Derivagem - Version 1.52: "Options, Futures and Other Derivatives" 7/E "Fundamentals of Futures and Options Markets" 6/E

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
" 7/E
kets" 6/E
from outlets such as
schtm/support_fr.html
ware in DG152.xls
07 you will have to

ent"
ystems, Inc.
Function 1: Black_Scholes(S,K,r,q,vol,T,IsCall,IsFut,Divs,Result)
Solver is used to search for the values in cells
G13 and H13 that minimize cell L18. Note that
there was a typo in Example 17.1 in the first
printing of the book. See Errata on the author's
web site. When lower bound to volatility is set
as 20% in Solver the worst loss is 87.19.
S r q vol
50 0.03 0 0.2
Position K T Value New S New sig New Val Gain

250 50 1 #VALUE! #VALUE! 45.98925 0.1 #VALUE! #VALUE! #VALUE!
-125 60 1.5 #VALUE! #VALUE! 45.98925 0.1 #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!

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
Dividends
Example: #VALUE! 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
IsAmerican TRUE if American option, FALSE if European option
nSteps Number of time steps on tree
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
IsCash TRUE if Cash or Nothing, FALSE if Asset or Nothing
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
H Barrier
IsUp TRUE if Up option; FALSE if Down option
IsIn TRUE if In option; FALSE if Out option
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
CurrAve Current Average (irrelevant if a new instrument)
TimeSoFar Time since beginning of averaging in years (zero for a new instrument)
Example #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
TimeToChoice Time until choice between call and put has to be made
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
T1 Time to first exercise
IsCall True if first option a call, FALSE if first option a put
K2 Second strike price
T2 Time to second exercise
IsOptionOnCall TRUE if second option is a call, FALSE if second option is a put
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
IsCall TRUE if lookback call, FALSE if lookback put
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
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
vol Volatility
Portfolio Array defining portfolio. See below
Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho
Portfolio definition:
Type
Underlying 0 Number
Black Scholes 1 Number K T IsCall
TreeEquityOption 2 Number K T IsCall nSteps IsAmerican
Binaryoption 3 Number K T IsCall IsCash
BarrierOption 4 Number K T IsCall Barrier IsUp IsIn
AverageOption 5 Number K T IsCall CurrAve TimeSoFar
ChooserOption 6 Number K T TimeToChoice
CompoundOption 7 Number K1 T1 IsCall K2 T2 IsOptOnCall
LookBackOption 8 Number K T IsCall IsFixedLookback Smax Smin
Sample Portfolio
Type Number
Underlying 0 100
Black Scholes 1 50 55 0.5 1
Black Scholes 1 50 48 0.75 1
TreeEquityOption 2 100 50 0.5 0 25 1
Example of Function: #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: Term Structure
Start Time (years from today) when cap starts 0 3.000%
End Time (years from today) when cap ends 0.5 3.353%
CapRate Cap Rate 1 3.664%
L Notional amount 1.5 3.938%
Frequ Number of times a year cap is settled (= 12, 4, 2, or 1) 2 4.180%
vol Flat volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4) 2.5 4.394%
IsCap TRUE if cap, FALSE if Floor 3 4.583%
Zeros Array containing zero curve: Maturities in the first column and corresponding zero rates in second column 3.5 4.749%
Result 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol 4 4.896%
4.5 5.026%
Example #VALUE! 5 5.140%
5.5 5.241%
6 5.331%
Function 11: HullWhiteCap(Start,End,CapRate,L,Frequ,sigma,a,IsCap,Zeros,Result) 6.5 5.409%
Carries out calculations for caps and floors using Hull-White model 7 5.479%
Arguments: 7.5 5.540%
Start Time (years from today) when cap starts 8 5.594%
End Time (years from today) when cap ends 8.5 5.642%
CapRate Cap Rate 9 5.684%
L Notional amount 9.5 5.721%
Frequ Number of times a year cap is settled (= 12, 4, 2, or 1) 10 5.754%
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 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 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 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)
sigma Volatility parameter
a Reversion rate
IsCap TRUE if cap, FALSE if floor
Model 0=Normal, 1=Lognormal
nSteps Number of time steps
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
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:
L Principal amount
a Reversion rate
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:
L Principal amount
a Reversion rate
nsteps Number of time steps
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)
IsQuoted True if strike is a quoted price, false if strike is cash price
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:
Frequ Frequency of payments on bond (=4, 2, or 1)
K Strike Price
a Reversion rate
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:
Frequ Frequency of payments on bond per year (=4, 2, or 1)
K Strike Price
a Reversion rate
IsAmerican TRUE if American option, FALSE if European
nSteps Number of time steps
Example #VALUE!
Function 19: BondPrice(BondLife, Coupon, Princ, Frequ, Zeros, IsClean, Result)

