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DerivaGem - Version 1.

52
For Excel 2000 and more recent versions of Excel

This is the Applications Builder 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
Note: You should familiarize yourself with the Options Calculator Software in DG152.xls
before using this software
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.

en designed to

s" 7/E

kets" 6/E

from outlets such as


ischtm/support_fr.html

ware in DG152.xls

07 you will have to


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ystems, Inc.

THE DERIVAGEM APPLICATIONS BUILDER CONTAINS 21 FUNCTIONS FROM WHICH USERS CAN BUILD THEIR OWN APPLICATIONS
SPREADSHEETS WITH 7 SAMPLE APPLICATIONS ARE INCLUDED
Function 1: Black_Scholes(S,K,r,q,vol,T,IsCall,IsFut,Divs,Result)
Carries out Black-Scholes calculations for European options on stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example:

#VALUE!

Dividends
0.5
1
0.75
1

Function 2: TreeEquityOpt(S,K,r,q,vol,T,IsCall,IsFut,Divs,IsAmerican,nSteps,Result)
Carries out binomial tree calculations for European or American options on stocks, stock indices, currencies, and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
IsAmerican
TRUE if American option, FALSE if European option
nSteps
Number of time steps on tree
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

Function 3: BinaryOption(S,K,r,q,vol,T,IsCall,IsFut,Divs,IsCash,Result)
Carries out calculations for binary options on stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
IsCash
TRUE if Cash or Nothing, FALSE if Asset or Nothing
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

(Delta of Cash or Nothing Call)

Function 4: BarrierOption(S,K,r,q,vol,T,IsCall,IsFut,H,IsUp,IsIn,Result)
Carries out calculations for barrier options on non-dividend-paying stocks, stock indices, currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
H
Barrier
IsUp
TRUE if Up option; FALSE if Down option
IsIn
TRUE if In option; FALSE if Out option
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

(Price of down and out call option)

Function 5: AverageOption(S,K,r,q,vol,T,IsCall,IsFut,CurrAve,TimeSoFar,Result)
Carries out calculations for Asian options on non-dividend-paying stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise

CurrAve
TimeSoFar
Result
Example

Current Average (irrelevant if a new instrument)


Time since beginning of averaging in years (zero for a new instrument)
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
#VALUE!

Function 6: ChooserOption(S,K,r,q,vol,T,IsFut,TimeToChoice,Result)
Carries out calculations for chooser options on non-dividend-paying stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsFut
TRUE if futures option, FALSE otherwise
TimeToChoice
Time until choice between call and put has to be made
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

Function 7: CompoundOption(S,K1,r,q,vol,T1,IsCall,IsFut,K2,T2,IsOptionOnCall,Result)
Carries out calculations for compound options on non-dividend-paying stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K1
First Strike Price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T1
Time to first exercise
IsCall
True if first option a call, FALSE if first option a put
IsFut
TRUE if futures option, FALSE otherwise
K2
Second strike price
T2
Time to second exercise
IsOptionOnCall
TRUE if second option is a call, FALSE if second option is a put
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

Function 8: LookbackOption(S,r,q,vol,T,IsCall,IsFut,IsFixedLookback,Smax,Smin,K,Result)
Carries out calculations for lookback options on non-dividend-paying stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if lookback call, FALSE if lookback put
IsFut
TRUE if futures option, FALSE otherwise
IsFixedLookback
TRUE for fixed lookback
Smax
Maximum price to date (equals to current price if a new instrument)
Smin
Minimum price to date (equals current price if a new instrument)
K
Strike price for Fixed Lookback; Ignored otherwise
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example

#VALUE!

Function 9: EPortfolio(t,S,IsFut,r,q,Divs,vol,Portfolio,Result)
Carries out calculations for a portfolio of options on a non-dividend-paying stock, stock index, currency, or futures
Arguments:
t
Valuation date (years from today >=0)
S
Asset price
IsFut
TRUE if underlying is a futures price; FALSE otherwise
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
vol
Volatility
Portfolio
Array defining portfolio. See below
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho
Portfolio definition:
Underlying
Black Scholes
TreeEquityOption
Binaryoption
BarrierOption
AverageOption
ChooserOption
CompoundOption
LookBackOption

Type
0
1
2
3
4
5
6
7
8

Number
Number
Number
Number
Number
Number
Number
Number
Number

Type

Number

Sample Portfolio

K
K
K
K
K
K
K1
K

T
T
T
T
T
T
T1
T

IsCall
IsCall
nSteps
IsCall
IsCash
IsCall
Barrier
IsCall
CurrAve
TimeToChoice
IsCall
K2
IsCall
IsFixedLookback

IsAmerican
IsUp
TimeSoFar

IsIn

T2
Smax

IsOptOnCall
Smin

Underlying
Black Scholes
Black Scholes
TreeEquityOption
Example of Function:

0
1
1
2

100
50
50
100

55
48
50

0.5
0.75
0.5

TRUE
TRUE
FALSE

25

TRUE

#VALUE!

Function 10: BlackCap(Start,End,CapRate,L,Frequ,vol,IsCap,Zeros,Result)


Carries out calculations for caps and floors using Black's model
Arguments:
Start
Time (years from today) when cap starts
End
Time (years from today) when cap ends
CapRate
Cap Rate
L
Notional amount
Frequ
Number of times a year cap is settled (= 12, 4, 2, or 1)
vol
Flat volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsCap
TRUE if cap, FALSE if Floor
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol
Example

#VALUE!

Function 11: HullWhiteCap(Start,End,CapRate,L,Frequ,sigma,a,IsCap,Zeros,Result)


Carries out calculations for caps and floors using Hull-White model
Arguments:
Start
Time (years from today) when cap starts
End
Time (years from today) when cap ends
CapRate
Cap Rate
L
Notional amount
Frequ
Number of times a year cap is settled (= 12, 4, 2, or 1)
sigma
Short rate standard deviation. But enter price if implied sigma is to be calculated (i.e.Result=4)
a
Reversion rate
IsCap
TRUE if cap, FALSE if floor
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol
Example

#VALUE!

