Student Name: Student Number:

No. Options
1,000,000

Week Stock Price Time to Mat d1 d2 Option Price Delta

0 49.00
1 48.12
2 47.37
3 50.25
4 51.75
5 53.12
6 53.00
7 51.87
8 51.38
9 53.00
10 49.88
11 48.50
12 49.88
13 50.37
14 52.13
15 51.88
16 52.87
17 54.87
18 54.62
19 55.87
20 57.25
 r σ
0.05 0.2

Shares Shares Purchased Cost of Share Purchased Repayment Shares

P/L
K
49

Options Premium Net

Student Name: Student Number:

Date ASX200 Return Variance Likelihood Volatility ω

0.000001347
8/19/2013 5112.5
8/20/2013 5078.2
8/21/2013 5100
8/22/2013 5075.7
8/23/2013 5123.4
8/26/2013 5135.4
8/27/2013 5141.2
8/28/2013 5087.2
8/29/2013 5092.4
8/30/2013 5135
9/2/2013 5188.3
9/3/2013 5196.6
9/4/2013 5161.6
9/5/2013 5142.5
9/6/2013 5145
9/9/2013 5181.5
9/10/2013 5201.2
9/11/2013 5234.4
9/12/2013 5242.5
9/13/2013 5219.6
9/16/2013 5248
9/17/2013 5251.2
9/18/2013 5238.1
9/19/2013 5295.6
9/20/2013 5276.7
9/23/2013 5252.5
9/24/2013 5234.2
9/25/2013 5275.9
9/26/2013 5294.5
9/27/2013 5307.1
9/30/2013 5218.9
10/1/2013 5206.8
10/2/2013 5215.6
10/3/2013 5234.9
10/4/2013 5208
10/6/2013 5161.1
10/7/2013 5149.4
10/8/2013 5153
10/9/2013 5147.1
10/10/2013 5230.9
10/13/2013 5207.9
10/14/2013 5259.1
10/15/2013 5262.9
10/16/2013 5283.1
10/17/2013 5321.5
10/20/2013 5351.8
10/21/2013 5373.1
10/22/2013 5356.1
10/23/2013 5372.9
10/24/2013 5386.3
10/27/2013 5441.4
10/28/2013 5415.5
10/29/2013 5430.9
10/30/2013 5425.5
10/31/2013 5411.1
11/3/2013 5390.5
11/4/2013 5432
11/5/2013 5433.8
11/6/2013 5422
11/7/2013 5400.7
11/10/2013 5387.1
11/11/2013 5393.1
11/12/2013 5319.2
11/13/2013 5355.4
11/14/2013 5401.7
11/17/2013 5384.7
11/18/2013 5352.9
11/19/2013 5307.7
11/20/2013 5288.3
11/21/2013 5335.9
11/24/2013 5352.8
11/25/2013 5357
11/26/2013 5332.9
11/27/2013 5334.3
11/28/2013 5320.1
12/1/2013 5279.5
12/2/2013 5256.1
12/3/2013 5273.8
12/4/2013 5198
12/5/2013 5186
12/8/2013 5144.4
12/9/2013 5143.6
12/10/2013 5104.3
12/11/2013 5062.5
12/12/2013 5098.4
12/15/2013 5089.6
12/16/2013 5103.2
12/17/2013 5096.1
12/18/2013 5202.2
12/19/2013 5265.2
12/22/2013 5291.9
12/23/2013 5327.2
12/26/2013 5324.1
12/29/2013 5356.8
12/30/2013 5352.2
1/1/2014 5367.9
1/2/2014 5350.1
1/5/2014 5324.9
1/6/2014 5317
1/7/2014 5316
1/8/2014 5324.4
1/9/2014 5312.4
1/12/2014 5292.1
1/13/2014 5212
1/14/2014 5245.4
1/15/2014 5309.1
1/16/2014 5305.9
1/19/2014 5295
1/20/2014 5331.5
1/21/2014 5319.8
1/22/2014 5263
1/23/2014 5240.9
1/27/2014 5175.1
1/28/2014 5229
1/29/2014 5188.1
1/30/2014 5190
2/2/2014 5187.9
2/3/2014 5097.1
2/4/2014 5070.3
2/5/2014 5131.4
2/6/2014 5166.5
2/9/2014 5222.1
2/10/2014 5254.5
2/11/2014 5310.1
2/12/2014 5308.1
2/13/2014 5356.3
2/16/2014 5382.9
2/17/2014 5392.8
2/18/2014 5408.2
2/19/2014 5412.3
2/20/2014 5438.7
2/23/2014 5440.2
2/24/2014 5433.8
2/25/2014 5437