Values a bond
Arguments:
Princ Bond principal
Frequ Frequency of payments on bond per year (=12, 4, 2, or 1)
IsClean If TRUE result is the clean (quoted) price; if FALSE result is dirty (cash) price
Result 0=Price, 1=Delta, 2=Gamma
Example #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)
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)
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:
Type
Bond 0 Life Coupon Princ. Frequ IsClean
Swap 1 Start End FixedRate L Frequ
Black Cap 2 Start End CapRate L Frequ IsCap vol
HW Cap 3 Start End CapRate L Frequ IsCap
Tree Cap 4 Start End CapRate L Frequ IsCap Model nSteps
Black Swaption 5 Start End SwapRate L Frequ IsPayFix vol
HW Swaption 6 Start End SwapRate L Frequ IsPayFix
Tree Swaption 7 Start End SwapRate L Frequ IsPayFix Model nSteps
Black Bond Opt. 8 Life Coupon Princ Frequ K T IsCall IsQuoted vol
HW Bond Opt. 9 Life Coupon Princ Frequ K T IsCall IsQuoted
Tree Bond Opt. 10 Life Coupon Princ Frequ K T IsCall IsQuoted Model nSteps IsAmerican
Sample Portfolio
Type
Bond 0 10.2 6% 100 2 1
Black Bond Opt. 8 10.2 6% 100 2 102 0.5 1 1 15%
Black Bond Opt. 8 10.2 6% 100 2 105 1 1 1 14%
Tree Bond Opt. 10 10.2 6% 100 2 98 5 0 1 1 25 1
Example #VALUE!
CONVERGENCE OF BINOMIAL TREE PRICE OF EUROPE
Figure 19.4 in Options, Futures, and Other Derivatives, 7e (and 16.4 in Fund
Problem 19.30 in Options, Futures and Other Derivatives, 7e (and 16
Stock Price 50
Strike 50.1 Convergence 1
r 5.00%
q 0%
8.0000
vol 40%
Remaining Life 1
IsCall 0 7.5000 Tree
IsFut 0 BS
Result 0
7.0000
IsAmerican 0
6.5000
6.0000
nSteps Tree BS 5.5000

2 #VALUE! #VALUE!
3 #VALUE! #VALUE!
5.0000
4 #VALUE! #VALUE!
5 #VALUE! #VALUE! 2 4 6 8 10 12 14 16 18 20 22 24 26 28
6 #VALUE! #VALUE!
7 #VALUE! #VALUE! nSteps
8 #VALUE! #VALUE!
9 #VALUE! #VALUE!
10 #VALUE! #VALUE!
11 #VALUE! #VALUE!
12 #VALUE! #VALUE!
13 #VALUE! #VALUE!
14 #VALUE! #VALUE!
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46 #VALUE! #VALUE!
47 #VALUE! #VALUE!
48 #VALUE! #VALUE!
49 #VALUE! #VALUE!
50 #VALUE! #VALUE!
REE PRICE OF EUROPEAN OPTION TO BLACK-SCHOLES PRICE
es, 7e (and 16.4 in Fundamentals 6e) shows a similar result for an American option
Derivatives, 7e (and 16.7 in Fundamentals 6e) is based on this application
Convergence 1
ree
S
16 18 20 22 24 26 28 30 3 2 34 36 38 40 42 44 46 48 5 0
nSteps
PLOTS OF GREEK LETTERS
Maturity 1 Stock Price 50

Strike 50 Int. Rate 0.05
Int. Rate 5% Volatility 0.3
Volatility 25% IsCall 1
IsCall 0 Result 1
Result 2 0->Price, 1->Delta, 2->Gamma, 3->Vega, 4->Theta, 5->Rho
S Result
10 #VALUE! Plot of price, delta, gamma, vega, theta or rho 0.005
12 #VALUE! vs stock price for Black-Scholes model 0.01
14 #VALUE! 12 0.05
16 #VALUE! 0.10
18 #VALUE! 10 0.15
20 #VALUE! 0.20
22 #VALUE! 0.25
8
24 #VALUE! 0.30
26 #VALUE! 0.35
28 #VALUE! 6 0.40
30 #VALUE! 0.45
32 #VALUE! 4 0.50
34 #VALUE! 0.55
36 #VALUE! 0.60
2
38 #VALUE! 0.65
40 #VALUE! 0.70
42 #VALUE! 0 0.75
0 10 20 30 40 50 60 70 80 90 100
44 #VALUE! 0.80
46 #VALUE! 0.85
48 #VALUE! 0.90
50 #VALUE! 0.95
52 #VALUE! 1.00
54 #VALUE! 1.25
56 #VALUE! 1.50
58 #VALUE! 1.75
60 #VALUE! 2.00
62 #VALUE! 2.25
64 #VALUE! 2.50
66 #VALUE! 2.75
68 #VALUE! 3.00
70 #VALUE! 3.25
72 #VALUE! 3.50
74 #VALUE! 3.75
76 #VALUE! 4.00
78 #VALUE! 4.25
80 #VALUE! 4.50
82 #VALUE! 4.75
84 #VALUE! 5.00
86 #VALUE!
88 #VALUE!
90 #VALUE!
92 #VALUE!
94 #VALUE!
96 #VALUE!
98 #VALUE!
100 #VALUE!
0->Price, 1->Delta, 2->Gamma, 3->Vega, 4->Theta, 5->Rho
Strike
40 50 60
#VALUE! #VALUE! #VALUE! Plot of price, delta, gamma, vega, theta or rho
vs time to maturity for Black-Scholes model
#VALUE! #VALUE! #VALUE! 12.0000
#VALUE! #VALUE! #VALUE! 8.0000 4
0
5
#VALUE! #VALUE! #VALUE! 6.0000 0
4.0000
2.0000
#VALUE! #VALUE! #VALUE! 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
or rho
model
4
0
5
0
5 4 4.5 5
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 Weekly Hedging

