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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 html 07 you will have to tent" .1 n designed to s" 8/E kets" 7/E ons" 2/E from outlets such as ischtm/support_fr. 385727 Gamma (per $ per $): 0.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% Minimum X value Maximum X value 1.00% Price: 4.00 Put 40 30 20 10 0 1.00% 81.00 40.00% Option Data Option Type: Imply Volatility 70 60 50 Call Option Price Time to Exercise: Exercise Price: 0.12343907 Theta (per day): -0.00% 101.00% 200.00% 121.097343 21.00% 141.00% Volatility Page 3 .00% 10.07597514 Delta (per $): -0.00% 61.02962538 Vega (per %): 0.0098324 Rho (per %): -0.00% 181.00% 161.4167 50.00% 41. 016497 0.00 114.00% Quoted Strike Call Put 0 110.023744 0.00 Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %): 1.Bond Data Principal: Bond Life (Years): Coupon Rate (%): Quoted Bond Price (/100): Option Data Pricing Model: Imply Volatility 100 10 8.000% Graph Results Vertical Axis: Horizontal Axis: Minimum X value Maximum X value 110.162269 -3 -4 -5 -6 Strike Price .00 120.25 20.00 118.8245 Coupon Frequency: Term Structure Time (Yrs) Rate (%) 1 5.00 116.00 -1 DV01 -2 112.00 Strike Price (/100): Option Life (Years): Yield Volatility (%): 115.741372 0.000% 122.00 120.00 2. 00% Imply Volatility Floor Cap Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %): 185787.1588 697.038 .00 5.940% 5 6.940% 3 6.940% Imply Breakeven Rate Volatility (%): 20.940% 4 6.Swap / Cap Data Underlying Type: Settlement Frequency: Principal : Cap/Floor Start (Years): Cap/Floor End (Years): Cap/Floor Rate (%): Pricing Model: 10000000 0.73272 15157.940% 2 6.32 1365.00% Term Structure Time (Yrs) Rate (%) 1 6.00 8. 41 4.91 2.91 3.5 1 0.91 5.5 0 0.91 4.00 3 2.41 1.Graph Results Vertical Axis: Horizontal Axis: Minimum X value Maximum X value 0.5 2 Option Price 1.91 1.91 Cap/Floor End .41 3.41 2. 23 Default Rate Data Time (Yrs) Hazard Rate 1 2.02% 10 2.000% 4 5.0107928 0.000% 2 5.23 25 124.02% 5 2.0107928 0.23 5 124.0107928 0.0107928 0.0107928 0.02% 25 2.0107928 0.23 10 124. Compo 0.4 Imply Hazard Rates .000% Cont.0107928 Calculate Spreads 0.CDS Data Life(Yrs) Spread (bp) 1 124.0107928 0.000% 3 5.0107928 0 Recovery Rate Payment Frequency: 0.02% Term Structure Time (Yrs) Rate (%) 1 5.000% 5 5.0107928 0. Cont. Compounded Hazard Rates 5 10 15 Time (Yrs) 20 25 30 . 00% 6.4 125 30 Default Rate Data Time (Yrs) Hazard Rate 1 0.83% Term Structure Time (Yrs) 1 2 3 4 5 Imply Corr.83% 25 0.00% 12.00% 151.31 0.00% 68.00% 3.2360 Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront .26 0.1625 6.00 36.2500 22.00% 347.1500 9.789933 0. of Integration Points Payment Frequency: 5 0.00% 15.00% 9.00% 500.2500 12.89 0.CD0 Data Life (Years) Recovery Rate Number of Names No.608% 0.83% 5 0.00% Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr 3. Attachment Point (%) 0.83% 10 0. 4480 4.3032 4.112% 0.1270 4.500% Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront ExpLoss 52.500% 3.695% PVPmts 3.243% 14.500% 3.5572 Base Corr.500% 3.500% 3.730% 3.Term Structure Rate (%) 3.5169 4.966% 6. .