dg200.01.xls

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    DerivaGem - Version 2.00For Excel 2000 and more recent versions of Excel

    This is the Options Calculator oft!are that has "een desi#n

    accompan$ %ohn &ull's texts(

    )Options* Futures and Other Derivatives) +,E

    )Fundamentals of Futures and Options arets) +

    and

    )/is ana#ement and Financial nstitutions) 2,

    1ll "oos are pu"lished "$ earson rentice &all. The$ can "e ordered from outlet

    1ma3on.com or directl$ from the pu"lisher at http(,,!!!.prenhall.com,mischtm,sup

    This soft!are !as developed for educational purposes "$ 1-% Financial $stems* nc.

    Important( Do not for#et to ena"le acros. f $ou are usin# Office 200+ $ou !ill

    clic on the Options "utton and choose )Ena"le this Content)

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    ed to

    E

    such as

    ort4fr.html

    have to

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    Equity_FX_Index_Futures_Options

    Page 3

    Underlying Data Graph Results

    Underlying Type Ti!e Di"idend #erti$al %xis

    &ori'ontal %xis

    (to$) Pri$e *+,++

    #olatility -. per year/ 0+,++.

    Ris)1Free Rate -. per year/ 2+,++. ini!u! X "alue

    axi!u! X "alue

    Option Data

    Option Type

    Ti!e to Expiration +,0256

    Exer$ise Pri$e *+,++

    Tree (teps *

    Pri$e 0,0770*7*3

    Delta -per 8/ 1+,020*499

    Ga!!a -per 8 per 8/ +,+3020**6

    #ega -per ./ +,232465*

    Theta -per day/ 1+,+22692*

    Rho -per ./ 1+,+70+430 +,+2 +,42 +,02 +,52 +,72 2,+2+,++E:++

    2,++E:+2

    4,++E:+2

    3,++E:+2

    0,++E:+2

    *,++E:+2

    5,++E:+2

    6,++E:+2

    #olatility

    OptionPri$e

    Call

    Put

    Imply Volatility

    Equity Option price

    Volatility

    Binomial: American

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    ;ond Data Ter! (tru$ture Gra

    Ti!e -i?e -

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    (Cap A =ap Data Ter! (tru$ture

    Underlying Type Ti!e -

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    Graph Results

    #erti$al %xis

    &ori'ontal %xis

    ini!u! X "alue +,92

    axi!u! X "alue *,++

    +,92 2,02 2,92 4,02 4,92 3,02 3,92 0,02 0,92

    +,++E:++

    *,++E1+2

    2,++E:++

    2,*+E:++

    4,++E:++

    4,*+E:++

    3,++E:++

    Cap/Floor End

    Option

    Pri

    ce

    Option price

    Time to End

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    =D( Data De?ault Rate Data Ter! (tru$ture

    >i?e-

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    5 10 15 0 5 !0

    t. Compounded Hazard Rates

    Time (Yrs)

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    =D+ Data De?ault Rate Data Ter! (

    Ti!e -

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    ru$ture

    Rate -./

    *,+++.

    *,+++.

    *,+++.

    *,+++.

    *,+++.

    Exp>oss P#P!ts ;ase =orr,47,6++. 3,5627 +,254*

    2,729. 0,3636 +,4542

    +,*4*. 0,3797 +,3343

    +,40*. 0,3934 +,394*

    +,+77. 0,39*4 +,*7+6