Int. Rate 0.05 Cum. Cost Payoff Tot. Cost
Vol 0.2 Base Case #VALUE! 20,596 #VALUE!
Strike 50 Antithetic Case #VALUE! 95,383 #VALUE!
Number of Shares 100,000
T 0.383562 Daily Hedging
IsCall 1 Cum. Cost Payoff Tot. Cost
Base Case #VALUE! 687,926 #VALUE!
Option Price #VALUE! Antithetic Case #VALUE! 0 #VALUE!
Base Case
Stock Shares
Random Numbers Week T Price Delta Purchased Cost
Uniform Normal 0 0.000 50.00 #VALUE! #VALUE! #VALUE!
0.04806 -1.66394 1 0.019 47.78 #VALUE! #VALUE! #VALUE!
0.81009 0.87824 2 0.038 48.98 #VALUE! #VALUE! #VALUE!
Base Case
Stock Shares
Random Numbers Day T Price Delta Purchased Cost
Uniform Normal 0 0.000 50.00 #VALUE! #VALUE! #VALUE!
TA HEDGING FOR A WRITTEN OPTION
ives, 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!
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Number of shares traded

#VALUE!
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Case Antithetic Case

Cum. Stock Shares Cum.
Int. Cost Cost Price Delta Purchased Cost Int. Cost Cost
#VALUE! #VALUE! 50.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! 50.95 #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE!
Case Antithetic Case
Cum. Stock Shares Cum.

Int. Cost Cost Price Delta Purchased Cost Int. Cost Cost
#VALUE! 44.98 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE!
Trading Volume
Base Antithetic
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Trading Volume
Base Antithetic
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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 Binary Option Hedging Call

Stock Price 49 Strike 52 Strike 55
Int. Rate 5% Number of Shares 1,000 T 0.5
Vol 30% T 0.3836 IsCall 1
IsCall 1
IsCash 0
Option Price #VALUE! Option Price #VALUE!
Asset or Nothing Hedge Option

Stock
Random Numbers Week T Price Delta Gamma Price Delta
Uniform Normal 0 0.000 49.00 #VALUE! #VALUE! #VALUE! #VALUE!
0.14818 -1.04426 1 0.019 46.92 #VALUE! #VALUE! #VALUE! #VALUE!
0.97700 1.99533 2 0.038 50.98 #VALUE! #VALUE! #VALUE! #VALUE!
Asset or Nothing Hedge Option

Stock
Week T Price Delta Gamma Price Delta
0 0.000 49.00 #VALUE! #VALUE! #VALUE! #VALUE!
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
Push F9 to see a new set of results
Weekly Hedging Trading Volume

Cum. Cost Payoff Tot. Cost Calls Shares
Base Case #VALUE! 58,863 #VALUE! #VALUE! #VALUE!
Antithetic Case #VALUE! 0 #VALUE! #VALUE! #VALUE!
Base Case
Hedge Option Gamma Hedge Delta Hedge
Opt. Shares
Gamma Opt. Posn. Purch. Cost Net Delta Purchased Cost Total Cost Int. Cost
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Antithetic Case
Hedge Option Gamma Hedge Delta Hedge
Opt. Shares
Gamma Opt. Posn. Purch. Cost Net Delta Purchased Cost Total Cost Int. Cost
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Trading Volume
Cum. Cost Calls Shares

Trading Volume
Cum. Cost Calls Shares

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 0
S 49 Portfolio Type
IsFut 0 Underlying 0
r 5% Black Scholes 1
q 0% Black Scholes 1
Volatility 30% Black Scholes 1
1-Day Vol 1.89%
Portfolio
Value #VALUE!
Delta #VALUE!
Gamma #VALUE!
Linear model 1-Day VaR #VALUE!
Quadratic Model E(dP) #VALUE! mu_P ### z_q

E(dp^2) #VALUE! Sig_P ### w_q
E(dP^3) #VALUE! Xi_P ###
1-Day VaR #VALUE!
Analytic VaR We calculate the analytic VaR by generating 1000 equally likely portfolio values
1-Day VaR #VALUE!
Portfolio
Prob<S S Value 12
0.001 46.13840484 #VALUE!
Portfolio Value
0.002 46.33478493 #VALUE!