Function 12: TreeCap(Start,End,CapRate,L,Frequ,sigma,a,IsCap,Model,nsteps,Zeros,Result)


Carries out calculations for caps and floors usng a trinomial tree
Arguments:
Start
Time (years from today) when cap starts
End
Time (years from today) when cap ends
CapRate
Cap Rate
L
Notional Amount
Frequ
Number of times a year cap is settled (= 12, 4, 2, or 1)
sigma
Volatility parameter
a
Reversion rate
IsCap
TRUE if cap, FALSE if floor
Model
0=Normal, 1=Lognormal
nSteps
Number of time steps
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma
Example

#VALUE!

Function 13: BlackSwapOpt(Start,End,SwapRate,L,Frequ,vol,IsPayFix,Zeros,Result)


Carries out calculations for swap options usng Black's model
Arguments:
Start
Time (years from today) when option matures
End
Time (years from today) when underlying swap ends
SwapRate
Strike Swap Rate
L
Principal amount
Frequ
Frequency of payments on swap (= 12, 4, 2, or 1)
vol
Volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsPayFix
TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied Volatility
Example

#VALUE!

Function 14: HullWhiteSwapOpt(Start,End,SwapRate,L,Frequ,sigma,a,IsPayFix,Zeros,Result)


Carries out calculations for swap options using the Hull-White model
Arguments:
Start
Time (years from today) when option matures
End
Time (years from today) when underlying swap ends
SwapRate
Strike Swap Rate
L
Principal amount
Frequ
Frequency of payments on swap (= 12, 4, 2, or 1)
sigma
Short rate standard deviation. But enter price if implied sigma is to be calculated (i.e.Result=4)
a
Reversion rate
IsPayFix
TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column

Term Structure
0
3.000%
0.5
3.353%
1
3.664%
1.5
3.938%
2
4.180%
2.5
4.394%
3
4.583%
3.5
4.749%
4
4.896%
4.5
5.026%
5
5.140%
5.5
5.241%
6
5.331%
6.5
5.409%
7
5.479%
7.5
5.540%
8
5.594%
8.5
5.642%
9
5.684%
9.5
5.721%
10
5.754%

Result
Example

0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma


#VALUE!

Function 15: TreeSwapOpt(Start,End,SwapRate,L,Frequ,sigma,a,IsPayFix,Model,nSteps,Zeros,Result)


Carries out calculations for swap options using a trinomial tree
Arguments:
Start
Time (years from today) when option matures
End
Time (years from today) when underlying swap ends
SwapRate
Strike Swap Rate
L
Principal amount
Frequ
Frequency of payments on swap (= 12, 4, 2, or 1)
sigma
Volatility parameter
a
Reversion rate
IsPayFix
TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Model
0=Normal, 1=Lognormal
nsteps
Number of time steps
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma
Example

#VALUE!

Function 16: BlackBondOpt(BondLife,Coupon,Princ,Frequ,K,T,vol,IsCall,IsQuoted,Zeros,Result)


Carries out calculations for bond options usng Black's model
Arguments:
BondLife
Life of bond in years(from today)
Coupon
Coupon (rate per year)
Princ
Bond Principal
Frequ
Frequency of payments on bond (=4, 2, or 1)
K
Strike Price
T
Time (in years) to option maturity
vol
Volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsCall
TRUE if call, FALSE if put
IsQuoted
True if strike is a quoted price, false if strike is cash price
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma
Example

#VALUE!

Function 17: HullWhiteBondOpt(BondLife,Coupon,Princ,Frequ,K,T,sigma,a, IsCall,IsQuoted,Zeros,Result)


Carries out calculations for bond options using Hull-White model
Arguments:
BondLife
Life of bond in years(from today)
Coupon
Coupon (rate per year)
Princ
Bond Principal
Frequ
Frequency of payments on bond (=4, 2, or 1)
K
Strike Price
T
Time (in years) to option maturity
sigma
Short rate standard deviation. But enter price if implied sigma is to be calculated (i.e.Result=4)
a
Reversion rate
IsCall
TRUE if call, FALSE if put
IsQuoted
True if strike is a quoted price, false if strike is cash price
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma
Example

#VALUE!

Function 18: TreeBondOpt(BondLife,Coupon,Princ,Frequ,K,T,sigma,a, IsCall,IsQuoted,IsAmerican,Model,nSteps,Zeros,Result)


Carries out calculations for bond options usng a trinomial tree
Arguments:
BondLife
Life of bond in years(from today)
Coupon
Coupon (rate per year)
Princ
Bond Principal
Frequ
Frequency of payments on bond per year (=4, 2, or 1)
K
Strike Price
T
Time (in years) to option maturity
sigma
Volatility parameter
a
Reversion rate
IsCall
TRUE if call, FALSE if put
IsQuoted
True if strike is a quoted price, false if strike is cash price
IsAmerican
TRUE if American option, FALSE if European
Model
0=Normal, 1=Lognormal
nSteps
Number of time steps
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma
Example

#VALUE!

Function 19: BondPrice(BondLife, Coupon, Princ, Frequ, Zeros, IsClean, Result)


Values a bond
Arguments:
BondLife
Life of bond in years(from today)
Coupon
Coupon (rate per year)

Princ
Frequ
Zeros
IsClean
Result
Example

Bond principal
Frequency of payments on bond per year (=12, 4, 2, or 1)
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
If TRUE result is the clean (quoted) price; if FALSE result is dirty (cash) price
0=Price, 1=Delta, 2=Gamma
#VALUE!

Function 20: SwapPrice(Start, End, FixedRate,L,Frequ,Zeros,Result)


Values a plain vanilla interest rate swap. Note: ignores cash flows arising from reset dates prior to Start date
Arguments:
Start
Beginning of swap (years from today)
End
End of swap (years from today)
FixedRate
Fixed rate that is exchange for floating (compounding frequency corresponds to Frequ)
L
Notional principal
Frequ
Frequency of payments on swap per year (=12, 4, 2, or 1)
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Result
0=Price, 1=Delta, 2=Gamma
Example

#VALUE!

