DerivaGem - Version 2.

00
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" 7/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"
This software was developed for educational purposes by A-J Financial Systems, Inc.

n designed to

" 7/E
kets" 7/E

ons" 2/E

rom outlets such as

schtm/support_fr.html

07 you will have to

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ystems, Inc.

Equity_FX_Index_Futures_Options

Underlying Data
Underlying Type:

Time

Graph Results
Vertical Axis:

Dividend

Equity

Option price

Horizontal Axis:
Stock Price:
Volatility (% per year):
Risk-Free Rate (% per year):

50.00
40.00%
10.00%

Volatility

Minimum X value
Maximum X value

Option Data
Imply Volatility

Binomial: American

0.4167
50.00
5

Put

Call

Option Price

7.00E+01

Option Type:

Time to Expiration:
Exercise Price:
Tree Steps:

1.00%
200.00%

6.00E+01
5.00E+01
4.00E+01
3.00E+01

Price: 4.48845853
Delta (per $): -0.4145299
Gamma (per $ per $): 0.03414557
Vega (per %): 0.1312765
Theta (per day): -0.0117915
Rho (per %): -0.0840234

2.00E+01
1.00E+01
0.00E+00
0.01

Page 3

0.21

0.41

0.61

0.81

Volatility

1.01

1.21

1.41

1.61

1.81

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:
Vega

Semi-Annual

Horizontal Axis:
Parallel Rate Shift

Option Data
Pricing Model:

Minimum X value
Maximum X value
Imply Volatility

Black - European

Strike Price (/100):

Option Life (Years):
Yield Volatility (%):

-1.00%
1.00%

115.00
2.25
20.00%

Quoted Strike
Call

Put
1.4
Ve ga

1.2

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

1
0.8

1.741372
0.023744
0.016497
0.162269

0.6
0.4
0.2

-0.01

0
-0.005 -5.20417042793042E-018 0.005
Parallel Rate Shift

0.01

Swap / Cap Data

Underlying Type:
Swap Option

Principal :
Swap Start (Years):
Swap End (Years):
Swap Rate (%):

Settlement Frequency:
100
5.00
8.00
6.20%

Semi-Annual

Imply Breakeven Rate

Pricing Model:
Black - European

Volatility (%):

20.00%

Imply Volatility
Rec. Fixed

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

2.0709809
0.0104403
0.001631
0.106905

Pay Fixed

Term Structure
Time (Yrs) Rate (%)
1
6.000%
2
6.000%
3
6.000%
4
6.000%
5
6.000%

Graph Results
Vertical Axis:
Option price

Horizontal Axis:
Time to End

Minimum X value
Maximum X value

0.91
5.00

Option Price

3.00E+00

2.50E+00

2.00E+00

1.50E+00

1.00E+00

5.00E-01

0.00E+00
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
100.00
5
150.00
10
175.00
25
200.00

Default Rate Data

Time (Yrs) Hazard Rate
1
0.01660444
5
0.02728423
10
0.034677114
25
0.0393967

Term Structure
Time (Yrs) Rate (%)
1
3.000%
2
3.000%
3
3.000%
4
3.000%
5
3.000%

Cont. Comp

0.045

0.04
0.035
0.03
0.025
0.02
0.015
0.01
0.005

Recovery Rate
Payment Frequency:

0.4
Quarterly

Calculate Spreads

Imply Hazard Rates

0
0

Cont. Compounded Hazard Rates

.045

0.04

.035

0.03

.025

0.02

.015

0.01

.005
0
0

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
10

Term Structure
Time (Yrs)
1
2
3
4
5

Quarterly

Attachment Point (%)

0.00%
3.00%
6.00%
9.00%
12.00%

Default Rate Data

Time (Yrs) Hazard Rate
1
0.0038
5
0.0038
10
0.0038
25
0.0038

Imply Corr.

Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr

3.00%
500.00
10.340%
0.1625
6.00%
41.59
0.0803
9.00%
11.95
0.1418
12.00%
5.60
0.1855
22.00%
2.00
0.2360

Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront

Term Structure
Rate (%)
5.000%
5.000%
5.000%
5.000%
5.000%

culate Upfront

culate Upfront

culate Upfront

culate Upfront

culate Upfront

ExpLoss
28.700%
1.819%
0.525%
0.245%
0.088%

PVPmts
3.6718
4.3737
4.3898
4.3932
4.3952

Base Corr.
0.1625
0.2621
0.3323
0.3925
0.5807