0.003 46.45551883 #VALUE!
10
0.004 46.54414899 #VALUE!
0.005 46.61474869 #VALUE!
0.006 46.6737218 #VALUE!
8
0.007 46.72454226 #VALUE!
0.008 46.76931299 #VALUE!
0.009 46.80940696 #VALUE!
6
0.01 46.84577172 #VALUE!
0.011 46.87908966 #VALUE!
0.012 46.90986907 #VALUE!
4
0.013 46.93849905 #VALUE!
0.014 46.96528434 #VALUE!
0.015 46.99046819 #VALUE!
0.016 47.01424798 #VALUE! 2
0.017 47.03678614 #VALUE!
0.018 47.05821803 #VALUE!
0.019 47.07865763 #VALUE! 0
0.02 47.09820189 #VALUE! 45 46 47
2
0
45 46 47
0.021 47.11693399 #VALUE!
0.022 47.13492581 #VALUE!
0.023 47.15223994 #VALUE!
0.024 47.168931211 #VALUE!
0.025 47.18504795 #VALUE!
0.026 47.20063297 #VALUE!
0.027 47.21572436 #VALUE!
0.028 47.23035623 #VALUE!
0.029 47.24455916 #VALUE!
0.03 47.25836075 #VALUE!
0.031 47.27178596 #VALUE!
0.032 47.28485745 #VALUE!
0.033 47.29759586 #VALUE!
0.034 47.31002003 #VALUE!
0.035 47.32214724 #VALUE!
0.036 47.33399332 #VALUE!
0.037 47.34557287 #VALUE!
0.038 47.35689936 #VALUE!
0.039 47.36798523 #VALUE!
0.04 47.37884201 #VALUE!
0.041 47.38948042 #VALUE!
0.042 47.39991043 #VALUE!
0.043 47.4101413 #VALUE!
0.044 47.42018171 #VALUE!
0.045 47.43003975 #VALUE!
0.046 47.43972301 #VALUE!
0.047 47.449238611 #VALUE!
0.048 47.45859322 #VALUE!
0.049 47.46779312 #VALUE!
0.05 47.47684423 #VALUE!
0.051 47.485752111 #VALUE!
0.052 47.49452204 #VALUE!
0.053 47.50315897 #VALUE!
0.054 47.511667624 #VALUE!
0.055 47.52005244 #VALUE!
0.056 47.52831765 #VALUE!
0.057 47.53646725 #VALUE!
0.058 47.54450504 #VALUE!
0.059 47.55243465 #VALUE!
0.06 47.5602595 #VALUE!
0.061 47.56798289 #VALUE!
0.062 47.57560792 #VALUE!
0.063 47.58313759 #VALUE!
0.064 47.59057472 #VALUE!
0.065 47.59792203 #VALUE!
0.066 47.60518212 #VALUE!
0.067 47.61235748 #VALUE!
0.068 47.61945047 #VALUE!
0.069 47.62646338 #VALUE!
0.07 47.63339838 #VALUE!
0.071 47.64025757 #VALUE!
0.072 47.64704296 #VALUE!
0.073 47.65375647 #VALUE!
0.074 47.66039996 #VALUE!
0.075 47.6669752 #VALUE!
0.076 47.67348392 #VALUE!
0.077 47.67992775 #VALUE!
0.078 47.68630828 #VALUE!
0.079 47.69262705 #VALUE!
0.08 47.69888553 #VALUE!
0.081 47.70508513 #VALUE!
0.082 47.71122722 #VALUE!
0.083 47.71731314 #VALUE!
0.084 47.72334415 #VALUE!
0.085 47.72932149 #VALUE!
0.086 47.73524635 #VALUE!
0.087 47.74111988 #VALUE!
0.088 47.7469432 #VALUE!
0.089 47.75271738 #VALUE!
0.09 47.75844346 #VALUE!
0.091 47.76412247 #VALUE!
0.092 47.76975537 #VALUE!
0.093 47.77534311 #VALUE!
0.094 47.78088661 #VALUE!
0.095 47.78638676 #VALUE!
0.096 47.79184443 #VALUE!
0.097 47.79726045 #VALUE!
0.098 47.80263563 #VALUE!
0.099 47.80797078 #VALUE!
0.1 47.81326664 #VALUE!
0.101 47.81852398 #VALUE!
0.102 47.8237435 #VALUE!
0.103 47.82892592 #VALUE!
0.104 47.83407192 #VALUE!
0.105 47.83918216 #VALUE!
0.106 47.84425729 #VALUE!
0.107 47.84929794 #VALUE!
0.108 47.85430473 #VALUE!
0.109 47.85927824 #VALUE!
0.11 47.86421907 #VALUE!
0.111 47.86912777 #VALUE!
0.112 47.87400489 #VALUE!
0.113 47.87885099 #VALUE!
0.114 47.88366656 #VALUE!
0.115 47.88845214 #VALUE!
0.116 47.89320822 #VALUE!
0.117 47.89793527 #VALUE!
0.118 47.90263378 #VALUE!
0.119 47.90730421 #VALUE!
0.12 47.911947004 #VALUE!
0.121 47.91656261 #VALUE!
