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Профессиональный Документы
Культура Документы
Required Expressions
Black-Scholes D1 0.0422
Black-Scholes D2 -0.0077
Cumulative Normal(D1) 0.5169
Cumulative Normal(D2) 0.4969
Normal PDF(D1) 0.3986
Normal PDF(D2) 0.3989
Cumulative Normal(-D1) 0.4831
Cumulative Normal(-D2) 0.5031
Foreign Currency Options
t change the yellow inputs)
as a % of spot
7.061%
ues associated with the specific amounts have the same units as the exchange rate.
Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt
Required Expressions
Black-Scholes D1 0.0416
Black-Scholes D2 0.0010
Cumulative Normal(D1) 0.5166
Cumulative Normal(D2) 0.5004
Normal PDF(D1) 0.3986
Normal PDF(D2) 0.3989
Cumulative Normal(-D1) 0.4834
Cumulative Normal(-D2) 0.4996
choles Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK
5.74%
Outputs as a % of spot
0.0585 1.65%
0.0554 1.56%
The option prices and values associated with the specific amounts have the same units as the exchange rate.
ut Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%
Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt
Required Expressions
Black-Scholes D1 0.0487
Black-Scholes D2 0.0255
Cumulative Normal(D1) 0.5194
Cumulative Normal(D2) 0.5102
Normal PDF(D1) 0.3985
Normal PDF(D2) 0.3988
Cumulative Normal(-D1) 0.4806
Cumulative Normal(-D2) 0.4898
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK
a anualizada
Outputs as a % of spot
0.0342 0.96%
0.0311 0.88%
The option prices and values associated with the specific amounts have the same units as the exchange rate.
Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%
Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt
Required Expressions
Black-Scholes D1 0.0605
Black-Scholes D2 0.0440
Cumulative Normal(D1) 0.5241
Cumulative Normal(D2) 0.5176
Normal PDF(D1) 0.3982
Normal PDF(D2) 0.3986
Cumulative Normal(-D1) 0.4759
Cumulative Normal(-D2) 0.4824
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Tasa Banco PPK
Outputs as a % of spot
0.0247 0.70%
0.0217 0.61%
The option prices and values associated with the specific amounts have the same units as the exchange rate.
Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
Tasa Banco PPK 2.14%
Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.
Black-Scholes Worksheet for Foreign Currency Opt
Valuamos la Put larga del Zero cost collar bajo los parametros del banco PPK
Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric
Strike price (same units as Spot) 3.5891
volatility (annualized) 7.50% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50
Required Expressions
Black-Scholes D1 0.2325
Black-Scholes D2 0.1795
Cumulative Normal(D1) 0.5919
Cumulative Normal(D2) 0.5712
Normal PDF(D1) 0.3883
Normal PDF(D2) 0.3926
Cumulative Normal(-D1) 0.4081
Cumulative Normal(-D2) 0.4288
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Outputs as a % of spot
0.0947 2.67%
0.0565 1.59%
The option prices and values associated with the specific amounts have the same units as the exchange rate.
Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest ra
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
its as the exchange rate.
Valuamos la Call Corta del Zero cost collar bajo los parametros del banco PPK
Inputs
Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric
Strike price (same units as Spot) 3.7342
volatility (annualized) 7.50% Put Price
domestic interest rate (annualiz 6.25%
foreign interest rate (annualized 1.75% The option prices and values associated with the s
time to maturity in days 180
time to maturity in years 0.50
Required Expressions
Black-Scholes D1 -0.5148
Black-Scholes D2 -0.5678
Cumulative Normal(D1) 0.3034
Cumulative Normal(D2) 0.2851
Normal PDF(D1) 0.3494
Normal PDF(D2) 0.3395
Cumulative Normal(-D1) 0.6966
Cumulative Normal(-D2) 0.7149
-Scholes Worksheet for Foreign Currency Options
(the User must change the yellow inputs)
Outputs as a % of spot
0.0351 0.99%
0.1375 3.88%
The option prices and values associated with the specific amounts have the same units as the exchange rate.
Put Option
The units are the same as the exchange rate
Derivative of price wrt spot rate
Derivative of price wrt volatility
Derivative of delta wrt spot rate
Derivative of price wrt time measured in days
Derivative of price wrt to the domestic interest rate
Derivativeof price wrt to the foreign interest rate
Elasticity of option price wrt the spot rate
Derivative of delta wrt volatility
La Ganancia del banco PPK por esta operacin, proviene del difere
Zero Cost Collar
Prima
Call Corta 0.0350645032
Put Larga 0.0564502366
0.0214
he same units as the exchange rate.
Cost of position
per 1 unit change in spot
per change in Vol of 1% p.a.
per 1 unit change in spot
per 1 day increase
per change in i(DC) of 100 bp
per change in i(FC) of 100 bp
per 1% change in Spot
per change in Vol of 1% p.a.