Tree Display
At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 52
Discount factor per step = 0.9512
Time step, dt = 1.0000 years, 365.00 days
Growth factor per step, a = 1.0513
Probability of up move, p = 0.5097
Up step size, u = 1.3499
Down step size, d = 0.7408
91.10594
0
67.49294
0.932698
50 50
7.428402 2
37.04091
14.95909
27.44058
24.55942
Node Time:
0.0000 1.0000 2.0000
Page 1
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
[Link] or directly from the publisher at [Link]
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
1
n designed to
" 8/E
kets" 7/E
ons" 2/E
rom outlets such as
schtm/support_fr.html
07 you will have to
ent"
Equity_FX_Index_Futures_Options
Underlying Data Graph Results
Underlying Type: Time Dividend Vertical Axis:
Equity Option price
Horizontal Axis:
Stock Price: 50.00 Volatility
Volatility (% per year): 30.00%
Risk-Free Rate (% per year): 5.00% Minimum X value 1.00%
Maximum X value 200.00%
Option Data 70
Option Type:
Option Price
Binomial: American Imply Volatility 60
Time to Expiration: 2.0000 Put 50
Exercise Price: 52.00
Tree Steps: 2 Call
40
30
Price: 7.4284019 20
Delta (per $): -0.4606061
Gamma (per $ per $): 0.0298858 10
Vega (per %): 0.24842284
Theta (per day): -0.0074362 0
Rho (per %): -0.3238956 1.00% 21.00% 41.00% 61.00% 81.00% 101.00% 121.00% 141.00% 161.00% 181.00%
Volatility
Page 4
Bond Data Term Structure Graph Results
Time (Yrs) Rate (%) Vertical Axis:
Principal: 100 Coupon Frequency: 1 5.000% DV01
Bond Life (Years): 10 Semi-Annual
Coupon Rate (%): 8.000% Horizontal Axis:
Quoted Bond Price (/100): 122.8245 Strike price
Option Data Minimum X value 110.00
Pricing Model: Maximum X value 120.00
Black - European Imply Volatility
Strike Price (/100): 115.00 Quoted Strike
Option Life (Years): 2.25
Yield Volatility (%): 20.00% Call Put
0
110.00 112.00 114.00 116.00 118.00 120.00
-1
DV01
-2
Price: 1.741372
-3
DV01 (Per basis point): 0.023744
Gamma01 (Per %): 0.016497
-4
Vega (per %): 0.162269
-5
-6
Strike Price
Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Cap / Floor 1 6.940%
Settlement Frequency: 2 6.940%
Principal : 10000000 Quarterly
3 6.940%
Cap/Floor Start (Years): 0.00 4 6.940%
Cap/Floor End (Years): 5.00 5 6.940%
Cap/Floor Rate (%): 8.00% Imply Breakeven Rate
Pricing Model:
Black - European
Volatility (%): 20.00% Imply Volatility
Floor
Cap
Price: 185787.32
DV01 (Per basis point): 1365.1588
Gamma01 (Per %): 697.73272
Vega (per %): 15157.038
Graph Results
Vertical Axis:
Option price
Horizontal Axis:
Time to End
Minimum X value 0.91
Maximum X value 5.00
3
Option Price
2.5
1.5
0.5
0
0.91 1.41 1.91 2.41 2.91 3.41 3.91 4.41 4.91
Cap/Floor End
CDS Data Default Rate Data Term Structure
Life(Yrs) Spread (bp) Time (Yrs) Hazard Rate Time (Yrs) Rate (%)
1 124.23 1 2.02% 1 5.000% Cont. Compo
5 124.23 5 2.02% 2 5.000%
10 124.23 10 2.02% 3 5.000% 0.010792845672
25 124.23 25 2.02% 4 5.000%
5 5.000% 0.01079284567
0.010792845668
0.010792845666
0.010792845664
0.010792845662
0.01079284566
Calculate Spreads
Recovery Rate 0.4 Imply Hazard Rates
0.010792845658
0 5
Payment Frequency: Annual
Cont. Compounded Hazard Rates
2845672
9284567
2845668
2845666
2845664
2845662
9284566
2845658
0 5 10 15 20 25 30
Time (Yrs)
CD0 Data Default Rate Data Term Structure
Time (Yrs) Hazard Rate Time (Yrs)
Life (Years) 5 1 0.83% 1
Recovery Rate 0.4 5 0.83% 2
Number of Names 125 10 0.83% 3
No. of Integration Points 30 25 0.83% 4
5
Payment Frequency: Quarterly
Imply Corr.
Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
0.00% 3.00% 500.00 36.608% 0.1625 ✘ Calculate Upfront
3.00% 6.00% 347.789933 0.1500 Calculate Upfront
6.00% 9.00% 151.31 0.2500 Calculate Upfront
9.00% 12.00% 68.89 0.2500 Calculate Upfront
12.00% 22.00% 15.26 0.2360 Calculate Upfront
Term Structure
Rate (%)
3.500%
3.500%
3.500%
3.500%
3.500%
ExpLoss PVPmts Base Corr.
culate Upfront 52.243% 3.1270
culate Upfront 14.966% 4.3032
culate Upfront 6.730% 4.4480
culate Upfront 3.112% 4.5169
culate Upfront 0.695% 4.5572