0.122 47.92115145 #VALUE!
0.123 47.92571395 #VALUE!
0.124 47.93025053 #VALUE!
0.125 47.93476157 #VALUE!
0.126 47.93924747 #VALUE!
0.127 47.94370861 #VALUE!
0.128 47.94814538 #VALUE!
0.129 47.95255813 #VALUE!
0.13 47.95694722 #VALUE!
0.131 47.961313 #VALUE!
0.132 47.96565582 #VALUE!
0.133 47.969976 #VALUE!
0.134 47.97427388 #VALUE!
0.135 47.97854978 #VALUE!
0.136 47.98280401 #VALUE!
0.137 47.98703688 #VALUE!
0.138 47.99124868 #VALUE!
0.139 47.99543973 #VALUE!
0.14 47.99961029 #VALUE!
0.141 48.00376066 #VALUE!
0.142 48.00789112 #VALUE!
0.143 48.01200193 #VALUE!
0.144 48.01609336 #VALUE!
0.145 48.02016567 #VALUE!
0.146 48.02421912 #VALUE!
0.147 48.02825396 #VALUE!
0.148 48.03227044 #VALUE!
0.149 48.03626879 #VALUE!
0.15 48.04024925 #VALUE!
0.151 48.04421206 #VALUE!
0.152 48.04815744 #VALUE!
0.153 48.05208562 #VALUE!
0.154 48.05599681 #VALUE!
0.155 48.05989124 #VALUE!
0.156 48.06376911 #VALUE!
0.157 48.06763063 #VALUE!
0.158 48.071476 #VALUE!
0.159 48.07530543 #VALUE!
0.16 48.07911911 #VALUE!
0.161 48.08291724 #VALUE!
0.162 48.0867 #VALUE!
0.163 48.09046758 #VALUE!
0.164 48.09422016 #VALUE!
0.165 48.09795793 #VALUE!
0.166 48.10168105 #VALUE!
0.167 48.10538972 #VALUE!
0.168 48.10908409 #VALUE!
0.169 48.11276433 #VALUE!
0.17 48.11643061 #VALUE!
0.171 48.12008309 #VALUE!
0.172 48.12372194 #VALUE!
0.173 48.1273473 #VALUE!
0.174 48.13095934 #VALUE!
0.175 48.13455821 #VALUE!
0.176 48.13814404 #VALUE!
0.177 48.14171701 #VALUE!
0.178 48.14527724 #VALUE!
0.179 48.14882488 #VALUE!
0.18 48.15236007 #VALUE!
0.181 48.15588295 #VALUE!
0.182 48.15939365 #VALUE!
0.183 48.16289232 #VALUE!
0.184 48.16637907 #VALUE!
0.185 48.16985405 #VALUE!
0.186 48.17331737 #VALUE!
0.187 48.17676917 #VALUE!
0.188 48.18020957 #VALUE!
0.189 48.18363869 #VALUE!
0.19 48.18705665 #VALUE!
0.191 48.19046358 #VALUE!
0.192 48.19385958 #VALUE!
0.193 48.19724477 #VALUE!
0.194 48.20061927 #VALUE!
0.195 48.20398318 #VALUE!
0.196 48.20733662 #VALUE!
0.197 48.21067971 #VALUE!
0.198 48.21401253 #VALUE!
0.199 48.2173352 #VALUE!
0.2 48.22064783 #VALUE!
0.201 48.22395052 #VALUE!
0.202 48.22724336 #VALUE!
0.203 48.23052646 #VALUE!
0.204 48.23379991 #VALUE!
0.205 48.23706382 #VALUE!
0.206 48.24031828 #VALUE!
0.207 48.24356338 #VALUE!
0.208 48.24679922 #VALUE!
0.209 48.25002589 #VALUE!
0.21 48.25324347 #VALUE!
0.211 48.25645207 #VALUE!
0.212 48.25965177 #VALUE!
0.213 48.26284265 #VALUE!
0.214 48.2660248 #VALUE!
0.215 48.2691983 #VALUE!
0.216 48.27236325 #VALUE!
0.217 48.27551972 #VALUE!
0.218 48.27866779 #VALUE!
0.219 48.28180755 #VALUE!
0.22 48.28493908 #VALUE!
0.221 48.28806245 #VALUE!
0.222 48.291177735 #VALUE!
0.223 48.29428502 #VALUE!
0.224 48.29738439 #VALUE!
0.225 48.3004759 #VALUE!
0.226 48.30355963 #VALUE!
0.227 48.30663566 #VALUE!
0.228 48.30970406 #VALUE!
0.229 48.3127649 #VALUE!
0.23 48.31581824 #VALUE!
0.231 48.31886417 #VALUE!
0.232 48.32190274 #VALUE!
0.233 48.32493404 #VALUE!
0.234 48.32795811 #VALUE!
0.235 48.33097504 #VALUE!
0.236 48.33398488 #VALUE!
0.237 48.3369877 #VALUE!
0.238 48.33998356 #VALUE!
0.239 48.34297253 #VALUE!
0.24 48.34595467 #VALUE!
0.241 48.34893005 #VALUE!
0.242 48.35189872 #VALUE!
