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DerivaGem - Version 1.

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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


and
"Fundamentals of Futures and Options Markets" 6/E
Both 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.
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Equity_FX_Index_Futures_Options

Underlying Data Graph Results


Underlying Type: Time Dividend Vertical Axis:
Equity Option price

Horizontal Axis:
Stock Price: 50.00 Time to Exercise
Volatility (% per year): 40.00%
Risk-Free Rate (% per year): 10.00% Minimum X value 0.01
Maximum X value 0.42

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Option Data
Option Type: 4.5

Binomial: American Imply Volatility 4

Time to Expiration: 0.4167 ● Put 3.5


Exercise Price: 50.00
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Option Price
Tree Steps: 5
● Call
2.5

Price: 4.49 1.5


Delta (per $): -0.41 1
Gamma (per $ per $): 0.03
Vega (per %): 0.13 0.5
Theta (per day): -0.01 0
Rho (per %): -0.08 0.01 0.06 0.11 0.16 0.21 0.26 0.31 0.36 0.41
Time to Expiry

Page 3
Bond Data Term Structure
Time (Yrs) Rate (%)
Principal: 100 Coupon Frequency: 0.5 4.500%
Bond Life (Years): 5 Annual 1 5.000%
Coupon Rate (%): 6.000% 2 5.500%
Quoted Bond Price (/100): 98.19 3 5.800%
4 6.100%
Option Data 5 6.300%
Pricing Model:
Normal - Analytic European Imply Volatility

Strike Price (/100): 100.00 ✘ Quoted Strike


Option Life (Years): 1.00
Short-Rate Volatility (%): 1.00% Call ● Put
Reversion Rate (%): 5.00%

Price: 2.98
DV01 (Per basis point): 0.03
Gamma01 (Per %): 0.01
Vega (per %): 1.01
Graph Results
Vertical Axis:
DV01

Horizontal Axis:
Parallel Rate Shift

Minimum X value -1.00%


Maximum X value 1.00%

0.04

0.03

0.03

0.02
DV01

0.02

0.01

0.01

0
-1.00% -0.50% 0.00% 0.50% 1.00%
Parallel Rate Shift
Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Swap Option 0.01 1.845%
Settlement Frequency: 0.55 1.820%
Principal : 100 Quarterly 0.8 1.864%
Swap Start (Years): 1.00 1.05 1.952%
Swap End (Years): 5.00 1.3 2.073%
Swap Rate (%): 4.18% Imply Breakeven Rate 1.55 2.217%
2.05 2.496%
Pricing Model: 2.55 2.750%
Normal - European 3.06 2.995%
3.54 3.203%
Short-Rate Volatility (%): 1.50% Imply Volatility 3.81 3.314%
Reversion Rate (%): 4.10% 4.06 3.414%
Rec. Fixed 4.52 3.576%
5.02 3.752%
● Pay Fixed
5.52 3.899%

Price: 1.97
DV01 (Per basis point): 0.02
Gamma01 (Per %): 0.01
Vega (per %): 1.31
Graph Results
Vertical Axis:
DV01

Horizontal Axis:
Swap / Cap Rate

Minimum X value 1.18%


Maximum X value 7.18%

0.04

0.03

0.03

0.02
DV01

0.02

0.01

0.01

0
1.18% 2.18% 3.18% 4.18% 5.18% 6.18% 7.18%
Swap Rate