DG152 Functions

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

tent"
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
q
vol
T
IsCall
IsFut
Divs
IsAmerican
TRUE if American option, FALSE if European option
nSteps
Number of time steps on tree
Result
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
q
vol
T
IsCall
IsFut
Divs
IsCash
TRUE if Cash or Nothing, FALSE if Asset or Nothing
Result
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
q
vol
T
IsCall
IsFut
H
Barrier
IsUp
TRUE if Up option; FALSE if Down option
IsIn
TRUE if In option; FALSE if Out option
Result
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
q
vol
T
IsCall
IsFut
CurrAve
TimeSoFar
Result
Example
Current Average (irrelevant if a new instrument)

Time since beginning of averaging in years (zero for a new instrument)
#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
q
vol
T
IsFut
TimeToChoice
Time until choice between call and put has to be made
Result
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
q
vol
T1
Time to first exercise
IsCall
True if first option a call, FALSE if first option a put
IsFut
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
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
q
vol
T
IsCall
TRUE if lookback call, FALSE if lookback put
IsFut
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
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
q
Divs
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
End
CapRate
Cap Rate
L
Notional amount
Frequ
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
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
End
CapRate
Cap Rate
L
Notional Amount
Frequ
sigma
Volatility parameter
a
Reversion rate
IsCap
TRUE if cap, FALSE if floor
Model
0=Normal, 1=Lognormal
nSteps
Number of time steps
Zeros
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
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
End
SwapRate
Strike Swap Rate
L
Principal amount
Frequ
sigma
a
Reversion rate
IsPayFix
Zeros
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

#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
End
SwapRate
Strike Swap Rate
L
Principal amount
Frequ
sigma
a
Reversion rate
IsPayFix
Model
nsteps
Zeros
Result
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
IsQuoted
True if strike is a quoted price, false if strike is cash price
Zeros
Result
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
Coupon
Princ
Bond Principal
Frequ
Frequency of payments on bond (=4, 2, or 1)
K
Strike Price
T
sigma
a
Reversion rate
IsCall
IsQuoted
Zeros
Result
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
Coupon
Princ
Bond Principal
Frequ
Frequency of payments on bond per year (=4, 2, or 1)
K
Strike Price
T
sigma
a
Reversion rate
IsCall
IsQuoted
IsAmerican
TRUE if American option, FALSE if European
Model
nSteps
Zeros
Result
Example
#VALUE!
Function 19: BondPrice(BondLife, Coupon, Princ, Frequ, Zeros, IsClean, Result)

Values a bond
Arguments:
BondLife
Coupon
Princ
Frequ
Zeros
IsClean
Result
Example
Bond principal
Frequency of payments on bond per year (=12, 4, 2, or 1)
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
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
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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5.00
2
10
14
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22
30
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36
37
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39
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42
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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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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!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Base Case
Shares
Purchased
Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.90671
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.48265
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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

#VALUE!
#VALUE!
Number of shares traded

#VALUE!
#VALUE!
Case
Int. Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Cum.
Cost
Stock
Price
Delta
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Case
Antithetic Case
Shares
Purchased
Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Int. Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Cum.
Cost
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Antithetic Case
Int. Cost
Cum.
Cost
#VALUE! #VALUE!
#VALUE! #VALUE!
Stock
Price
Delta
Shares
Purchased
50.00
50.65
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Cost
Int. Cost
Cum.
Cost
#VALUE! #VALUE! #VALUE!