2/26/2014 5411.4
2/27/2014 5404.8
3/2/2014 5384.3
3/3/2014 5400.2
3/4/2014 5446.2
3/5/2014 5445.9
3/6/2014 5462.3
3/9/2014 5411.5
3/10/2014 5413.8
3/11/2014 5384.2
3/12/2014 5412.6
3/13/2014 5329.4
3/16/2014 5317.6
3/17/2014 5344.6
3/18/2014 5355.6
3/19/2014 5294
3/20/2014 5338.1
3/23/2014 5346.9
3/24/2014 5336.6
3/25/2014 5376.8
3/26/2014 5350.1
3/27/2014 5366.9
3/30/2014 5394.8
3/31/2014 5389.2
4/1/2014 5403.3
4/2/2014 5409.9
4/3/2014 5422.8
4/7/2014 5413.7
4/8/2014 5410.6
4/9/2014 5463.8
4/10/2014 5480.8
4/11/2014 5428.6
4/14/2014 5358.9
4/15/2014 5388.2
4/16/2014 5420.3
4/17/2014 5454.2
4/22/2014 5479.3
4/23/2014 5517.8
4/24/2014 5531
4/28/2014 5536.1
4/29/2014 5486.6
4/30/2014 5489.1
5/1/2014 5448.8
5/2/2014 5458.1
5/5/2014 5462.2
5/6/2014 5481.4
5/7/2014 5435.8
5/8/2014 5476.8
5/9/2014 5460.8
5/12/2014 5448.4
5/13/2014 5498.2
5/14/2014 5496.5
5/15/2014 5510.8
5/16/2014 5479
5/19/2014 5409
5/20/2014 5420.4
5/21/2014 5424.6
5/22/2014 5479.9
5/23/2014 5492.8
5/26/2014 5512.8
5/27/2014 5511.7
5/28/2014 5527.2
5/29/2014 5519.5
5/30/2014 5492.5
6/2/2014 5518.5
6/3/2014 5479.7
6/4/2014 5444.8
6/5/2014 5436.9
6/6/2014 5464
6/10/2014 5469.7
6/11/2014 5454
6/12/2014 5428.8
6/13/2014 5405.1
6/16/2014 5412.3
6/17/2014 5400.7
6/18/2014 5382.7
6/19/2014 5468.2
6/20/2014 5419.5
6/23/2014 5453.3
6/24/2014 5432.8
6/25/2014 5402
6/26/2014 5464.3
6/27/2014 5445.1
6/30/2014 5395.7
7/1/2014 5375.9
7/2/2014 5455.4
 7/3/2014 5491.2
7/4/2014 5525
7/7/2014 5518.9
7/8/2014 5510.9
7/9/2014 5452.5
7/10/2014 5464.4
7/11/2014 5486.8
7/14/2014 5511.4
7/15/2014 5511.3
7/16/2014 5518.9
7/17/2014 5522.4
7/18/2014 5531.7
7/21/2014 5539.9
7/22/2014 5543.3
7/23/2014 5576.7
7/24/2014 5587.8
7/25/2014 5583.5
7/28/2014 5577.4
7/29/2014 5588.4
7/30/2014 5622.9
7/31/2014 5632.9
8/1/2014 5556.4
8/4/2014 5540.9
8/5/2014 5518.6
8/6/2014 5512
8/7/2014 5509
8/8/2014 5435.3
8/11/2014 5457
8/12/2014 5530.3
8/13/2014 5514.7
8/14/2014 5548.5
8/15/2014 5566.5
8/18/2014 5587.1
8/19/2014 5623.8
8/20/2014 5634.6
8/21/2014 5638.9
8/22/2014 5645.6
8/25/2014 5634.9
8/26/2014 5637.6
8/27/2014 5651.2
8/28/2014 5624.4
8/29/2014 5625.9
9/1/2014 5629.8
9/2/2014 5658.5
9/3/2014 5656.1
 9/4/2014 5631.3
9/5/2014 5598.7
9/8/2014 5577
9/9/2014 5607.9
9/10/2014 5574.3
9/11/2014 5546.1
9/12/2014 5531.1
9/15/2014 5473.5
9/16/2014 5445.4
9/17/2014 5407.3
9/18/2014 5415.8
9/19/2014 5433.1
9/22/2014 5363
9/23/2014 5415.7
9/24/2014 5375.8
9/25/2014 5382.2
9/26/2014 5313.4
9/29/2014 5264.2
9/30/2014 5292.8
10/1/2014 5334.1
10/2/2014 5297.7
10/3/2014 5318.2
10/5/2014 5292.9
10/6/2014 5284.2
10/7/2014 5241.3
10/8/2014 5296.7
10/9/2014 5188.3
10/12/2014 5155.5
10/13/2014 5207.4
10/14/2014 5245.6
10/15/2014 5254.9
10/16/2014 5271.7
10/19/2014 5319.4
10/20/2014 5325
10/21/2014 5385.9
10/22/2014 5383.1
