DerivaGem - Version 2.

01
For Excel 2000 and more recent versions of Excel
This is the Options Calculator Software that has been designed to
accompany John Hull's texts:

"Options, Futures and Other Derivatives" 8/E

"Fundamentals of Futures and Options Markets" 7/E
and
"Risk Management and Financial Institutions" 2/E
All books are published by Pearson Prentice Hall. They can be ordered from outlets such as
Amazon.com or directly from the publisher at http://www.prenhall.com/mischtm/support_fr.html

Important: Do not forget to enable Macros. If you are using Office 2007 you will have to
click on the Options button and choose "Enable this content"

© A-J Financial Systems, Inc., 2010

n designed to

" 8/E
kets" 7/E

ons" 2/E
from outlets such as
schtm/support_fr.html

07 you will have to

ent"
 Equity_FX_Index_Futures_Options

Underlying Data Graph Results

Underlying Type: Time Dividend Vertical Axis:
Equity Option price

Horizontal Axis:
Stock Price: 50.00 Volatility
Volatility (% per year): 40.00%
Risk-Free Rate (% per year): 10.00% Minimum X value 1.00%
Maximum X value 200.00%

Option Data 7.00E+01

Option Type:

Option Price
Black-Scholes - European Imply Volatility 6.00E+01

Time to Exercise: 0.4167 ● Put 5.00E+01

Exercise Price: 50.00
● Call
4.00E+01

3.00E+01

Price: 4.07597514 2.00E+01

Delta (per $): -0.385727
Gamma (per $ per $): 0.02962538 1.00E+01
Vega (per %): 0.12343907
Theta (per day): -0.0098324
0.00E+00
Rho (per %): -0.097343 0.01 0.21 0.41 0.61 0.81 1.01 1.21 1.41 1.61 1.81
Volatility

Page 3
 Bond Data Term Structure Graph Results
Time (Yrs) Rate (%) Vertical Axis:
Principal: 100 Coupon Frequency: 1 5.000% DV01
Bond Life (Years): 10 Semi-Annual
Coupon Rate (%): 8.000% Horizontal Axis:
Quoted Bond Price (/100): 122.8245 Strike price

Option Data Minimum X value 110.00

Pricing Model: Maximum X value 120.00
Black - European Imply Volatility

Strike Price (/100): 115.00 Quoted Strike

Option Life (Years): 2.25
Yield Volatility (%): 20.00% Call ● Put
0
110 111 112 113 114 115 116 117 118 119 120
-1

DV01
-2

Price: 1.741372
-3
DV01 (Per basis point): 0.023744
Gamma01 (Per %): 0.016497
-4
Vega (per %): 0.162269
-5

-6
Strike Price
 Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Cap / Floor 1 6.940%
Settlement Frequency: 2 6.940%
Principal : 10000000 Quarterly
3 6.940%
Cap/Floor Start (Years): 1.00 4 6.940%
Cap/Floor End (Years): 1.25 5 6.940%
Cap/Floor Rate (%): 8.00% Imply Breakeven Rate

Pricing Model:
Black - European

Volatility (%): 20.00% Imply Volatility

Floor

● Cap

Price: 5161.9149
DV01 (Per basis point): 65.862761
Gamma01 (Per %): 56.074886
Vega (per %): 550.58306
 Graph Results
Vertical Axis:
Option price

Horizontal Axis:
Time to End

Minimum X value 0.91

Maximum X value 5.00

3.00E+00
Option Price

2.50E+00

2.00E+00

1.50E+00

1.00E+00

5.00E-01

0.00E+00
0.91 1.41 1.91 2.41 2.91 3.41 3.91 4.41 4.91

Cap/Floor End
 CDS Data Default Rate Data Term Structure
Life(Yrs) Spread (bp) Time (Yrs) Hazard Rate Time (Yrs) Rate (%)
1 124.23 1 2.02% 1 5.000% Cont. Compou
5 124.23 5 2.02% 2 5.000% 0.0107928457
10 124.23 10 2.02% 3 5.000%
25 124.23 25 2.02% 4 5.000% 0.0107928457
5 5.000%
0.0107928457

0.0107928457

0.0107928457

0.0107928457

0.0107928457
● Calculate Spreads
Recovery Rate 0.4 0.0107928457
Imply Hazard Rates
0 5
Payment Frequency: Annual
 Cont. Compounded Hazard Rates
8457

8457

8457

8457

8457

8457

8457

8457
0 5 10 15 20 25 30
Time (Yrs)
 CD0 Data Default Rate Data Term Structure
Time (Yrs) Hazard Rate Time (Yrs)
Life (Years) 5 1 0.83% 1
Recovery Rate 0.4 5 0.83% 2
Number of Names 125 10 0.83% 3
No. of Integration Points 30 25 0.83% 4
5
Payment Frequency: Quarterly

Imply Corr.

Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
0.00% 3.00% 500.00 36.608% 0.1625 ✘ Calculate Upfront
3.00% 6.00% 347.789933 0.1500 Calculate Upfront
6.00% 9.00% 151.31 0.2500 Calculate Upfront
9.00% 12.00% 68.89 0.2500 Calculate Upfront
12.00% 22.00% 15.26 0.2360 Calculate Upfront
 Term Structure
Rate (%)
3.500%
3.500%
3.500%
3.500%
3.500%

ExpLoss PVPmts Base Corr.

culate Upfront 52.243% 3.1270
culate Upfront 14.966% 4.3032
culate Upfront 6.730% 4.4480
culate Upfront 3.112% 4.5169
culate Upfront 0.695% 4.5572