Function 21: IPortfolio(t,Zeros,Nsigma,Na,LNsigma,LNa, Portfolio,Result)


Carries out calculations for a portfolio of options on a non-dividend-paying stock, stock index, currency, or futures
Arguments:
t
Valuation date (years from today >=0)
Zeros
Array containing zero curve: Maturities in the first column and corresponding zero rates in second column
Nsigma
sigma parameter to be used with normal model
Na
reversion rate parameter to be used with normal model
LNsigma
sigma parameter to be used with lognormal model
LNa
reversion rate parameter to be used with lognormal model
Portfolio
Array defining portfolio. See below
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega
Portfolio definition:
Bond
Swap
Black Cap
HW Cap
Tree Cap
Black Swaption
HW Swaption
Tree Swaption
Black Bond Opt.
HW Bond Opt.
Tree Bond Opt.

Type
0
1
2
3
4
5
6
7
8
9
10

Life
Start
Start
Start
Start
Start
Start
Start
Life
Life
Life

Coupon
End
End
End
End
End
End
End
Coupon
Coupon
Coupon

Princ.
FixedRate
CapRate
CapRate
CapRate
SwapRate
SwapRate
SwapRate
Princ
Princ
Princ

Frequ
L
L
L
L
L
L
L
Frequ
Frequ
Frequ

IsClean
Frequ
Frequ
Frequ
Frequ
Frequ
Frequ
Frequ
K
K
K

IsCap
IsCap
IsCap
IsPayFix
IsPayFix
IsPayFix
T
T
T

Type
0
8
8
10

10.2
10.2
10.2
10.2

6%
6%
6%
6%

100
100
100
100

2
2
2
2

TRUE
102
105
98

0.5
1
5

vol
Model
vol

nSteps

Model
IsCall
IsCall
IsCall

nSteps
IsQuoted
IsQuoted
IsQuoted

Model

TRUE
TRUE
FALSE

TRUE
TRUE
TRUE

15%
14%
1

vol
nSteps IsAmerican

Sample Portfolio
Bond
Black Bond Opt.
Black Bond Opt.
Tree Bond Opt.
Example

#VALUE!

25

TRUE

CONVERGENCE OF BINOMIAL TREE PRICE OF EUROPE


Figure 19.4 in Options, Futures, and Other Derivatives, 7e (and 16.4 in Fun
Problem 19.30 in Options, Futures and Other Derivatives, 7e (and 1
Stock Price
Strike
r
q
vol
Remaining Life
IsCall
IsFut
Result

50
50.1
5.00%
0%
40%
1
FALSE
FALSE
0

IsAmerican

FALSE

Convergence 1
8.00
Tree

7.50

BS

7.00
6.50
6.00
nSteps
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

Tree
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BS
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5.50
5.00
2

10

14

18

22

30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50

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EE PRICE OF EUROPEAN OPTION TO BLACK-SCHOLES PRICE


es, 7e (and 16.4 in Fundamentals 6e) shows a similar result for an American option
r Derivatives, 7e (and 16.7 in Fundamentals 6e) is based on this application

Convergence 1

22

26
nSteps

30

34

38

42

46

50

PLOTS OF GREEK LETTERS


Maturity
Strike
Int. Rate
Volatility
IsCall
Result

S
10
12
14
16
18
20
22
24
26
28
30
32
34
36
38
40
42
44
46
48
50
52
54
56
58
60
62
64
66
68
70
72
74
76
78
80
82
84
86
88

1
50
5%
25%
FALSE
2

Result
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Stock Price
Int. Rate
Volatility
IsCall
Result

50
5%
30%
TRUE
1

0->Price, 1->Delta, 2->Gamma, 3->Vega, 4->Theta, 5->Rho

Plot of price, delta, gamma, vega, theta or rho


vs stock price for Black-Scholes model
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
0

20

40

60

80

100

0.005
0.01
0.05
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45
0.50
0.55
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
3.75
4.00
4.25
4.50
4.75
5.00

90
92
94
96
98
100

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0->Price, 1->Delta, 2->Gamma, 3->Vega, 4->Theta, 5->Rho

40
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Strike
50
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60
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Plot of price, delta, gamma, vega, theta or rho


vs time to maturity for Black-Scholes model
1.0000
0.9000
0.8000
0.7000

40

0.6000

50

0.5000

60

0.4000
0.3000
0.2000
0.1000
0.0000
0

40
50
60

INVESTIGATES THE EFFECTIVENESS OF DELTA HEDGING FOR A W


See Tables 17.2 and 17.3 in Options, Futures, and Other Derivatives, 7e (and Tables 15
Uses Monte Carlo Simulation with the antithetic variable technique so that two trials a
Problem 17.30 in Options, Futures, and Other Derivatives, 7e (and 15.28 in Fundamenta
Hedging a call option - Table 13.2

Push F9 to see a new set of results

Stock Price
50
Int. Rate
5%
Vol
20%
Strike
50
Number of Shares 100,000
T 0.383562
IsCall TRUE

Weekly Hedging
Cum. Cost
Payoff
Tot. Cost
Base Case #VALUE!
773,938 #VALUE!
Antithetic Case #VALUE!
0
#VALUE!
Daily Hedging
Cum. Cost
Payoff
Tot. Cost
Base Case #VALUE!
0
#VALUE!
Antithetic Case #VALUE!
798,658 #VALUE!

Option Price #VALUE!

Random Numbers
Uniform
Normal
0.66839
0.43548
0.61596
0.29489
0.77136
0.74333
0.81878
0.91074
0.70277
0.53238
0.00614
-2.50417
0.89228
1.23874
0.90200
1.29304
0.68157
0.47210
0.26176
-0.63794
0.59007
0.22772
0.82711
0.94282
0.99126
2.37664
0.17187
-0.94681
0.27447
-0.59936
0.32820
-0.44488
0.62325
0.31404
0.28519
-0.56749
0.40397
-0.24309
0.82768
0.94502

Week

Stock
Price

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

0.000
0.019
0.038
0.058
0.077
0.096
0.115
0.134
0.153
0.173
0.192
0.211
0.230
0.249
0.268
0.288
0.307
0.326
0.345
0.364
0.383

50.00
50.64
51.08
52.17
53.54
54.36
50.75
52.55
54.50
55.25
54.31
54.69
56.17
60.02
58.50
57.57
56.90
57.43
56.57
56.22
57.74

Delta
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Base Case
Shares
Purchased
Cost
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Base Case