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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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
Hedging Call
Strike
55
T
0.5
IsCall
TRUE
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
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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
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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
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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)
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#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
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46.72454226
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1
46.76931299
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1
46.80940696
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46.84577172
#VALUE!
0
46.87908966
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46.90986907
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0
46.93849905
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46.96528434
#VALUE!
0
46.99046819
#VALUE!
47.01424798
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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!
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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!
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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
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#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!
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0.179
0.18
0.181
0.182
0.183
0.184
0.185
0.186
0.187
0.188
0.189
0.19
0.191
0.192
0.193
0.194
0.195
0.196
0.197
0.198
0.199
0.2
0.201
0.202
0.203
0.204
0.205
0.206
0.207
0.208
0.209
0.21
0.211
0.212
0.213
0.214
0.215
0.216
0.217
0.218
0.219
0.22
0.221
0.222
0.223
0.224
0.225
0.226
0.227
0.228
0.229
0.23
48.14882488
48.15236007
48.15588295
48.15939365
48.16289232
48.16637907
48.16985405
48.17331737
48.17676917
48.18020957
48.18363869
48.18705665
48.19046358
48.19385958
48.19724477
48.20061927
48.20398318
48.20733662
48.21067971
48.21401253
48.2173352
48.22064783
48.22395052
48.22724336
48.23052646
48.23379991
48.23706382
48.24031828
48.24356338
48.24679922
48.25002589
48.25324347
48.25645207
48.25965177
48.26284265
48.2660248
48.2691983
48.27236325
48.27551972
48.27866779
48.28180755
48.28493908
48.28806245
48.29117774
48.29428502
48.29738439
48.3004759
48.30355963
48.30663566
48.30970406
48.3127649
48.31581824
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0.231
0.232
0.233
0.234
0.235
0.236
0.237
0.238
0.239
0.24
0.241
0.242
0.243
0.244
0.245
0.246
0.247
0.248
0.249
0.25
0.251
0.252
0.253
0.254
0.255
0.256
0.257
0.258
0.259
0.26
0.261
0.262
0.263
0.264
0.265
0.266
0.267
0.268
0.269
0.27
0.271
0.272
0.273
0.274
0.275
0.276
0.277
0.278
0.279
0.28
0.281
0.282
48.31886417
48.32190274
48.32493404
48.32795811
48.33097504
48.33398488
48.3369877
48.33998356
48.34297253
48.34595467
48.34893005
48.35189872
48.35486074
48.35781617
48.36076508
48.36370752
48.36664355
48.36957323
48.37249661
48.37541375
48.37832471
48.38122953
48.38412828
48.387021
48.38990776
48.3927886
48.39566357
48.39853273
48.40139613
48.40425382
48.40710584
48.40995225
48.4127931
48.41562843
48.41845829
48.42128273
48.4241018
48.42691554
48.429724
48.43252723
48.43532526
48.43811815
48.44090594
48.44368866
48.44646638
48.44923912
48.45200693
48.45476986
48.45752794
48.46028121
48.46302972
48.46577351
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0.283
0.284
0.285
0.286
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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

Hedge
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

Hedge
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.
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Analytic
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
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
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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

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DerivaGem - Version 1.

This is the Applications Builder Software that has been designed to

"Options, Futures and Other Derivatives" 7/E

"Fundamentals of Futures and Options Markets" 6/E

from outlets such as

07 you will have to

(Delta of Cash or Nothing Call)

(Price of down and out call option)

Current Average (irrelevant if a new instrument)

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

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

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

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

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

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

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

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

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

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

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

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

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

CONVERGENCE OF BINOMIAL TREE PRICE OF EUROPE

EE PRICE OF EUROPEAN OPTION TO BLACK-SCHOLES PRICE

PLOTS OF GREEK LETTERS

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

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

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

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

INVESTIGATES THE EFFECTIVENESS OF DELTA HEDGING FOR A W

Push F9 to see a new set of results

Option Price #VALUE!

TA HEDGING FOR A WRITTEN OPTION

Number of shares traded

Number of shares traded

#VALUE! #VALUE! #VALUE!

INVESTIGATES THE EFFECTIVENESS OF DELTA AND GA

Option Price #VALUE!

SS OF DELTA AND GAMMA HEDGING FOR A WRITTEN OPTION

Total Cost Int. Cost

Total Cost Int. Cost

#VALUE! #VALUE! #VALUE!

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

ENT ON A SINGLE STOCK

CALCULATION OF A STATIC OPTIONS REPLICATION

Barrier Price #VALUE!

A four option hedge

A sixteen option hedge

TIC OPTIONS REPLICATION POSITION

A better sixteen option hedge

TESTS CONVERGENCE OF TRINOMIAL TREE FOR A EUROPEAN BOND OPTION

A EUROPEAN BOND OPTION

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