期权计算器DerivaGem-Version-2.01

ThissoftwarewasdevelopedforeducationalpurposesbyA-JFinancialSystems,Inc.FundamentalsofFuturesandOptionsMarkets7/EandRiskManagementandFinancialInstitutions2/EAllbooksarepublishedbyPearsonPrenticeHall.TheycanbeorderedfromoutletssuchasAmazon.comordirectlyfromthepublisherat:DonotforgettoenableMacros.IfyouareusingOffice2007youwillhavetoclickontheOptionsbuttonandchooseEnablethisContentOptions,FuturesandOtherDerivatives7/EDerivaGem-Version2.00ForExcel2000andmorerecentversionsofExcelThisistheOptionsCalculatorSoftwarethathasbeendesignedtoaccompanyJohnHull'stexts:ThissoftwarewasdevelopedforeducationalpurposesbyA-JFinancialSystems,Inc.FundamentalsofFuturesandOptionsMarkets7/EandRiskManagementandFinancialInstitutions2/EAllbooksarepublishedbyPearsonPrenticeHall.TheycanbeorderedfromoutletssuchasAmazon.comordirectlyfromthepublisherat:DonotforgettoenableMacros.IfyouareusingOffice2007youwillhavetoclickontheOptionsbuttonandchooseEnablethisContentOptions,FuturesandOtherDerivatives7/EDerivaGem-Version2.00ForExcel2000andmorerecentversionsofExcelThisistheOptionsCalculatorSoftwarethathasbeendesignedtoaccompanyJohnHull'stexts:Equity_FX_Index_Futures_OptionsUnderlyingDataGraphResultsUnderlyingType:TimeDividendVerticalAxis:HorizontalAxis:StockPrice:50.00Volatility(%peryear):30.00%Risk-FreeRate(%peryear):5.00%MinimumXvalue1.00%MaximumXvalue200.00%OptionDataOptionType:TimetoExpiration:2.0000ExercisePrice:52.00TreeSteps:2Price:4.48845853Delta(per$):-0.4145299Gamma(per$per$):0.03414557Vega(per%):0.1312765Theta(perday):-0.0117915Rho(per%):-0.08402340102030405060701.00%21.00%41.00%61.00%81.00%101.00%121.00%141.00%161.00%181.00%OptionPriceVolatilityCallPutImplyVolatilityPage3BondDataTermStructureGraphResultsTime(Yrs)Rate(%)VerticalAxis:Principal:100CouponFrequency:15.000%BondLife(Years):10CouponRate(%):8.000%HorizontalAxis:QuotedBondPrice(/100):122.8245OptionDataMinimumXvalue-1.00%PricingModel:MaximumXvalue1.00%StrikePrice(/100):115.00OptionLife(Years):2.25YieldVolatility(%):20.00%Price:1.741372DV01(Perbasispoint):0.023744Gamma01(Per%):0.016497Vega(per%):0.16226900.20.40.60.811.21.4-1.00%-0.50%0.00%0.50%1.00%VegaParallelRateShiftPutCallQuotedStrikeImplyVolatilitySwap/CapDataTermStructureGraphResultsUnderlyingType:Time(Yrs)Rate(%)16.000%SettlementFrequency:26.000%Principal:10036.000%SwapStart(Years):5.0046.000%SwapEnd(Years):8.0056.000%SwapRate(%):6.20%PricingModel:Volatility(%):20.00%Price:2.0709809DV01(Perbasispoint):0.0104403Gamma01(Per%):0.001631Vega(per%):0.106905ImplyVolatilityImplyBreakevenRatePayFixedRec.FixedGraphResultsVerticalAxis:HorizontalAxis:MinimumXvalue0.91MaximumXvalue5.0000.511.522.530.911.411.912.412.913.413.914.414.91OptionPriceCap/FloorEndLife(Yrs)Spread(bp)Time(Yrs)HazardRateTime(Yrs)Rate(%)1100.0010.0166044413.000%5150.0050.0272842323.000%10175.00100.0346771133.000%25200.00250.039396743.000%53.000%RecoveryRate0.4PaymentFrequency:CDSDataDefaultRateDataTermStructure00.0050.010.0150.020.0250.030.0350.040.0450Cont.CompoundedHazardRatesCalculateSpreadsImplyHazardRates51015202530Time(Yrs)Cont.CompoundedHazardRatesTime(Yrs)HazardRateTime(Yrs)Life(Years)510.00381RecoveryRate0.450.00382NumberofNames125100.00383No.ofIntegrationPoints10250.003845PaymentFrequency:AttachmentPoint(%)DetachmentPoint(%)Spread(bp)Upfront(%)TrancheCorr0.00%3.00%500.0010.340%0.16253.00%6.00%41.590.08036.00%9.00%11.950.14189.00%12.00%5.600.185512.00%22.00%2.000.2360CD0DataDefaultRateDataTermStructureCalculateUpfrontImplyCorr.CalculateUpfrontCalculateUpfrontCalculateUpfrontCalculateUpfrontRate(%)5.000%5.000%5.000%5.000%5.000%ExpLossPVPmtsBaseCorr.28.700%3.67180.16251.819%4.37370.26210.525%4.38980.33230.245%4.39320.39250.088%4.39520.5807TermStructureCalculateUpfrontCalculateUpfrontCalculateUpfrontCalculateUpfrontCalculateUpfront