Random Numbers
Uniform
Normal
0.10910
-1.23133

Day

Stock
Price

Delta

Shares
Purchased

Cost

0
1

0.000
0.003

50.00
49.36

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0.59415
0.39838
0.07005
0.17619
0.32854
0.90705
0.90509
0.65666
0.33221
0.23932
0.54402
0.01859
0.07982
0.70076
0.30076
0.30856
0.48218
0.30924
0.23974
0.60005
0.64329
0.25141
0.54603
0.05522
0.90348
0.12758
0.17873
0.46058
0.29344
0.82604
0.68450
0.84441
0.46102
0.42588
0.27036
0.56388
0.47361
0.18058
0.07505
0.11186
0.35537
0.61451
0.52321
0.36496
0.83901
0.06489
0.88360
0.99488
0.48927
0.19829
0.56446
0.28958

0.23822
-0.25755
-1.47543
-0.92998
-0.44394
1.32282
1.31112
0.40336
-0.43382
-0.70848
0.11057
-2.08389
-1.40628
0.52659
-0.52222
-0.49995
-0.04469
-0.49802
-0.70713
0.25348
0.36727
-0.67006
0.11563
-1.59620
1.30167
-1.13789
-0.92020
-0.09897
-0.54337
0.93862
0.48032
1.01275
-0.09787
-0.18687
-0.61172
0.16082
-0.06620
-0.91314
-1.43918
-1.21669
-0.37086
0.29110
0.05822
-0.34523
0.99040
-1.51500
1.19319
2.56734
-0.02691
-0.84776
0.16229
-0.55461

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53

0.005
0.008
0.011
0.014
0.016
0.019
0.022
0.025
0.027
0.030
0.033
0.036
0.038
0.041
0.044
0.047
0.049
0.052
0.055
0.058
0.060
0.063
0.066
0.068
0.071
0.074
0.077
0.079
0.082
0.085
0.088
0.090
0.093
0.096
0.099
0.101
0.104
0.107
0.110
0.112
0.115
0.118
0.121
0.123
0.126
0.129
0.132
0.134
0.137
0.140
0.142
0.145

49.49
49.36
48.61
48.14
47.92
48.60
49.27
49.48
49.26
48.90
48.96
47.91
47.21
47.48
47.22
46.98
46.96
46.72
46.38
46.51
46.69
46.37
46.43
45.66
46.30
45.75
45.32
45.27
45.02
45.47
45.70
46.19
46.15
46.06
45.77
45.85
45.82
45.39
44.72
44.15
43.99
44.13
44.16
44.00
44.46
43.77
44.32
45.53
45.52
45.12
45.20
44.95

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0.90671
0.01432
0.56352
0.56562
0.06265
0.66267
0.09690
0.19910
0.58694
0.75516
0.94890
0.23389
0.26822
0.61796
0.39776
0.79186
0.17735
0.92172
0.32894
0.55124
0.36218
0.76909
0.18692
0.54375
0.96924
0.50551
0.79182
0.89708
0.35726
0.18377
0.68708
0.17191
0.28065
0.84289
0.49182
0.62201
0.61013
0.08684
0.74398
0.41537
0.67260
0.15817
0.60894
0.88316
0.50065
0.09735
0.01245
0.04875
0.86811
0.70274
0.45545
0.34936

1.32078
-2.18846
0.15990
0.16522
-1.53288
0.41977
-1.29941
-0.84483
0.21969
0.69083
1.63427
-0.72610
-0.61820
0.30014
-0.25914
0.81290
-0.92552
1.41671
-0.44285
0.12880
-0.35263
0.73586
-0.88930
0.10989
1.86971
0.01381
0.81277
1.26506
-0.36580
-0.90110
0.48759
-0.94664
-0.58091
1.00642
-0.02050
0.31075
0.27967
-1.36048
0.65565
-0.21375
0.44711
-1.00201
0.27656
1.19093
0.00162
-1.29681
-2.24284
-1.65710
1.11750
0.53229
-0.11189
-0.38705

54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105

0.148
0.151
0.153
0.156
0.159
0.162
0.164
0.167
0.170
0.173
0.175
0.178
0.181
0.184
0.186
0.189
0.192
0.195
0.197
0.200
0.203
0.205
0.208
0.211
0.214
0.216
0.219
0.222
0.225
0.227
0.230
0.233
0.236
0.238
0.241
0.244
0.247
0.249
0.252
0.255
0.258
0.260
0.263
0.266
0.268
0.271
0.274
0.277
0.279
0.282
0.285
0.288

45.58
44.55
44.63
44.71
44.00
44.20
43.60
43.22
43.32
43.64
44.40
44.07
43.79
43.93
43.81
44.19
43.77
44.43
44.22
44.29
44.13
44.47
44.06
44.12
44.99
45.00
45.39
46.00
45.83
45.40
45.64
45.19
44.92
45.40
45.40
45.55
45.68
45.04
45.36
45.26
45.47
45.00
45.14
45.71
45.71
45.10
44.06
43.30
43.82
44.06
44.02
43.84

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0.48265
0.10985
0.36560
0.42079
0.99416
0.32819
0.10530
0.71175
0.65860
0.54140
0.16037
0.99246
0.39139
0.24675
0.19758
0.67379
0.35142
0.95195
0.95867
0.13345
0.02568
0.09961
0.44302
0.66405
0.77111
0.26312
0.36165
0.51068
0.69027
0.14891
0.14013
0.67949
0.50318
0.96287
0.78995

-0.04349
-1.22731
-0.34353
-0.19987
2.52185
-0.44491
-1.25193
0.55850
0.40865
0.10395
-0.99294
2.43057
-0.27571
-0.68476
-0.85028
0.45041
-0.38150
1.66403
1.73545
-1.11025
-1.94841
-1.28375
-0.14332
0.42354
0.74250
-0.63374
-0.35406
0.02677
0.49660
-1.04111
-1.07973
0.46628
0.00797
1.78507
0.80623

106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140

0.290
0.293
0.296
0.299
0.301
0.304
0.307
0.310
0.312
0.315
0.318
0.321
0.323
0.326
0.329
0.332
0.334
0.337
0.340
0.342
0.345
0.348
0.351
0.353
0.356
0.359
0.362
0.364
0.367
0.370
0.373
0.375
0.378
0.381
0.383

43.83
43.27
43.12
43.03
44.19
43.98
43.42
43.67
43.86
43.92
43.46
44.59
44.46
44.15
43.76
43.97
43.80
44.57
45.40
44.87
43.97
43.39
43.33
43.52
43.87
43.58
43.42
43.44
43.67
43.20
42.72
42.93
42.94
43.75
44.12

