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    DG201

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    Prabhav Chauhan
    , ,. m

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    DG201

    Uploaded by

    Prabhav Chauhan
    75 views10 pages
    , ,. m

    Copyright

    © © All Rights Reserved

    Available Formats

    XLS, PDF, TXT or read online from Scribd

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    , ,. m

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    75 views10 pages

    DG201

    Uploaded by

    Prabhav Chauhan
    , ,. m

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 10

    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

    s" 8/E
    kets" 7/E

    ons" 2/E

    from outlets such as


    ischtm/support_fr.html

    07 you will have to


    tent"

    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.

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