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

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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

1.00% 200.00%

Option Data Option Type:

Imply Volatility

70 60 50

Call

Option Price

Time to Exercise: Exercise Price:

0.4167 50.00

Put

40

30
20 10 0 1.00%

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

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): Option Data Pricing Model:
Imply Volatility

100 10 8.000% 122.8245

Coupon Frequency:

Term Structure Time (Yrs) Rate (%) 1 5.000%

Graph Results Vertical Axis:

Horizontal Axis:

Minimum X value Maximum X value

110.00 120.00

Strike Price (/100): Option Life (Years): Yield Volatility (%):

115.00 2.25 20.00%

Quoted Strike
Call Put 0 110.00 -1 DV01 -2

112.00

114.00

116.00

118.00

120.00

Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %):

1.741372 0.023744 0.016497 0.162269

-3
-4

-5
-6 Strike Price

Swap / Cap Data Underlying Type: Settlement Frequency: Principal : Cap/Floor Start (Years): Cap/Floor End (Years): Cap/Floor Rate (%): Pricing Model: 10000000 0.00 5.00 8.00%

Term Structure Time (Yrs) Rate (%) 1 6.940% 2 6.940% 3 6.940% 4 6.940% 5 6.940%

Imply Breakeven Rate

Volatility (%):

20.00%

Imply Volatility Floor Cap

Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %):

185787.32 1365.1588 697.73272 15157.038

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

3.41

3.91

4.41

4.91

Cap/Floor End

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

0.0107928 0

Recovery Rate Payment Frequency:

0.4

Imply Hazard Rates

Cont. Compounded Hazard Rates

10

15 Time (Yrs)

20

25

30

CD0 Data Life (Years) Recovery Rate Number of Names No. of Integration Points Payment Frequency: 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

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.