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TA HEDGING FOR A WRITTEN OPTION


tives, 7e (and Tables 15.2 and 15.3 in Fundamentals, 6e)
que so that two trials are generated when F9 is pressed
d 15.28 in Fundamentals, 6e) is based on this application

Number of shares traded


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Number of shares traded


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Case
Int. Cost
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Cum.
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50.00
49.43
49.06
48.08
46.91
46.25
49.60
47.96
46.30
45.72
46.56
46.30
45.13
42.28
43.43
44.18
44.75
44.39
45.12
45.45
44.31

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Case

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Shares
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50.00
50.65

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50.53
50.67
51.46
51.97
52.22
51.50
50.81
50.60
50.83
51.21
51.16
52.29
53.07
52.78
53.08
53.36
53.39
53.67
54.08
53.94
53.74
54.12
54.06
54.97
54.23
54.89
55.42
55.48
55.81
55.26
54.99
54.42
54.48
54.59
54.94
54.86
54.90
55.43
56.28
57.00
57.23
57.06
57.03
57.24
56.65
57.56
56.85
55.35
55.37
55.87
55.78
56.11

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55.34
56.63
56.54
56.45
57.37
57.12
57.91
58.42
58.30
57.88
56.90
57.34
57.72
57.54
57.70
57.22
57.78
56.93
57.20
57.13
57.35
56.91
57.45
57.39
56.28
56.28
55.80
55.08
55.29
55.82
55.54
56.10
56.44
55.86
55.87
55.70
55.54
56.34
55.96
56.09
55.83
56.43
56.27
55.57
55.58
56.34
57.69
58.70
58.02
57.70
57.78
58.02

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58.05
58.80
59.02
59.15
57.61
57.89
58.65
58.32
58.07
58.01
58.62
57.16
57.33
57.74
58.26
58.00
58.23
57.23
56.21
56.87
58.04
58.83
58.93
58.67
58.22
58.61
58.84
58.83
58.53
59.17
59.85
59.56
59.56
58.46
57.99

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INVESTIGATES THE EFFECTIVENESS OF DELTA AND GA


Uses Monte Carlo Simulation with the antithetic variable technique
Problem 24.31 in Options, Futures, and Other Deriva
Hedging a binary option with a call option
Market Data
Stock Price 49
Int. Rate 5%
Vol 30%

Binary Option
Strike
52
Number of Shares
1,000
T
0.3836
IsCall
TRUE
IsCash
FALSE
Option Price #VALUE!

Hedging Call
Strike
55
T
0.5
IsCall
TRUE

Option Price #VALUE!

Asset or Nothing
Random Numbers
Uniform
Normal
0.94879
1.63326
0.73023
0.61352
0.00746
-2.43439
0.18789
-0.88570
0.97389
1.94134
0.20805
-0.81321
0.78241
0.78034
0.99058
2.34875
0.25017
-0.67394
0.45982
-0.10090
0.21531
-0.78812
0.68221
0.47389
0.06634
-1.50364
0.46582
-0.08578
0.73075
0.61508
0.36520
-0.34460
0.35912
-0.36080
0.71363
0.56402
0.15811
-1.00224
0.30552
-0.50858

Hedge Option

Week

Stock
Price

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

0.000
0.019
0.038
0.058
0.077
0.096
0.115
0.134
0.153
0.173
0.192
0.211
0.230
0.249
0.268
0.288
0.307
0.326
0.345
0.364
0.383

49.00
52.45
53.80
48.63
46.88
50.82
49.14
50.76
55.97
54.43
54.21
52.47
53.52
50.28
50.11
51.41
50.68
49.93
51.12
49.04
48.02

Week

Stock
Price

Delta

Gamma

Price

Delta

0
1
2

0.000
0.019
0.038

49.00
45.79
44.64

#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

Delta

Gamma

Price

Delta

#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Asset or Nothing

Hedge Option

3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

0.058
0.077
0.096
0.115
0.134
0.153
0.173
0.192
0.211
0.230
0.249
0.268
0.288
0.307
0.326
0.345
0.364
0.383

49.40
51.25
47.29
48.92
47.36
42.96
44.19
44.38
45.86
44.97
47.87
48.05
46.84
47.52
48.24
47.13
49.14
50.19

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

SS OF DELTA AND GAMMA HEDGING FOR A WRITTEN OPTION


etic variable technique so that two trials are generated when F9 is pressed
ures, and Other Derivatives, 7e is based on this application
Push F9 to see a new set of results
Weekly Hedging
Cum. Cost Payoff
Tot. Cost
Base Case #VALUE!
0
#VALUE!
Antithetic Case #VALUE!
0
#VALUE!

Hedge Option
Gamma
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Hedge Option
Gamma
#VALUE!
#VALUE!
#VALUE!

Base Case
Gamma Hedge
Opt.
Opt. Posn. Purch.
Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!

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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Antithetic Case
Gamma Hedge
Opt.
Opt. Posn. Purch.
Cost
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

Trading Volume
Calls
Shares
#VALUE! #VALUE!
#VALUE! #VALUE!

Delta Hedge
Shares
Net Delta Purchased
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Delta Hedge
Shares
Net Delta Purchased
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Cost

Total Cost Int. Cost


#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!
#VALUE!

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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Total Cost Int. Cost

#VALUE! #VALUE! #VALUE!


#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!

#VALUE!
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#VALUE!

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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Trading Volume
Cum. Cost

Calls

Shares

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
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#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Trading Volume
Cum. Cost
#VALUE!
#VALUE!
#VALUE!

Calls

Shares

#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

VALUE AT RISK CALCULATION FOR PORTFOLIO OF OPTIONS DEPENDENT ON A SINGLE ST


Uses Results in Chapter 20 of Options, Futures and Other Derivatives, 7e
Problem 20.21 in Options, Futures and Other Derivatives, 7e is based on this application
Today
S
IsFut
r
q
Volatility
1-Day Vol

0
49
FALSE
5%
0%
30%
1.89%

Portfolio
Underlying
Black Scholes
Black Scholes
Black Scholes

Type
0
1
1
1

Portfolio
Value
#VALUE!
Delta
#VALUE!
Gamma
#VALUE!
Linear model

1-Day VaR

#VALUE!

