dg151
TRANSCRIPT
DerivaGem - Version 1.51For Excel 97 and more recent versions of Excel
This is the Options Calculator Software that has been designed toaccompany John Hull's texts:
"Options, Futures and Other Derivatives" 5/Eand
"Fundamentals of Futures and Options Markets" 5/E
Both books are published by Prentice Hall. They can be ordered from outlets such as Amazon.comor directly from the publisher at http://www.prenhall.com/mischtm/support_fr.html
Windows\System or WINNT\System32 directory
This software was developed for educational purposes by A-J Financial Systems, Inc.
Important: For smooth running of this software make sure that dg151.dll is loaded into your
DerivaGem - Version 1.51For Excel 97 and more recent versions of Excel
This is the Options Calculator Software that has been designed toaccompany John Hull's texts:
"Options, Futures and Other Derivatives" 5/Eand
"Fundamentals of Futures and Options Markets" 5/E
Both books are published by Prentice Hall. They can be ordered from outlets such as Amazon.comor directly from the publisher at http://www.prenhall.com/mischtm/support_fr.html
Windows\System or WINNT\System32 directory
This software was developed for educational purposes by A-J Financial Systems, Inc.
: For smooth running of this software make sure that dg151.dll is loaded into your
Equity_FX_Index_Futures_Options
Page 3
Underlying Data Graph ResultsUnderlying Type: Time Dividend Vertical Axis:
Horizontal Axis:Stock Price: 50.00
Volatility (% per year): 30.00%Risk-Free Rate (% per year): 5.00% Minimum X value 20
Maximum X value 80
Option DataOption Type:
Time to Exercise: 0.4167Exercise Price: 50.00
Price: 4.07597534Delta (per $): -0.385727
Gamma (per $ per $): 0.02962538Vega (per %): 0.12343907
Theta (per day): -0.0098324Rho (per %): -0.097343
Call
Put
Imply Volatility
20.00 30.00 40.00 50.00 60.00 70.00 80.00
0
5
10
15
20
25
30
Asset Price
Op
tio
n P
ric
e
Bond Data Term StructureTime (Yrs) Rate (%)
Principal: 100 Coupon Frequency: 0 3.430%Bond Life (Years): 4.1 0.5 3.430%Coupon Rate (%): 5.000% 1 3.824%
Quoted Bond Price (/100): 99.52604 1.5 4.183%2 4.512%
Option Data 2.5 4.812%Pricing Model: 3 5.086%
5 5.500%
Strike Price (/100): 100.00Option Life (Years): 1.00
Short-Rate Volatility (%): 15.00%Reversion Rate (%): 6.00%
Tree Steps: 10
Price: 2.172482DV01 (Per basis point): 0.026936
Gamma01 (Per %): 0.008539Vega (per %): 0.022553
PutCall
Quoted Strike
Imply Volatility
Graph ResultsVertical Axis:
Horizontal Axis:
Minimum X value 7.50%Maximum X value 22.50%
7.50% 9.50% 11.50% 13.50% 15.50% 17.50% 19.50% 21.50%
0
0.5
1
1.5
2
2.5
Volatility
Op
tio
n P
ric
e
Swap / Cap Data Term StructureUnderlying Type: Time (Yrs) Rate (%)
0.010959 1.845%Settlement Frequency: 0.550685 1.820%
Principal : 2000 0.8 1.864%Swap Start (Years): 1.00 1.049315 1.952%Swap End (Years): 5.00 1.29863 2.073%
Swap Rate (%): 1.82% 1.547945 2.217%2.046575 2.496%
Pricing Model: 2.545205 2.750%3.063014 2.995%3.542466 3.203%
Short-Rate Volatility (%): 1.53% 3.810959 3.314%Reversion Rate (%): 4.10% 4.060274 3.414%
4.515068 3.576%5.016438 3.752%
Price: 1.7529363DV01 (Per basis point): -0.0316076
Gamma01 (Per %): 0.0496742Vega (per %): 11.071175
Imply Volatility
Imply Breakeven Rate
Pay Fixed
Rec. Fixed
Graph ResultsVertical Axis:
Horizontal Axis:
Minimum X value -1.00%Maximum X value 1.00%
-1.00% -0.50% 0.00% 0.50% 1.00%
0
50
100
150
200
250
Parallel Rate Shift
Op
tio
n P
ric
e