10/23/2014 5412.2
10/26/2014 5459
10/27/2014 5452.6
10/28/2014 5447.7
10/29/2014 5476.2
10/30/2014 5526.6
11/2/2014 5506.9
11/3/2014 5519.9
11/4/2014 5517.9
 11/5/2014 5506.1
11/6/2014 5549.1
11/9/2014 5524
11/10/2014 5517.1
11/11/2014 5463.1
11/12/2014 5442.7
11/13/2014 5454.3
11/16/2014 5412.5
11/17/2014 5399.7
11/18/2014 5368.8
11/19/2014 5316.2
11/20/2014 5304.3
11/23/2014 5361.8
11/24/2014 5334.8
11/25/2014 5396.2
11/26/2014 5332.4
11/27/2014 5313
11/30/2014 5207.7
12/1/2014 5281.3
12/2/2014 5321.8
12/3/2014 5368.8
12/4/2014 5335.3
12/7/2014 5338.6
12/8/2014 5282.7
12/9/2014 5259
12/10/2014 5231
12/11/2014 5219.6
12/14/2014 5186.1
12/15/2014 5152.3
12/16/2014 5161.9
12/17/2014 5210.8
12/18/2014 5338.6
12/21/2014 5442
12/22/2014 5380.9
12/23/2014 5394.5
12/28/2014 5473.8
12/29/2014 5416.6
12/30/2014 5411
1/1/2015 5435.9
1/4/2015 5450.3
1/5/2015 5364.8
1/6/2015 5353.6
1/7/2015 5381.5
1/8/2015 5465.6
1/11/2015 5422.7
1/12/2015 5404.7
1/13/2015 5353.6
1/14/2015 5331.4
1/15/2015 5299.2
1/18/2015 5309.1
1/19/2015 5307.7
1/20/2015 5393.4
1/21/2015 5419.9
1/22/2015 5501.8
1/26/2015 5547.2
1/27/2015 5552.8
1/28/2015 5569.5
1/29/2015 5588.3
2/1/2015 5625.3
2/2/2015 5707.4
2/3/2015 5777.3
2/4/2015 5811
2/5/2015 5820.2
2/8/2015 5814.9
2/9/2015 5800.6
2/10/2015 5769.1
2/11/2015 5743.6
2/12/2015 5877.5
2/15/2015 5888.7
2/16/2015 5858.2
2/17/2015 5915.7
2/18/2015 5904.2
2/19/2015 5881.5
2/22/2015 5908
2/23/2015 5927
2/24/2015 5944.9
2/25/2015 5908.5
2/26/2015 5928.8
3/1/2015 5958.9
3/2/2015 5933.9
3/3/2015 5901.6
3/4/2015 5904.2
3/5/2015 5898.9
3/8/2015 5821.3
3/9/2015 5824.2
3/10/2015 5793.2
3/11/2015 5850.2
3/12/2015 5814.5
3/15/2015 5797.7
3/16/2015 5842.1
3/17/2015 5842.3
3/18/2015 5950.8
3/19/2015 5975.5
3/22/2015 5956.1
3/23/2015 5969.1
3/24/2015 5973.3
3/25/2015 5879.1
3/26/2015 5919.9
3/29/2015 5846.1
3/30/2015 5891.5
3/31/2015 5860.8
4/1/2015 5898.6
4/7/2015 5926
4/8/2015 5960.7
4/9/2015 5932.2
4/10/2015 5968.4
4/13/2015 5960.3
4/14/2015 5946.6
4/15/2015 5908.4
4/16/2015 5947.5
4/17/2015 5877.9
4/20/2015 5833.1
4/21/2015 5872.3
4/22/2015 5837.5
4/23/2015 5844.8
4/24/2015 5933.3
4/27/2015 5982.7
4/28/2015 5948.5
4/29/2015 5838.6
4/30/2015 5790
5/1/2015 5814.4
5/4/2015 5827.5
5/5/2015 5826.5
5/6/2015 5692.2
5/7/2015 5645.7
5/8/2015 5634.6
5/11/2015 5625.2
5/12/2015 5674.7
5/13/2015 5715.1
5/14/2015 5696.6
5/15/2015 5735.5
5/18/2015 5659.2
5/19/2015 5615.5
5/20/2015 5610.3
5/21/2015 5662.3
5/22/2015 5664.7
5/25/2015 5721.5
5/26/2015 5773.4
5/27/2015 5725.3
5/28/2015 5713.1
5/29/2015 5777.2
6/1/2015 5735.4
6/2/2015 5636
6/3/2015 5583.6
6/4/2015 5504.3
6/5/2015 5498.5
6/9/2015 5471.3
6/10/2015 5478.6
6/11/2015 5556.7
6/12/2015 5545.3
6/15/2015 5538.8
6/16/2015 5535.8
6/17/2015 5595.4
6/18/2015 5524.9
6/19/2015 5597