Quadratic Model

E(dP)
E(dp^2)
E(dP^3)

#VALUE!
#VALUE!
#VALUE!

1-Day VaR

#VALUE!

######
######
######

We calculate the analytic VaR by generating 1000 equally likely portfolio values
1-Day VaR
#VALUE!
Portfolio
S
Value
1
46.13840484
#VALUE!
1
46.33478493
#VALUE!
46.45551883
#VALUE!
1
46.54414899
#VALUE!
46.61474869
#VALUE!
1
46.6737218
#VALUE!
46.72454226
#VALUE!
1
46.76931299
#VALUE!
1
46.80940696
#VALUE!
46.84577172
#VALUE!
0
46.87908966
#VALUE!
46.90986907
#VALUE!
0
46.93849905
#VALUE!
46.96528434
#VALUE!
0
46.99046819
#VALUE!
47.01424798
#VALUE!
0
47.03678614
#VALUE!
0
47.05821803
#VALUE!
45
47.07865763
#VALUE!

Prob<S
0.001
0.002
0.003
0.004
0.005
0.006
0.007
0.008
0.009
0.01
0.011
0.012
0.013
0.014
0.015
0.016
0.017
0.018
0.019
0.02 47.09820189
0.021 47.11693399
0.022 47.13492581

z_q
w_q

Portfolio Value

Analytic VaR

mu_P
Sig_P
Xi_P

#VALUE!
#VALUE!
#VALUE!

46

0.023
0.024
0.025
0.026
0.027
0.028
0.029
0.03
0.031
0.032
0.033
0.034
0.035
0.036
0.037
0.038
0.039
0.04
0.041
0.042
0.043
0.044
0.045
0.046
0.047
0.048
0.049
0.05
0.051
0.052
0.053
0.054
0.055
0.056
0.057
0.058
0.059
0.06
0.061
0.062
0.063
0.064
0.065
0.066
0.067
0.068
0.069
0.07
0.071
0.072
0.073
0.074

47.15223994
47.16893121
47.18504795
47.20063297
47.21572436
47.23035623
47.24455916
47.25836075
47.27178596
47.28485745
47.29759586
47.31002003
47.32214724
47.33399332
47.34557287
47.35689936
47.36798523
47.37884201
47.38948042
47.39991043
47.4101413
47.42018171
47.43003975
47.43972301
47.44923861
47.45859322
47.46779312
47.47684423
47.48575211
47.49452204
47.50315897
47.51166762
47.52005244
47.52831765
47.53646725
47.54450504
47.55243465
47.5602595
47.56798289
47.57560792
47.58313759
47.59057472
47.59792203
47.60518212
47.61235748
47.61945047
47.62646338
47.63339838
47.64025757
47.64704296
47.65375647
47.66039996

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.075
0.076
0.077
0.078
0.079
0.08
0.081
0.082
0.083
0.084
0.085
0.086
0.087
0.088
0.089
0.09
0.091
0.092
0.093
0.094
0.095
0.096
0.097
0.098
0.099
0.1
0.101
0.102
0.103
0.104
0.105
0.106
0.107
0.108
0.109
0.11
0.111
0.112
0.113
0.114
0.115
0.116
0.117
0.118
0.119
0.12
0.121
0.122
0.123
0.124
0.125
0.126

47.6669752
47.67348392
47.67992775
47.68630828
47.69262705
47.69888553
47.70508513
47.71122722
47.71731314
47.72334415
47.72932149
47.73524635
47.74111988
47.7469432
47.75271738
47.75844346
47.76412247
47.76975537
47.77534311
47.78088661
47.78638676
47.79184443
47.79726045
47.80263563
47.80797078
47.81326664
47.81852398
47.8237435
47.82892592
47.83407192
47.83918216
47.84425729
47.84929794
47.85430473
47.85927824
47.86421907
47.86912777
47.87400489
47.87885099
47.88366656
47.88845214
47.89320822
47.89793527
47.90263378
47.90730421
47.911947
47.91656261
47.92115145
47.92571395
47.93025053
47.93476157
47.93924747

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.127
0.128
0.129
0.13
0.131
0.132
0.133
0.134
0.135
0.136
0.137
0.138
0.139
0.14
0.141
0.142
0.143
0.144
0.145
0.146
0.147
0.148
0.149
0.15
0.151
0.152
0.153
0.154
0.155
0.156
0.157
0.158
0.159
0.16
0.161
0.162
0.163
0.164
0.165
0.166
0.167
0.168
0.169
0.17
0.171
0.172
0.173
0.174
0.175
0.176
0.177
0.178

47.94370861
47.94814538
47.95255813
47.95694722
47.961313
47.96565582
47.969976
47.97427388
47.97854978
47.98280401
47.98703688
47.99124868
47.99543973
47.99961029
48.00376066
48.00789112
48.01200193
48.01609336
48.02016567
48.02421912
48.02825396
48.03227044
48.03626879
48.04024925
48.04421206
48.04815744
48.05208562
48.05599681
48.05989124
48.06376911
48.06763063
48.071476
48.07530543
48.07911911
48.08291724
48.0867
48.09046758
48.09422016
48.09795793
48.10168105
48.10538972
48.10908409
48.11276433
48.11643061
48.12008309
48.12372194
48.1273473
48.13095934
48.13455821
48.13814404
48.14171701
48.14527724

#VALUE!
#VALUE!
#VALUE!
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#VALUE!
#VALUE!
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0.647
0.648
0.649
0.65
0.651
0.652
0.653
0.654
0.655
0.656
0.657
0.658
0.659
0.66
0.661
0.662
0.663
0.664
0.665
0.666
0.667
0.668
0.669
0.67
0.671
0.672
0.673
0.674
0.675
0.676
0.677
0.678
0.679
0.68
0.681
0.682
0.683
0.684
0.685
0.686
0.687
0.688
0.689
0.69
0.691
0.692
0.693
0.694
0.695
0.696
0.697
0.698

