DerivaGem - Version 1.

52
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 Underlying Type: Time Dividend

Graph Results Vertical Axis:

Horizontal Axis: Stock Price: Volatility (% per year): Risk-Free Rate (% per year): 50.00 40.00% 10.00%

Minimum X value 0.01 Maximum X value 0.416666667

Option Data Option Type:

Imply Volatility

5 4.5 4

Call

Option Price

Time to Expiration: Exercise Price: Tree Steps:

0.4167 50.00 5

Put

3.5
3 2.5 2 1.5

Price: 4.48845853 Delta (per $): -0.4145299 Gamma (per $ per $): 0.03414557 Vega (per %): 0.1312765 Theta (per day): -0.0117915 Rho (per %): -0.0840234

1
0.5 0 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 Principal: Bond Life (Years): Coupon Rate (%): Quoted Bond Price (/100): Option Data Pricing Model:
Imply Volatility

100 5 6.000% 98.18647

Coupon Frequency:

Term Structure Time (Yrs) Rate (%) 0.5 4.500% 1 5.000% 2 5.500% 3 5.800% 4 6.100% 5 6.300%

Strike Price (/100): Option Life (Years): Short-Rate Volatility (%): Reversion Rate (%):

100.00 1.00 1.00% 5.00%

Quoted Strike Call Put

Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %):

2.983426 0.026938 0.008989 1.009984

Graph Results Vertical Axis:

Horizontal Axis:

Minimum X value Maximum X value

-1.00% 1.00%

0.035 0.03

DV01

0.025 0.02 0.015 0.01 0.005 -1.00% -0.50% 0 0.00% Parallel Rate Shift 0.50% 1.00%

Swap / Cap Data Underlying Type: Settlement Frequency: Principal : Swap Start (Years): Swap End (Years): Swap Rate (%): Pricing Model: 100 1.00 5.00 4.18%

Imply Breakeven Rate

Short-Rate Volatility (%): Reversion Rate (%):

1.50% 4.10%

Imply Volatility Rec. Fixed Pay Fixed

Term Structure Time (Yrs) Rate (%) 0.010959 1.845% 0.550685 1.820% 0.8 1.864% 1.049315 1.952% 1.29863 2.073% 1.547945 2.217% 2.046575 2.496% 2.545205 2.750% 3.063014 2.995% 3.542466 3.203% 3.810959 3.314% 4.060274 3.414% 4.515068 3.576% 5.016438 3.752% 5.515068 3.899%

Price: DV01 (Per basis point): Gamma01 (Per %): Vega (per %):

1.9714411 0.0175928 0.0095717 1.3107689

Graph Results Vertical Axis:

Horizontal Axis:

Minimum X value Maximum X value

1.18% 7.18%

0.035 0.03 0.025 0.02 0.015 0.01 0.005 0 1.18%

DV01

2.18%

3.18%

4.18%

5.18%

6.18%

7.18%

Swap Rate