DerivaGem - Version 2.

00
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" 7/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"

This software was developed for educational purposes by A-J Financial Systems, Inc.
n designed to

" 7/E
kets" 7/E

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

07 you will have to

ent"

ystems, Inc.
 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
Binomial: American Imply Volatility 6.00E+01

Time to Expiration: 0.4167 Put 5.00E+01

Exercise Price: 50.00
Tree Steps: 5 Call
4.00E+01

3.00E+01

Price: 4.48845853 2.00E+01

Delta (per $): -0.4145299
Gamma (per $ per $): 0.03414557 1.00E+01
Vega (per %): 0.1312765
Theta (per day): -0.0117915
0.00E+00
Rho (per %): -0.0840234 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% Vega
Bond Life (Years): 10 Semi-Annual
Coupon Rate (%): 8.000% Horizontal Axis:
Quoted Bond Price (/100): 122.8245 Parallel Rate Shift

Option Data Minimum X value -1.00%

Pricing Model: Maximum X value 1.00%
Black - European Imply Volatility

Strike Price (/100): 115.00 Quoted Strike

Option Life (Years): 2.25
Yield Volatility (%): 20.00% Call Put
1.4

1.2

Vega
1

0.8
Price: 1.741372
DV01 (Per basis point): 0.023744 0.6
Gamma01 (Per %): 0.016497
0.4
Vega (per %): 0.162269
0.2

0
-0.01 0.01
Parallel Rate Shift
 Swap / Cap Data Term Structure
Underlying Type: Time (Yrs) Rate (%)
Swap Option 1 6.000%
Settlement Frequency: 2 6.000%
Principal : 100 Semi-Annual
3 6.000%
Swap Start (Years): 5.00 4 6.000%
Swap End (Years): 8.00 5 6.000%
Swap Rate (%): 6.20% Imply Breakeven Rate

Pricing Model:
Black - European

Volatility (%): 20.00% Imply Volatility

Rec. Fixed

Pay Fixed

Price: 2.0709809
DV01 (Per basis point): 0.0104403
Gamma01 (Per %): 0.001631
Vega (per %): 0.106905
 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 (%)
1 100.00 1 0.01660444 1 3.000% Cont. Compou
5 150.00 5 0.02728423 2 3.000% 0.045
10 175.00 10 0.034677114 3 3.000%
25 200.00 25 0.0393967 4 3.000% 0.04
5 3.000%
0.035

0.03

0.025

0.02

0.015

0.01

0.005
Calculate Spreads
Recovery Rate 0.4 0
Imply Hazard Rates
0 5
Payment Frequency: Quarterly
 Cont. Compounded Hazard Rates
.045

0.04

.035

0.03

.025

0.02

.015

0.01

.005

0
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 0.0038 1
Recovery Rate 0.4 5 0.0038 2
Number of Names 125 10 0.0038 3
No. of Integration Points 10 25 0.0038 4
5
Payment Frequency: Quarterly

Imply Corr.

Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
0.00% 3.00% 500.00 10.340% 0.1625 Calculate Upfront
3.00% 6.00% 41.59 0.0803 Calculate Upfront
6.00% 9.00% 11.95 0.1418 Calculate Upfront
9.00% 12.00% 5.60 0.1855 Calculate Upfront
12.00% 22.00% 2.00 0.2360 Calculate Upfront
 Term Structure
Rate (%)
5.000%
5.000%
5.000%
5.000%
5.000%

ExpLoss PVPmts Base Corr.

culate Upfront 28.700% 3.6718 0.1625
culate Upfront 1.819% 4.3737 0.2621
culate Upfront 0.525% 4.3898 0.3323
culate Upfront 0.245% 4.3932 0.3925
culate Upfront 0.088% 4.3952 0.5807