49.34932322
49.35181683
49.354313
49.35681175
49.35931309
49.36181706
49.36432368
49.36683297
49.36934496
49.37185967
49.37437712
49.37689735
49.37942036
49.3819462
49.38447489
49.38700644
49.38954089
49.39207826
49.39461858
49.39716187
49.39970816
49.40225748
49.40480984
49.40736529
49.40992385
49.41248553
49.41505038
49.41761842
49.42018967
49.42276416
49.42534193
49.427923
49.43050739
49.43309515
49.43568629
49.43828085
49.44087885
49.44348032
49.44608531
49.44869382
49.4513059
49.45392158
49.45654089
49.45916385
49.4617905
49.46442087
49.467055
49.4696929
49.47233463
49.47498021
49.47762967
49.48028304

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.699
0.7
0.701
0.702
0.703
0.704
0.705
0.706
0.707
0.708
0.709
0.71
0.711
0.712
0.713
0.714
0.715
0.716
0.717
0.718
0.719
0.72
0.721
0.722
0.723
0.724
0.725
0.726
0.727
0.728
0.729
0.73
0.731
0.732
0.733
0.734
0.735
0.736
0.737
0.738
0.739
0.74
0.741
0.742
0.743
0.744
0.745
0.746
0.747
0.748
0.749
0.75

49.48294036
49.48560167
49.48826699
49.49093637
49.49360983
49.49628741
49.49896915
49.50165507
49.50434523
49.50703965
49.50973837
49.51244142
49.51514885
49.51786069
49.52057698
49.52329775
49.52602305
49.52875291
49.53148738
49.53422649
49.53697028
49.53971879
49.54247206
49.54523014
49.54799307
49.55076088
49.55353362
49.55631134
49.55909406
49.56188185
49.56467474
49.56747277
49.570276
49.57308446
49.5758982
49.57871727
49.58154171
49.58437157
49.5872069
49.59004775
49.59289416
49.59574618
49.59860387
49.60146727
49.60433643
49.6072114
49.61009224
49.612979
49.61587172
49.61877047
49.62167529
49.62458625

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.751
0.752
0.753
0.754
0.755
0.756
0.757
0.758
0.759
0.76
0.761
0.762
0.763
0.764
0.765
0.766
0.767
0.768
0.769
0.77
0.771
0.772
0.773
0.774
0.775
0.776
0.777
0.778
0.779
0.78
0.781
0.782
0.783
0.784
0.785
0.786
0.787
0.788
0.789
0.79
0.791
0.792
0.793
0.794
0.795
0.796
0.797
0.798
0.799
0.8
0.801
0.802

49.62750339
49.63042677
49.63335645
49.63629248
49.63923492
49.64218383
49.64513926
49.64810128
49.65106995
49.65404533
49.65702747
49.66001644
49.6630123
49.66601512
49.66902496
49.67204189
49.67506596
49.67809726
49.68113583
49.68418176
49.6872351
49.69029594
49.69336434
49.69644037
49.6995241
49.70261561
49.70571498
49.70882226
49.71193755
49.71506092
49.71819245
49.72133221
49.72448028
49.72763675
49.7308017
49.7339752
49.73715735
49.74034823
49.74354793
49.74675653
49.74997411
49.75320078
49.75643662
49.75968172
49.76293618
49.76620009
49.76947354
49.77275664
49.77604948
49.77935217
49.7826648
49.78598747

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.803
0.804
0.805
0.806
0.807
0.808
0.809
0.81
0.811
0.812
0.813
0.814
0.815
0.816
0.817
0.818
0.819
0.82
0.821
0.822
0.823
0.824
0.825
0.826
0.827
0.828
0.829
0.83
0.831
0.832
0.833
0.834
0.835
0.836
0.837
0.838
0.839
0.84
0.841
0.842
0.843
0.844
0.845
0.846
0.847
0.848
0.849
0.85
0.851
0.852
0.853
0.854

49.78932029
49.79266338
49.79601682
49.79938073
49.80275523
49.80614042
49.80953642
49.81294335
49.81636131
49.81979043
49.82323083
49.82668263
49.83014595
49.83362093
49.83710768
49.84060635
49.84411705
49.84763993
49.85117512
49.85472276
49.85828299
49.86185596
49.86544179
49.86904066
49.8726527
49.87627806
49.87991691
49.88356939
49.88723567
49.89091591
49.89461028
49.89831895
49.90204207
49.90577984
49.90953242
49.9133
49.91708276
49.92088089
49.92469457
49.928524
49.93236937
49.93623089
49.94010876
49.94400319
49.94791438
49.95184256
49.95578794
49.95975075
49.96373121
49.96772956
49.97174604
49.97578088

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.855
0.856
0.857
0.858
0.859
0.86
0.861
0.862
0.863
0.864
0.865
0.866
0.867
0.868
0.869
0.87
0.871
0.872
0.873
0.874
0.875
0.876
0.877
0.878
0.879
0.88
0.881
0.882
0.883
0.884
0.885
0.886
0.887
0.888
0.889
0.89
0.891
0.892
0.893
0.894
0.895
0.896
0.897
0.898
0.899
0.9
0.901
0.902
0.903
0.904
0.905
0.906

49.97983433
49.98390664
49.98799807
49.99210888
49.99623934
50.00038971
50.00456027
50.00875132
50.01296312
50.01719599
50.02145022
50.02572612
50.030024
50.03434418
50.038687
50.04305278
50.04744187
50.05185462
50.05629139
50.06075253
50.06523843
50.06974947
50.07428605
50.07884855
50.08343739
50.088053
50.09269579
50.09736622
50.10206473
50.10679178
50.11154786
50.11633344
50.12114901
50.12599511
50.13087223
50.13578093
50.14072176
50.14569527
50.15070206
50.15574271
50.16081784
50.16592808
50.17107408
50.1762565
50.18147602
50.18673336
50.19202922
50.19736437
50.20273955
50.20815557
50.21361324
50.21911339

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.907
0.908
0.909
0.91
0.911
0.912
0.913
0.914
0.915
0.916
0.917
0.918
0.919
0.92
0.921
0.922
0.923
0.924
0.925
0.926
0.927
0.928
0.929
0.93
0.931
0.932
0.933
0.934
0.935
0.936
0.937
0.938
0.939
0.94
0.941
0.942
0.943
0.944
0.945
0.946
0.947
0.948
0.949
0.95
0.951
0.952
0.953
0.954
0.955
0.956
0.957
0.958