6/22/2015 5610.2
6/23/2015 5684.3
6/24/2015 5686.8
6/25/2015 5632.7
6/26/2015 5545.9
6/29/2015 5422.5
6/30/2015 5459
7/1/2015 5515.7
7/2/2015 5599.8
7/3/2015 5538.3
7/6/2015 5475
7/7/2015 5581.4
7/8/2015 5469.5
7/9/2015 5471
7/10/2015 5492
7/13/2015 5473.2
7/14/2015 5577.4
7/15/2015 5636.2
7/16/2015 5669.6
7/17/2015 5670.1
7/20/2015 5686.9
7/21/2015 5706.7
7/22/2015 5614.6
7/23/2015 5590.3
7/24/2015 5566.1
7/27/2015 5589.9
7/28/2015 5584.7
7/29/2015 5624.2
7/30/2015 5669.5
7/31/2015 5699.2
8/3/2015 5679.3
8/4/2015 5697.9
8/5/2015 5674
8/6/2015 5610.1
8/7/2015 5474.8
8/10/2015 5509.2
8/11/2015 5473.2
8/12/2015 5382.1
8/13/2015 5387.9
8/14/2015 5356.5
8/17/2015 5367.7
8/18/2015 5303.1
8/19/2015 5380.2
8/20/2015 5288.6
8/21/2015 5214.6
8/24/2015 5001.3
8/25/2015 5137.3
8/26/2015 5172.8
8/27/2015 5233.3
8/28/2015 5263.6
8/31/2015 5207
9/1/2015 5096.4
9/2/2015 5101.5
9/3/2015 5027.8
9/4/2015 5040.6
9/7/2015 5030.4
9/8/2015 5115.2
9/9/2015 5221.1
9/10/2015 5095
9/11/2015 5071.1
9/14/2015 5096.5
9/15/2015 5018.4
9/16/2015 5098.9
9/17/2015 5146.8
9/18/2015 5170.5
9/21/2015 5066.2
9/22/2015 5103.6
9/23/2015 4998.1
9/24/2015 5071.7
9/25/2015 5042.1
 9/28/2015 5113.5
9/29/2015 4918.4
9/30/2015 5021.6
10/1/2015 5112.1
10/2/2015 5052
10/4/2015 5150.5
10/5/2015 5167.4
10/6/2015 5197.9
10/7/2015 5210.4
10/8/2015 5279.7
10/11/2015 5232.9
10/12/2015 5202.9
10/13/2015 5197.3
10/14/2015 5230
10/15/2015 5268.2
10/18/2015 5269.7
10/19/2015 5235.6
10/20/2015 5248.3
10/21/2015 5263.8
10/22/2015 5351.6
10/25/2015 5348
10/26/2015 5346.2
10/27/2015 5335.2
10/28/2015 5266.9
10/29/2015 5239.4
11/1/2015 5165.8
11/2/2015 5239.2
11/3/2015 5242.3
11/4/2015 5193
11/5/2015 5215
11/8/2015 5119.5
11/9/2015 5099.2
11/10/2015 5122.6
11/11/2015 5125.7
11/12/2015 5051.3
11/15/2015 5003.8
11/16/2015 5118.2
11/17/2015 5133.1
11/18/2015 5242.6
11/19/2015 5256.1
11/22/2015 5276.4
11/23/2015 5226.4
11/24/2015 5193.7
11/25/2015 5210.7
11/26/2015 5202.6
11/29/2015 5166.5
11/30/2015 5266.1
12/1/2015 5258.3
12/2/2015 5227.7
12/3/2015 5151.6
12/6/2015 5155.7
12/7/2015 5108.6
12/8/2015 5080.5
12/9/2015 5037.7
12/10/2015 5029.5
12/13/2015 4928.6
12/14/2015 4909.6
12/15/2015 5028.4
12/16/2015 5102
12/17/2015 5106.7
12/20/2015 5109
12/21/2015 5116.7
12/22/2015 5141.8
12/23/2015 5207.6
12/28/2015 5267.3
12/29/2015 5319.9
12/30/2015 5295.9
1/3/2016 5270.5
1/4/2016 5184.4
1/5/2016 5123.1
1/6/2016 5010.3
1/7/2016 4990.8
1/10/2016 4932.2
1/11/2016 4925.1
1/12/2016 4987.4
1/13/2016 4909.4
1/14/2016 4892.8
1/17/2016 4858.7
1/18/2016 4903.1
1/19/2016 4841.5
1/20/2016 4864
1/21/2016 4916
1/24/2016 5006.6
1/26/2016 4946.4
1/27/2016 4976.2
1/28/2016 5005.5
1/31/2016 5043.6
2/1/2016 4993.3
2/2/2016 4876.8
2/3/2016 4980.4
 2/4/2016 4976.2
2/7/2016 4975.4
2/8/2016 4832.1
2/9/2016 4775.7