0.243 48.35486074 #VALUE!
0.244 48.35781617 #VALUE!
0.245 48.36076508 #VALUE!
0.246 48.36370752 #VALUE!
0.247 48.36664355 #VALUE!
0.248 48.36957323 #VALUE!
0.249 48.37249661 #VALUE!
0.25 48.37541375 #VALUE!
0.251 48.37832471 #VALUE!
0.252 48.38122953 #VALUE!
0.253 48.38412828 #VALUE!
0.254 48.387021 #VALUE!
0.255 48.38990776 #VALUE!
0.256 48.3927886 #VALUE!
0.257 48.39566357 #VALUE!
0.258 48.39853273 #VALUE!
0.259 48.40139613 #VALUE!
0.26 48.40425382 #VALUE!
0.261 48.40710584 #VALUE!
0.262 48.40995225 #VALUE!
0.263 48.4127931 #VALUE!
0.264 48.41562843 #VALUE!
0.265 48.41845829 #VALUE!
0.266 48.42128273 #VALUE!
0.267 48.4241018 #VALUE!
0.268 48.42691554 #VALUE!
0.269 48.429724 #VALUE!
0.27 48.43252723 #VALUE!
0.271 48.43532526 #VALUE!
0.272 48.43811815 #VALUE!
0.273 48.44090594 #VALUE!
0.274 48.44368866 #VALUE!
0.275 48.44646638 #VALUE!
0.276 48.44923912 #VALUE!
0.277 48.45200693 #VALUE!
0.278 48.45476986 #VALUE!
0.279 48.45752794 #VALUE!
0.28 48.46028121 #VALUE!
0.281 48.46302972 #VALUE!
0.282 48.46577351 #VALUE!
0.283 48.46851262 #VALUE!
0.284 48.47124709 #VALUE!
0.285 48.47397695 #VALUE!
0.286 48.47670225 #VALUE!
0.287 48.47942302 #VALUE!
0.288 48.48213931 #VALUE!
0.289 48.48485115 #VALUE!
0.29 48.48755858 #VALUE!
0.291 48.49026163 #VALUE!
0.292 48.49296035 #VALUE!
0.293 48.49565477 #VALUE!
0.294 48.49834493 #VALUE!
0.295 48.50103085 #VALUE!
0.296 48.50371259 #VALUE!
0.297 48.50639017 #VALUE!
0.298 48.50906363 #VALUE!
0.299 48.51173301 #VALUE!
0.3 48.51439833 #VALUE!
0.301 48.51705964 #VALUE!
0.302 48.51971696 #VALUE!
0.303 48.52237033 #VALUE!
0.304 48.52501979 #VALUE!
0.305 48.52766537 #VALUE!
0.306 48.5303071 #VALUE!
0.307 48.532945 #VALUE!
0.308 48.53557913 #VALUE!
0.309 48.5382095 #VALUE!
0.31 48.54083615 #VALUE!
0.311 48.54345911 #VALUE!
0.312 48.54607842 #VALUE!
0.313 48.5486941 #VALUE!
0.314 48.55130618 #VALUE!
0.315 48.55391469 #VALUE!
0.316 48.55651968 #VALUE!
0.317 48.55912115 #VALUE!
0.318 48.56171915 #VALUE!
0.319 48.56431371 #VALUE!
0.32 48.56690485 #VALUE!
0.321 48.56949261 #VALUE!
0.322 48.572077 #VALUE!
0.323 48.57465807 #VALUE!
0.324 48.57723584 #VALUE!
0.325 48.57981033 #VALUE!
0.326 48.58238158 #VALUE!
0.327 48.58494962 #VALUE!
0.328 48.58751447 #VALUE!
0.329 48.59007615 #VALUE!
0.33 48.59263471 #VALUE!
0.331 48.59519016 #VALUE!
0.332 48.59774252 #VALUE!
0.333 48.60029184 #VALUE!
0.334 48.60283813 #VALUE!
0.335 48.60538142 #VALUE!
0.336 48.60792174 #VALUE!
0.337 48.61045911 #VALUE!
0.338 48.61299356 #VALUE!
0.339 48.61552511 #VALUE!
0.34 48.6180538 #VALUE!
0.341 48.62057964 #VALUE!
0.342 48.62310265 #VALUE!
0.343 48.62562288 #VALUE!
0.344 48.62814033 #VALUE!
0.345 48.63065504 #VALUE!
0.346 48.63316703 #VALUE!
0.347 48.63567632 #VALUE!
0.348 48.63818294 #VALUE!
0.349 48.64068691 #VALUE!
0.35 48.64318825 #VALUE!
0.351 48.645687 #VALUE!
0.352 48.64818317 #VALUE!
0.353 48.65067678 #VALUE!
0.354 48.65316787 #VALUE!
0.355 48.65565644 #VALUE!
0.356 48.65814253 #VALUE!
0.357 48.66062616 #VALUE!
0.358 48.66310736 #VALUE!
0.359 48.66558613 #VALUE!
0.36 48.66806251 #VALUE!
0.361 48.67053652 #VALUE!
0.362 48.67300818 #VALUE!
