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

s" 8/E
kets" 7/E

ons" 2/E

from outlets such as

ischtm/support_fr.html

07 you will have to

tent"

Equity_FX_Index_Futures_Options

Underlying Data
Underlying Type:

Time

Dividend

Graph Results
Vertical Axis:

Horizontal Axis:
Stock Price:
Volatility (% per year):
Risk-Free Rate (% per year):

50.00
40.00%
10.00%

Minimum X value
Maximum X value

Option Data

1.00%
200.00%

70

Option Type:
Imply Volatility

0.4167
50.00

Price: 4.07597514
Delta (per $):
-0.385727
Gamma (per $ per $): 0.02962538
Vega (per %): 0.12343907
Theta (per day): -0.0098324
Rho (per %):
-0.097343

Put
Call

50

Option Price

Time to Exercise:
Exercise Price:

60

40

30
20
10
0
1.00%

21.00% 41.00% 61.00% 81.00% 101.00% 121.00% 141.00% 161.00% 181.00%

Volatility

Page 3

Bond Data
Principal:
Bond Life (Years):
Coupon Rate (%):
Quoted Bond Price (/100):

100
10
8.000%
122.8245

Coupon Frequency:

Term Structure
Time (Yrs) Rate (%)
1
5.000%

Graph Results
Vertical Axis:

Horizontal Axis:

Option Data
Pricing Model:

Minimum X value
Maximum X value

110.00
120.00

Imply Volatility

Strike Price (/100):

Option Life (Years):
Yield Volatility (%):

115.00
2.25
20.00%

Quoted Strike
Call

Put

DV01

0
110.00
-1

Price:
DV01 (Per basis point):
Gamma01 (Per %):
Vega (per %):

1.741372
0.023744
0.016497
0.162269

112.00

114.00

-2

-3
-4

-5
-6
Strike Price

116.00

118.00

120.00

Swap / Cap Data

Underlying Type:
Settlement Frequency:
Principal :
Cap/Floor Start (Years):
Cap/Floor End (Years):
Cap/Floor Rate (%):

10000000
1.00
1.25
8.00%

Imply Breakeven Rate

Pricing Model:

Volatility (%):

20.00%

Imply Volatility
Floor
Cap

Price:
DV01 (Per basis point):
Gamma01 (Per %):
Vega (per %):

5161.9149
65.862761
56.074886
550.58306

Term Structure
Time (Yrs) Rate (%)
1
6.940%
2
6.940%
3
6.940%
4
6.940%
5
6.940%

Graph Results
Vertical Axis:

Horizontal Axis:

Minimum X value
Maximum X value

0.91
5.00

2.5

Option Price

1.5

0.5

0
0.91

1.41

1.91

2.41

2.91

Cap/Floor End

3.41

3.91

4.41

4.91

CDS Data
Life(Yrs) Spread (bp)
1
124.23
5
124.23
10
124.23
25
124.23

Default Rate Data

Time (Yrs) Hazard Rate
1
2.02%
5
2.02%
10
2.02%
25
2.02%

Term Structure
Time (Yrs) Rate (%)
1
5.000%
2
5.000%
3
5.000%
4
5.000%
5
5.000%

Cont. Compo
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928
0.0107928

Calculate Spreads

Recovery Rate
Payment Frequency:

0.4

Imply Hazard Rates

0.0107928
0

Cont. Compounded Hazard Rates

10

15
Time (Yrs)

20

25

30

CD0 Data
Life (Years)
Recovery Rate
Number of Names
No. of Integration Points

5
0.4
125
30

Default Rate Data

Time (Yrs) Hazard Rate
1
0.83%
5
0.83%
10
0.83%
25
0.83%

Term Structure
Time (Yrs)
1
2
3
4
5

Payment Frequency:

Imply Corr.

Attachment Point (%)

0.00%
3.00%
6.00%
9.00%
12.00%

Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr

3.00%
500.00
36.608%
0.1625
6.00%
347.789933
0.1500
9.00%
151.31
0.2500
12.00%
68.89
0.2500
22.00%
15.26
0.2360

Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront

Term Structure
Rate (%)
3.500%
3.500%
3.500%
3.500%
3.500%

Calculate Upfront

Calculate Upfront

Calculate Upfront

Calculate Upfront

Calculate Upfront

ExpLoss
52.243%
14.966%
6.730%
3.112%
0.695%

PVPmts
3.1270
4.3032
4.4480
4.5169
4.5572

Base Corr.