50.22465689
50.23024463
50.23587753
50.24155654
50.24728262
50.2530568
50.25888012
50.26475365
50.27067851
50.27665585
50.28268686
50.28877278
50.29491487
50.30111447
50.30737295
50.31369172
50.32007225
50.32651608
50.3330248
50.33960004
50.34624353
50.35295704
50.35974243
50.36660162
50.37353662
50.38054953
50.38764252
50.39481788
50.40207797
50.40942528
50.41686241
50.42439208
50.43201711
50.4397405
50.44756535
50.45549496
50.46353275
50.47168235
50.47994756
50.48833238
50.49684103
50.50547796
50.51424789
50.52315577
50.53220688
50.54140678
50.55076139
50.56027699
50.56996025
50.57981829
50.5898587
50.60008957

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

0.959
0.96
0.961
0.962
0.963
0.964
0.965
0.966
0.967
0.968
0.969
0.97
0.971
0.972
0.973
0.974
0.975
0.976
0.977
0.978
0.979
0.98
0.981
0.982
0.983
0.984
0.985
0.986
0.987
0.988
0.989
0.99
0.991
0.992
0.993
0.994
0.995
0.996
0.997
0.998
0.999

50.61051958
50.62115799
50.63201477
50.64310064
50.65442713
50.66600668
50.67785276
50.68997997
50.70240414
50.71514255
50.72821404
50.74163925
50.75544084
50.76964377
50.78427564
50.79936703
50.81495205
50.83106879
50.84776006
50.86507419
50.88306601
50.90179811
50.92134237
50.94178197
50.96321386
50.98575202
51.00953181
51.03471566
51.06150095
51.09013093
51.12091034
51.15422828
51.19059304
51.23068701
51.27545774
51.3262782
51.38525131
51.45585101
51.54448117
51.66521507
51.86159516

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

ENT ON A SINGLE STOCK


erivatives, 7e
d on this application
Number
1000
100
500
1600

55
50
50

0.5
0.25
0.2

TRUE
TRUE
FALSE

-2.3263
#VALUE!

47

48

49
Asset Price

50

51

52

53

CALCULATION OF A STATIC OPTIONS REPLICATION


Carries out calculations for the example in Section 24.14 of Option
Problem 24.27 in Options, Futures, and Other Derivatives, 7e is bas
Barrier Option
Stock
50
Strike
50
Barrier
60
r
10.00%
q
0%
vol
30%
t
0.75

IsUp
IsIn
IsCall

Barrier Price #VALUE!

A four option hedge


S at which Portfolio
Hedge
value is without this
Time
zero
Opt.
0.5
0.25
0
0

60
60
60
50

#VALUE!
#VALUE!
#VALUE!

A sixteen option hedge


S at which Portfolio
Hedge
value is without this
Time
zero
Opt.
0.7
0.65
0.6
0.55
0.5
0.45
0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0
0

60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
50

TRUE
FALSE
TRUE

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Hedge Portfolio
Value of
this Opt.

Number
needed to
Hedge

#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!

Value of
this Opt.

Number
needed to
Hedge

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Type
1
1
1
1

Number
1
######
######
######

K
50
60
60
60

Tmat IsCall
0.75 TRUE
0.75 TRUE
0.5 TRUE
0.25 TRUE
Hedge Price

Hedge Portfolio

Type
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

Number
1
######
######
######
######
######
######
######
######
######
######
######
######
######
######
######

K
50
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60

Tmat IsCall
0.75 TRUE
0.75 TRUE
0.7 TRUE
0.65 TRUE
0.6 TRUE
0.55 TRUE
0.5 TRUE
0.45 TRUE
0.4 TRUE
0.35 TRUE
0.3 TRUE
0.25 TRUE
0.2 TRUE
0.15 TRUE
0.1 TRUE
0.05 TRUE
Hedge Price

TIC OPTIONS REPLICATION POSITION


mple in Section 24.14 of Options, Futures and Other Derivatives, 7e
nd Other Derivatives, 7e is based on this application

Return
0

0 = Price
1 = Delta
2 = Gamma
3 = Vega

Portfolio
Value with
this Opt.
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Portfolio
Value with
this Opt.
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

A better sixteen option hedge


S at which Portfolio
Hedge
value is without this
Time
zero
Opt.
0.745
0.74
0.73
0.72
0.71
0.7
0.68
0.65
0.6
0.55
0.5
0.4
0.3
0.2
0
0

60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
50

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Hedge Portfolio
Value of
this Opt.

Number
needed to
Hedge

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Type
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1

Number
1
######
######
######
######
######
######
######
######
######
######
######
######
######
######
######

K
50
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60

Tmat IsCall
0.750 TRUE
0.750 TRUE
0.745 TRUE
0.740 TRUE
0.730 TRUE
0.720 TRUE
0.710 TRUE
0.700 TRUE
0.680 TRUE
0.650 TRUE
0.600 TRUE
0.550 TRUE
0.500 TRUE
0.400 TRUE
0.300 TRUE
0.200 TRUE
Hedge Price

Portfolio
Value with
this Opt.
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TESTS CONVERGENCE OF TRINOMIAL TREE FOR A EUROPEAN BOND OPTION


This carries out calculations for Example 30.1 in Options, Futures, and Other Derivative
Problem 30.26 in Options, Futures, and Other Derivatives, 7e is based on this applica
Term Structure
0.008219 5.018%
0.084932 4.983%
0.169863 4.972%
0.257534 4.962%
0.506849 4.991%
1.005479 5.094%
2.00274
5.797%
3.00274
6.306%
4.00274
6.735%
5.00274
6.948%
6.010959 7.088%
7.008219 7.275%
8.005479 7.309%
9.005479 7.398%
10.00822 7.490%

Time to Ex.
BondLife
Coupon
Principal
Payment Freq

1
9
0.00%
100
2

IsCall
Result

TRUE
0

Sigma
RevRate
Strike
IsQuotedStrike

1.0000
0.9000
0.8000
0.7000
0.6000
0.5000
0.4000
0.3000
0.2000
0.1000
0.0000

1.00%
10.00%
55
FALSE

nSteps
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

Tree
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Analytic
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33
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80

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A EUROPEAN BOND OPTION


Futures, and Other Derivatives, 7e
s, 7e is based on this application

Trinomial Convergence

Tree
Analytic

20

40
nSteps

60

80