
he domestic interest rate 17.93 -17.21 per change in i(DC) o
he foreign interest rate -18.27 16.90 per change in i(FC) of
rt the spot rate 36.54 -33.80 per 1% change in Spo
-6.22 -6.22 per change in Vol of 1
amount of underlying

Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt

Volatilidad Agosto 2001 Agosto 4.67% Anualiz 2.34%


Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Price
Strike price (same units as Spot) 3.6254
volatility (annualized) 2.34% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0247 0.0217
Delta 0.5196 -0.4717
Vega 0.0099 0.0099
Gamma 6.7388 6.7388
Theta 0.0003 -0.0001
Rho domestic 0.0091 -0.0085
Rho foreign -0.0092 0.0084
Omega or Lambda 74.6166 -77.2306
Vanna -0.0076 -0.0076

Required Expressions
Black-Scholes D1 0.0605
Black-Scholes D2 0.0440
Cumulative Normal(D1) 0.5241
Cumulative Normal(D2) 0.5176
Normal PDF(D1) 0.3982
Normal PDF(D2) 0.3986
Cumulative Normal(-D1) 0.4759
Cumulative Normal(-D2) 0.4824
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK

Outputs as a % of spot
0.0247 0.70%

0.0217 0.61%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%

Ganancia Banco PPK 1.44%

the same units as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
the exchange rate 49.41 43.34 Cost of position
1,039.13 -943.44 per 1 unit change in spot
19.81 19.81 per change in Vol of 1% p.
13,477.63 13,477.63 per 1 unit change in spot
e measured in days 0.57 -0.29 per 1 day increase
he domestic interest rate 18.19 -16.95 per change in i(DC) of 100
he foreign interest rate -18.43 16.74 per change in i(FC) of 100
rt the spot rate 36.87 -33.47 per 1% change in Spot
-15.15 -15.15 per change in Vol of 1% p.
amount of underlying

Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt

Valuamos la Put larga del Zero cost collar bajo los parametros del banco PPK

Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric
Strike price (same units as Spot) 3.5891
volatility (annualized) 7.50% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0947 0.0565
Delta 0.5868 -0.4045
Vega 0.0097 0.0097
Gamma 2.0458 2.0458
Theta 0.0004 0.0000
Rho domestic 0.0099 -0.0075
Rho foreign -0.0104 0.0072
Omega or Lambda 21.9906 -25.4223
Vanna -0.0094 -0.0094

Required Expressions
Black-Scholes D1 0.2325
Black-Scholes D2 0.1795
Cumulative Normal(D1) 0.5919
Cumulative Normal(D2) 0.5712
Normal PDF(D1) 0.3883
Normal PDF(D2) 0.3926
Cumulative Normal(-D1) 0.4081
Cumulative Normal(-D2) 0.4288
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)

parametros del banco PPK

Outputs as a % of spot
0.0947 2.67%

0.0565 1.59%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest ra
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
its as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
189.33 112.90 Cost of position
1,173.57 -809.01 per 1 unit change in spot
19.31 19.31 per change in Vol of 1% p.a.
4,091.59 4,091.59 per 1 unit change in spot
0.88 0.02 per 1 day increase
19.87 -14.92 per change in i(DC) of 100 bp
-20.82 14.35 per change in i(FC) of 100 bp
41.64 -28.70 per 1% change in Spot
-18.75 -18.75 per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt

Valuamos la Call Corta del Zero cost collar bajo los parametros del banco PPK

Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric
Strike price (same units as Spot) 3.7342
volatility (annualized) 7.50% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50

Call Option Put Option


Option Prices 0.0351 0.1375
Delta 0.3007 -0.6906
Vega 0.0087 0.0087
Gamma 1.8410 1.8410
Theta 0.0003 -0.0001
Rho domestic 0.0052 -0.0129
Rho foreign -0.0053 0.0123
Omega or Lambda 30.4261 -17.8205
Vanna 0.0267 0.0267

Required Expressions
Black-Scholes D1 -0.5148
Black-Scholes D2 -0.5678
Cumulative Normal(D1) 0.3034
Cumulative Normal(D2) 0.2851
Normal PDF(D1) 0.3494
Normal PDF(D2) 0.3395
Cumulative Normal(-D1) 0.6966
Cumulative Normal(-D2) 0.7149
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)

parametros del banco PPK

Outputs as a % of spot
0.0351 0.99%

0.1375 3.88%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility

La Ganancia del banco PPK por esta operacin, proviene del difere
Zero Cost Collar
Prima
Call Corta 0.0350645032
Put Larga 0.0564502366
0.0214
he same units as the exchange rate.

Example for a specific amount


2,000 amount of underlying
Call Put
he exchange rate 70.13 274.97 Cost of position
601.43 -1,381.15 per 1 unit change in spot
17.38 17.38 per change in Vol of 1% p.a
3,682.08 3,682.08 per 1 unit change in spot
measured in days 0.61 -0.29 per 1 day increase
e domestic interest rate 10.32 -25.87 per change in i(DC) of 100
e foreign interest rate -10.67 24.50 per change in i(FC) of 100 b
the spot rate 21.34 -49.00 per 1% change in Spot
53.37 53.37 per change in Vol of 1% p.a

por esta operacin, proviene del diferencial de las primas


Cost Collar
Como % spot
0.99%
1.59%
0.60%
amount of underlying

Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.