2/10/2016 4821.1
2/11/2016 4765.3
2/14/2016 4843.5
2/15/2016 4910
2/16/2016 4882.1
2/17/2016 4992
2/18/2016 4952.8
2/21/2016 5001.2
2/22/2016 4979.6
2/23/2016 4875
2/24/2016 4881.2
2/25/2016 4880
2/28/2016 4880.9
2/29/2016 4922.3
3/1/2016 5021.2
3/2/2016 5081.1
3/3/2016 5090
3/6/2016 5142.8
3/7/2016 5108
3/8/2016 5157.2
3/9/2016 5150.1
3/10/2016 5166.4
3/13/2016 5185.5
3/14/2016 5111.4
3/15/2016 5119
3/16/2016 5168.2
3/17/2016 5183.1
3/20/2016 5166.6
3/21/2016 5166.6
3/22/2016 5142.3
3/23/2016 5084.2
3/28/2016 5004.5
3/29/2016 5010.3
3/30/2016 5082.8
3/31/2016 4999.4
4/4/2016 4995.3
4/5/2016 4924.4
4/6/2016 4945.9
4/7/2016 4964.1
4/8/2016 4937.6
4/11/2016 4931.5
4/12/2016 4975.6
4/13/2016 5054.7
4/14/2016 5118.6
4/15/2016 5157.5
4/18/2016 5137.1
4/19/2016 5188.8
4/20/2016 5216
4/21/2016 5272.7
4/22/2016 5236.4
4/26/2016 5220.6
4/27/2016 5187.7
4/28/2016 5225.4
4/29/2016 5252.2
5/2/2016 5243
5/3/2016 5353.8
5/4/2016 5271.1
5/5/2016 5279.1
5/6/2016 5292
5/9/2016 5320.7
5/10/2016 5342.8
5/11/2016 5372.3
5/12/2016 5359.3
5/13/2016 5329
5/16/2016 5358.9
5/17/2016 5395.9
5/18/2016 5356.2
5/19/2016 5323.3
5/20/2016 5351.3
5/23/2016 5318.9
5/24/2016 5295.6
5/25/2016 5372.5
5/26/2016 5388.1
5/27/2016 5405.9
5/30/2016 5408
5/31/2016 5378.6
6/1/2016 5323.2
6/2/2016 5278.9
6/3/2016 5318.9
6/6/2016 5360.4
6/7/2016 5371
6/8/2016 5370
6/9/2016 5361.9
6/10/2016 5312.6
6/14/2016 5203.3
6/15/2016 5147.1
6/16/2016 5146
6/17/2016 5162.7
6/20/2016 5256.8
6/21/2016 5274.4
6/22/2016 5270.9
6/23/2016 5280.7
6/24/2016 5113.2
6/27/2016 5137.2
6/28/2016 5103.3
6/29/2016 5142.4
6/30/2016 5233.4
7/1/2016 5246.6
7/4/2016 5281.8
7/5/2016 5228
7/6/2016 5197.5
7/7/2016 5227.9
7/8/2016 5230.5
7/11/2016 5337.1
7/12/2016 5353.2
7/13/2016 5388.5
7/14/2016 5411.6
7/15/2016 5429.6
7/18/2016 5458.5
7/19/2016 5451.3
7/20/2016 5488.7
7/21/2016 5512.4
7/22/2016 5498.2
7/25/2016 5533.6
7/26/2016 5537.5
7/27/2016 5539.7
7/28/2016 5556.6
7/29/2016 5562.3
8/1/2016 5587.4
8/2/2016 5540.5
8/3/2016 5465.7
8/4/2016 5475.8
8/5/2016 5497.4
8/8/2016 5537.8
8/9/2016 5552.5
8/10/2016 5543.7
8/11/2016 5508
8/12/2016 5530.9
8/15/2016 5540
8/16/2016 5532
8/17/2016 5535
 8/18/2016 5507.8
8/19/2016 5526.7
8/22/2016 5515.1
8/23/2016 5553.8
8/24/2016 5561.7
8/25/2016 5541.9
8/26/2016 5515.5
8/29/2016 5469.2
8/30/2016 5478.3
8/31/2016 5433
9/1/2016 5415.6
9/2/2016 5372.8
9/5/2016 5429.6
9/6/2016 5413.6
9/7/2016 5424.2
9/8/2016 5385.8
9/9/2016 5339.2
9/12/2016 5219.6
9/13/2016 5207.8
9/14/2016 5227.7
9/15/2016 5239.9
9/16/2016 5296.7
9/19/2016 5294.8
9/20/2016 5303.6
9/21/2016 5339.6
9/22/2016 5374.5
9/23/2016 5431.3
9/26/2016 5431.4
9/27/2016 5405.9
9/28/2016 5412.4
9/29/2016 5471.3
9/30/2016 5435.9
10/2/2016 5478.5
10/3/2016 5484
10/4/2016 5452.9
10/5/2016 5483
10/6/2016 5467.4
