dg200.01.xls
TRANSCRIPT
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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