0.363 48.67547751 #VALUE!
0.364 48.67794454 #VALUE!
0.365 48.68040929 #VALUE!
0.366 48.68287177 #VALUE!
0.367 48.68533201 #VALUE!
0.368 48.68779003 #VALUE!
0.369 48.69024585 #VALUE!
0.37 48.6926995 #VALUE!
0.371 48.69515099 #VALUE!
0.372 48.69760035 #VALUE!
0.373 48.70004759 #VALUE!
0.374 48.70249274 #VALUE!
0.375 48.70493582 #VALUE!
0.376 48.70737685 #VALUE!
0.377 48.70981584 #VALUE!
0.378 48.71225282 #VALUE!
0.379 48.71468781 #VALUE!
0.38 48.71712083 #VALUE!
0.381 48.7195519 #VALUE!
0.382 48.72198104 #VALUE!
0.383 48.72440826 #VALUE!
0.384 48.7268336 #VALUE!
0.385 48.72925706 #VALUE!
0.386 48.73167867 #VALUE!
0.387 48.73409844 #VALUE!
0.388 48.7365164 #VALUE!
0.389 48.73893257 #VALUE!
0.39 48.74134695 #VALUE!
0.391 48.74375959 #VALUE!
0.392 48.74617048 #VALUE!
0.393 48.74857965 #VALUE!
0.394 48.75098713 #VALUE!
0.395 48.75339292 #VALUE!
0.396 48.75579705 #VALUE!
0.397 48.75819953 #VALUE!
0.398 48.76060039 #VALUE!
0.399 48.76299964 #VALUE!
0.4 48.7653973 #VALUE!
0.401 48.76779339 #VALUE!
0.402 48.77018792 #VALUE!
0.403 48.77258092 #VALUE!
0.404 48.7749724 #VALUE!
0.405 48.77736238 #VALUE!
0.406 48.77975088 #VALUE!
0.407 48.78213791 #VALUE!
0.408 48.7845235 #VALUE!
0.409 48.78690766 #VALUE!
0.41 48.7892904 #VALUE!
0.411 48.79167175 #VALUE!
0.412 48.79405173 #VALUE!
0.413 48.79643035 #VALUE!
0.414 48.79880762 #VALUE!
0.415 48.80118357 #VALUE!
0.416 48.80355821 #VALUE!
0.417 48.80593155 #VALUE!
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0.419 48.81067445 #VALUE!
0.42 48.81304402 #VALUE!
0.421 48.81541238 #VALUE!
0.422 48.81777952 #VALUE!
0.423 48.82014548 #VALUE!
0.424 48.82251026 #VALUE!
0.425 48.82487389 #VALUE!
0.426 48.82723637 #VALUE!
0.427 48.82959773 #VALUE!
0.428 48.83195799 #VALUE!
0.429 48.83431715 #VALUE!
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0.431 48.83903227 #VALUE!
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0.44 48.86020055 #VALUE!
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0.5 49 #VALUE!
0.501 49.00232117 #VALUE!
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0.579 49.18458762 #VALUE!
0.58 49.18695598 #VALUE!
0.581 49.18932555 #VALUE!
0.582 49.19169637 #VALUE!
0.583 49.19406845 #VALUE!
0.584 49.19644179 #VALUE!
0.585 49.19881643 #VALUE!
0.586 49.201192382 #VALUE!
0.587 49.20356965 #VALUE!
0.588 49.20594827 #VALUE!
0.589 49.20832825 #VALUE!
0.59 49.2107096 #VALUE!
0.591 49.21309234 #VALUE!
0.592 49.2154765 #VALUE!
0.593 49.21786209 #VALUE!
0.594 49.22024912 #VALUE!
0.595 49.22263762 #VALUE!
0.596 49.2250276 #VALUE!
0.597 49.22741908 #VALUE!
0.598 49.22981208 #VALUE!
0.599 49.23220661 #VALUE!
0.6 49.2346027 #VALUE!
0.601 49.23700036 #VALUE!
0.602 49.23939961 #VALUE!
0.603 49.24180047 #VALUE!
0.604 49.24420295 #VALUE!
0.605 49.24660708 #VALUE!
0.606 49.24901287 #VALUE!
0.607 49.25142035 #VALUE!
0.608 49.25382952 #VALUE!
0.609 49.25624041 #VALUE!
0.61 49.25865305 #VALUE!
0.611 49.26106743 #VALUE!
0.612 49.2634836 #VALUE!
0.613 49.26590156 #VALUE!
0.614 49.26832133 #VALUE!
0.615 49.27074294 #VALUE!
0.616 49.2731664 #VALUE!
0.617 49.27559174 #VALUE!
0.618 49.27801896 #VALUE!
0.619 49.2804481 #VALUE!
