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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:
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.
2
n designed to
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kets" 6/E
from outlets such as
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ystems, Inc.
Equity_FX_Index_Futures_Options
Horizontal Axis:
Stock Price: 50.00 Time to Exercise
Volatility (% per year): 40.00%
Risk-Free Rate (% per year): 10.00% Minimum X value 0.01
Maximum X value 0.4166666667
Option Data 5
Option Type:
Option Price
4.5
Binomial: American Imply Volatility
4
Time to Expiration: 0.4167 Put 3.5
Exercise Price: 50.00
Tree Steps: 5 Call 3
2.5
Page 3
Bond Data Term Structure
Time (Yrs) Rate (%)
Principal: 100 Coupon Frequency: 0.5 4.500%
Bond Life (Years): 5 Annual
1 5.000%
Coupon Rate (%): 6.000% 2 5.500%
Quoted Bond Price (/100): 98.18647 3 5.800%
4 6.100%
Option Data 5 6.300%
Pricing Model:
Normal - Analytic European Imply Volatility
Price: 2.983426
DV01 (Per basis point): 0.026938
Gamma01 (Per %): 0.008989
Vega (per %): 1.009984
Graph Results
Vertical Axis:
DV01
Horizontal Axis:
Parallel Rate Shift
0.035
0.03
DV01
0.025
0.02
0.015
0.01
0.005
0
-1.00% -0.50% 0.00% 0.50% 1.00%
Parallel Rate Shift
Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Swap Option 0.010959 1.845%
Settlement Frequency: 0.550685 1.820%
Principal : 100 Quarterly 0.8 1.864%
Swap Start (Years): 1.00 1.049315 1.952%
Swap End (Years): 5.00 1.29863 2.073%
Swap Rate (%): 4.18% Imply Breakeven Rate 1.547945 2.217%
2.046575 2.496%
Pricing Model: 2.545205 2.750%
Normal - European 3.063014 2.995%
3.542466 3.203%
Short-Rate Volatility (%): 1.50% Imply Volatility 3.810959 3.314%
Reversion Rate (%): 4.10% 4.060274 3.414%
Rec. Fixed 4.515068 3.576%
5.016438 3.752%
● Pay Fixed
5.515068 3.899%
Price: 1.9714411
DV01 (Per basis point): 0.0175928
Gamma01 (Per %): 0.0095717
Vega (per %): 1.3107689
Graph Results
Vertical Axis:
DV01
Horizontal Axis:
Swap / Cap Rate
0.035
0.03
0.025
DV01
0.02
0.015
0.01
0.005
0
1.18% 2.18% 3.18%
Swap Rate 4.18% 5.18% 6.18% 7.18%