10/9/2016 5475.4
10/10/2016 5479.8
10/11/2016 5474.6
10/12/2016 5435.5
10/13/2016 5434
10/16/2016 5388.7
10/17/2016 5410.8
10/18/2016 5435.4
10/19/2016 5442.1
10/20/2016 5430.3
10/23/2016 5408.5
10/24/2016 5442.8
10/25/2016 5359.8
10/26/2016 5295.5
10/27/2016 5283.8
10/30/2016 5317.7
10/31/2016 5290.5
11/1/2016 5229
11/2/2016 5225.6
11/3/2016 5180.8
11/6/2016 5250.8
11/7/2016 5257.8
11/8/2016 5156.6
11/9/2016 5328.8
11/10/2016 5370.7
11/13/2016 5345.7
11/14/2016 5326.2
11/15/2016 5327.7
11/16/2016 5338.5
11/17/2016 5359.4
11/20/2016 5351.3
11/21/2016 5413.3
11/22/2016 5484.4
11/23/2016 5485.1
11/24/2016 5507.8
11/27/2016 5464.4
11/28/2016 5457.5
11/29/2016 5440.5
11/30/2016 5500.2
12/1/2016 5444
12/4/2016 5400.4
12/5/2016 5428.7
12/6/2016 5478.1
12/7/2016 5543.6
12/8/2016 5560.6
12/11/2016 5562.8
12/12/2016 5545
12/13/2016 5584.6
12/14/2016 5538.6
12/15/2016 5532.9
12/18/2016 5562.1
12/19/2016 5591.1
12/20/2016 5613.5
12/21/2016 5643.9
12/22/2016 5627.9
12/27/2016 5685
12/28/2016 5699.1
12/29/2016 5665.8
1/2/2017 5733.2
1/3/2017 5736.4
1/4/2017 5753.3
1/5/2017 5755.6
1/8/2017 5807.4
1/9/2017 5760.7
1/10/2017 5771.5
1/11/2017 5766.9
1/12/2017 5721.1
1/15/2017 5748.4
1/16/2017 5699.4
1/17/2017 5678.8
1/18/2017 5692.2
1/19/2017 5654.8
1/22/2017 5611
1/23/2017 5650.1
1/24/2017 5671.5
1/26/2017 5714
1/29/2017 5661.5
1/30/2017 5620.9
1/31/2017 5653.2
2/1/2017 5645.4
2/2/2017 5621.6
2/5/2017 5615.6
2/6/2017 5621.9
2/7/2017 5651.4
2/8/2017 5664.6
2/9/2017 5720.6
2/12/2017 5760.7
2/13/2017 5755.2
2/14/2017 5809.1
2/15/2017 5816.3
2/16/2017 5805.8
2/19/2017 5795.1
2/20/2017 5791
2/21/2017 5805.1
2/22/2017 5784.7
2/23/2017 5739
2/26/2017 5724.2
2/27/2017 5712.2
2/28/2017 5704.8
3/1/2017 5776.6
3/2/2017 5729.6
3/5/2017 5746.5
3/6/2017 5761.4
3/7/2017 5759.7
3/8/2017 5741.2
3/9/2017 5775.6
3/12/2017 5757.3
3/13/2017 5759.1
3/14/2017 5774
3/15/2017 5785.8
3/16/2017 5799.6
3/19/2017 5778.9
3/20/2017 5774.6
3/21/2017 5684.5
3/22/2017 5708
3/23/2017 5753.5
3/26/2017 5746.7
3/27/2017 5821.2
3/28/2017 5873.5
3/29/2017 5896.2
3/30/2017 5864.9
4/3/2017 5872.7
4/4/2017 5856.6
4/5/2017 5876.2
4/6/2017 5856.3
4/7/2017 5862.5
4/10/2017 5912.9
4/11/2017 5929.3
4/12/2017 5934
4/13/2017 5889.9
4/18/2017 5836.7
4/19/2017 5804
4/20/2017 5821.4
4/21/2017 5854.1
4/24/2017 5871.8
4/26/2017 5912
4/27/2017 5921.5
4/28/2017 5924.1
5/1/2017 5956.4
5/2/2017 5950.4
5/3/2017 5892.3
5/4/2017 5876.4
5/5/2017 5836.6
 5/8/2017 5870.9
5/9/2017 5839.9
5/10/2017 5875.4
5/11/2017 5878.3
5/12/2017 5836.9
5/15/2017 5838.4
5/16/2017 5850.5
5/17/2017 5786
5/18/2017 5738.3
5/19/2017 5727.4
5/22/2017 5771.2
5/23/2017 5760.2
5/24/2017 5769
5/25/2017 5789.6
5/26/2017 5751.7
5/29/2017 5707.1
5/30/2017 5717.9
5/31/2017 5724.6
6/1/2017 5738.1
6/2/2017 5788.1
6/5/2017 5754.9
6/6/2017 5667.5
6/7/2017 5667.2
6/8/2017 5676.6
6/9/2017 5677.8
6/13/2017 5772.8
6/14/2017 5833.9
6/15/2017 5763.2
6/16/2017 5774
6/19/2017 5805.2
6/20/2017 5757.3
6/21/2017 5665.7
6/22/2017 5706
6/23/2017 5715.9
6/26/2017 5720.2
6/27/2017 5714.2
6/28/2017 5755.7
6/29/2017 5818.1
6/30/2017 5721.5
7/3/2017 5684.5
7/4/2017 5783.8
7/5/2017 5763.3
7/6/2017 5758.8
7/7/2017 5703.6
7/10/2017 5724.4
7/11/2017 5728.9
7/12/2017 5673.8
7/13/2017 5736.8
7/14/2017 5765.1
7/17/2017 5755.5
7/18/2017 5687.4
7/19/2017 5732.1
7/20/2017 5761.5
7/21/2017 5722.8
7/24/2017 5688.1
7/25/2017 5726.6
7/26/2017 5776.6
7/27/2017 5785
7/28/2017 5702.8
7/31/2017 5720.6
8/1/2017 5772.4
8/2/2017 5744.2
8/3/2017 5735.1
8/4/2017 5720.6
8/7/2017 5773.6
8/8/2017 5743.8
8/9/2017 5765.7
8/10/2017 5760.9
8/11/2017 5693.1
8/14/2017 5730.4
8/15/2017 5757.5
8/16/2017 5785.1
8/17/2017 5779.2
8/18/2017 5747.1
8/21/2017 5725.9
8/22/2017 5750.1
8/23/2017 5737.2
8/24/2017 5745.5
8/25/2017 5743.9
8/28/2017 5709.9
8/29/2017 5669
8/30/2017 5669.7
8/31/2017 5714.5
9/1/2017 5724.6
9/5/2017 5706.2
9/6/2017 5689.7
9/7/2017 5689.9
9/8/2017 5672.6
9/11/2017 5713.1
9/12/2017 5746.4
 9/13/2017 5744.3
9/14/2017 5738.7
9/15/2017 5695
9/18/2017 5720.6
9/19/2017 5713.6
9/20/2017 5709.1
9/21/2017 5655.4
9/22/2017 5682.1
9/25/2017 5683.7
9/26/2017 5671
9/27/2017 5664.3
9/28/2017 5670.4
9/29/2017 5681.6
10/1/2017 5729.3
10/2/2017 5701.4
10/3/2017 5652.1
10/4/2017 5651.8
10/5/2017 5710.7
10/8/2017 5739.3
10/9/2017 5738.1
10/10/2017 5772.1
10/11/2017 5794.5
10/12/2017 5814.2
10/15/2017 5846.8
10/16/2017 5889.6
10/17/2017 5890.5
10/18/2017 5896.1
10/19/2017 5907
10/22/2017 5894
10/23/2017 5897.6
10/24/2017 5905.6
10/25/2017 5916.3
10/26/2017 5903.2
10/29/2017 5919.1
10/30/2017 5909
10/31/2017 5937.8
11/1/2017 5931.7
11/2/2017 5959.9
11/5/2017 5953.8
11/6/2017 6014.3
11/7/2017 6016.3
11/8/2017 6049.4
11/9/2017 6029.4
11/12/2017 6021.8
11/13/2017 5966
11/14/2017 5934.2
11/15/2017 5943.5
11/16/2017 5957.3
11/19/2017 5945.7
11/20/2017 5963.5
11/21/2017 5986.4
11/22/2017 5960.6
11/23/2017 5982.6
11/26/2017 5988.8
11/27/2017 5984.3
11/28/2017 6011.1
11/29/2017 5969.9
11/30/2017 5989.8
12/3/2017 5985.6
12/4/2017 5971.7
12/5/2017 5946.1
12/6/2017 5977.7
12/7/2017 5994.4
12/10/2017 5998.3
12/11/2017 6013.2
12/12/2017 6021.8
12/13/2017 6011.3
12/14/2017 5997
12/17/2017 6038.9
12/18/2017 6071.8
12/19/2017 6075.6
12/20/2017 6060.4
12/21/2017 6069.7
12/26/2017 6069.9
12/27/2017 6088.1
12/28/2017 6065.1
1/1/2018 6061.3
1/2/2018 6070.4
1/3/2018 6077.1
1/4/2018 6122.3
1/7/2018 6130.4
1/8/2018 6135.8
1/9/2018 6096.7
1/10/2018 6067.6
1/11/2018 6070.1
1/14/2018 6077.1
1/15/2018 6048.6
1/16/2018 6015.8
1/17/2018 6014.6
1/18/2018 6005.8
1/21/2018 5991.9
1/22/2018 6037
1/23/2018 6054.7
1/24/2018 6050
1/28/2018 6075.4
1/29/2018 6022.8
1/30/2018 6037.7
1/31/2018 6090.1
2/1/2018 6121.4
2/4/2018 6026.2
2/5/2018 5833.3
2/6/2018 5876.8
2/7/2018 5890.7
2/8/2018 5838
2/11/2018 5820.7
2/12/2018 5855.9
2/13/2018 5841.2
2/14/2018 5909
2/15/2018 5904
2/18/2018 5941.6
2/19/2018 5940.9
2/20/2018 5943.7
2/21/2018 5950.9
2/22/2018 5999.8
2/25/2018 6042.2
2/26/2018 6056.9
2/27/2018 6016
2/28/2018 5973.3
3/1/2018 5928.9
3/4/2018 5959.5
3/5/2018 5962.4
3/6/2018 5902
3/7/2018 5942.9
3/8/2018 5963.2
3/11/2018 5996.1
3/12/2018 5974.7
3/13/2018 5935.3
3/14/2018 5920.8
3/15/2018 5949.4
3/18/2018 5959.4
3/19/2018 5936.4
3/20/2018 5950.3
3/21/2018 5937.2
3/22/2018 5820.7
3/25/2018 5790.5
3/26/2018 5832.3
3/27/2018 5789.5
3/28/2018 5759.4
4/3/2018 5751.9
4/4/2018 5761.4
4/5/2018 5788.8
4/6/2018 5788.7
4/9/2018 5808.7
4/10/2018 5857
4/11/2018 5828.7
4/12/2018 5815.5
4/13/2018 5829.1
4/16/2018 5841.3
4/17/2018 5841.5
4/18/2018 5861.4
4/19/2018 5881
4/20/2018 5868.8
4/23/2018 5886
4/24/2018 5921.6
4/26/2018 5910.8
4/27/2018 5953.6
4/30/2018 5982.7
5/1/2018 6015.2
5/2/2018 6050.2
5/3/2018 6098.3
5/4/2018 6062.9
5/7/2018 6084.5
5/8/2018 6091.9
5/9/2018 6108
5/10/2018 6118.7
5/11/2018 6116.2
5/14/2018 6135.3
5/15/2018 6097.8
5/16/2018 6107
5/17/2018 6094.3
5/18/2018 6087.4
5/21/2018 6084.5
5/22/2018 6041.9
5/23/2018 6032.5
5/24/2018 6037.1
5/25/2018 6032.8
5/28/2018 6004
5/29/2018 6013.6
5/30/2018 5984.7
5/31/2018 6011.9
 6/1/2018 5990.4
6/4/2018 6025.5
6/5/2018 5994.9
6/6/2018 6025.1
6/7/2018 6057.3
6/8/2018 6045.2
6/12/2018 6054.4
6/13/2018 6023.5
6/14/2018 6016.6
6/15/2018 6094
6/18/2018 6104.1
6/19/2018 6102.1
6/20/2018 6172.6
6/21/2018 6232.1
6/22/2018 6225.2
6/25/2018 6210.4
6/26/2018 6197.6
6/27/2018 6195.9
6/28/2018 6215.4
6/29/2018 6194.6
7/2/2018 6177.8
7/3/2018 6210.2
7/4/2018 6183.4
7/5/2018 6215.5
7/6/2018 6272.3
7/9/2018 6286
7/10/2018 6258.1
7/11/2018 6215.6
7/12/2018 6268.3
7/13/2018 6268.4
7/16/2018 6241.5
7/17/2018 6203.6
7/18/2018 6245.1
7/19/2018 6262.7
7/20/2018 6285.9
7/23/2018 6227.6
7/24/2018 6265.8
7/25/2018 6247.6
7/26/2018 6244.5
7/27/2018 6300.2
7/30/2018 6278.4
7/31/2018 6280.2
8/1/2018 6275.7
8/2/2018 6240.9
8/3/2018 6234.8
 8/6/2018 6273
8/7/2018 6253.9
8/8/2018 6268.5
8/9/2018 6297.7
8/10/2018 6278.4
8/13/2018 6252.2
8/14/2018 6299.6
8/15/2018 6329
8/16/2018 6328.3
α β λ
0.083390000 0.910100000 0.94
Student Name: Student Number:

yield to maturity default intensity correlation coefficient

y1 0.05 λ1 0.01 ρ 0.5
y2 0.1 λ2 0.05

bond prices marginal probabilities percentile-to-percentile mapping

B1 Pr(T1≤T) U1
B2 Pr(T1>T) U2
Pr(T2≤T)
portfolio weights Pr(T2>T)
w1
w2
on coefficient face value time to maturity
F 100 T 10

e-to-percentile mapping joint probabilities

Pr(T1≤T, T2≤T)
Pr(T1≤T, T2>T)
Pr(T1>T, T2≤T)
Pr(T1>T, T2>T)
Sum