0.62 49.28287917 #VALUE!
0.621 49.28531219 #VALUE!
0.622 49.28774718 #VALUE!
0.623 49.29018416 #VALUE!
0.624 49.29262315 #VALUE!
0.625 49.29506418 #VALUE!
0.626 49.29750726 #VALUE!
0.627 49.29995241 #VALUE!
0.628 49.30239965 #VALUE!
0.629 49.30484901 #VALUE!
0.63 49.3073005 #VALUE!
0.631 49.30975415 #VALUE!
0.632 49.31220997 #VALUE!
0.633 49.31466799 #VALUE!
0.634 49.31712823 #VALUE!
0.635 49.31959071 #VALUE!
0.636 49.32205546 #VALUE!
0.637 49.32452249 #VALUE!
0.638 49.32699182 #VALUE!
0.639 49.32946348 #VALUE!
0.64 49.33193749 #VALUE!
0.641 49.33441387 #VALUE!
0.642 49.33689264 #VALUE!
0.643 49.33937384 #VALUE!
0.644 49.34185747 #VALUE!
0.645 49.34434356 #VALUE!
0.646 49.34683213 #VALUE!
0.647 49.34932322 #VALUE!
0.648 49.35181683 #VALUE!
0.649 49.354313 #VALUE!
0.65 49.35681175 #VALUE!
0.651 49.35931309 #VALUE!
0.652 49.36181706 #VALUE!
0.653 49.36432368 #VALUE!
0.654 49.36683297 #VALUE!
0.655 49.36934496 #VALUE!
0.656 49.37185967 #VALUE!
0.657 49.37437712 #VALUE!
0.658 49.37689735 #VALUE!
0.659 49.37942036 #VALUE!
0.66 49.3819462 #VALUE!
0.661 49.38447489 #VALUE!
0.662 49.38700644 #VALUE!
0.663 49.38954089 #VALUE!
0.664 49.39207826 #VALUE!
0.665 49.39461858 #VALUE!
0.666 49.39716187 #VALUE!
0.667 49.39970816 #VALUE!
0.668 49.40225748 #VALUE!
0.669 49.40480984 #VALUE!
0.67 49.40736529 #VALUE!
0.671 49.40992385 #VALUE!
0.672 49.41248553 #VALUE!
0.673 49.41505038 #VALUE!
0.674 49.41761842 #VALUE!
0.675 49.42018967 #VALUE!
0.676 49.42276416 #VALUE!
0.677 49.42534193 #VALUE!
0.678 49.427923 #VALUE!
0.679 49.43050739 #VALUE!
0.68 49.43309515 #VALUE!
0.681 49.43568629 #VALUE!
0.682 49.43828085 #VALUE!
0.683 49.44087885 #VALUE!
0.684 49.44348032 #VALUE!
0.685 49.44608531 #VALUE!
0.686 49.44869382 #VALUE!
0.687 49.4513059 #VALUE!
0.688 49.45392158 #VALUE!
0.689 49.45654089 #VALUE!
0.69 49.45916385 #VALUE!
0.691 49.4617905 #VALUE!
0.692 49.46442087 #VALUE!
0.693 49.467055 #VALUE!
0.694 49.4696929 #VALUE!
0.695 49.47233463 #VALUE!
0.696 49.47498021 #VALUE!
0.697 49.47762967 #VALUE!
0.698 49.48028304 #VALUE!
0.699 49.48294036 #VALUE!
0.7 49.48560167 #VALUE!
0.701 49.48826699 #VALUE!
0.702 49.49093637 #VALUE!
0.703 49.49360983 #VALUE!
0.704 49.49628741 #VALUE!
0.705 49.49896915 #VALUE!
0.706 49.50165507 #VALUE!
0.707 49.50434523 #VALUE!
0.708 49.50703965 #VALUE!
0.709 49.50973837 #VALUE!
0.71 49.51244142 #VALUE!
0.711 49.51514885 #VALUE!
0.712 49.51786069 #VALUE!
0.713 49.52057698 #VALUE!
0.714 49.52329775 #VALUE!
0.715 49.52602305 #VALUE!
0.716 49.52875291 #VALUE!
0.717 49.53148738 #VALUE!
0.718 49.53422649 #VALUE!
0.719 49.53697028 #VALUE!
0.72 49.53971879 #VALUE!
0.721 49.54247206 #VALUE!
0.722 49.54523014 #VALUE!
0.723 49.54799307 #VALUE!
0.724 49.55076088 #VALUE!
0.725 49.55353362 #VALUE!
0.726 49.55631134 #VALUE!
0.727 49.55909406 #VALUE!
0.728 49.56188185 #VALUE!
0.729 49.56467474 #VALUE!
0.73 49.56747277 #VALUE!
0.731 49.570276 #VALUE!
0.732 49.57308446 #VALUE!
0.733 49.5758982 #VALUE!
0.734 49.57871727 #VALUE!
0.735 49.58154171 #VALUE!
0.736 49.58437157 #VALUE!
0.737 49.5872069 #VALUE!
0.738 49.59004775 #VALUE!
0.739 49.59289416 #VALUE!
0.74 49.59574618 #VALUE!
0.741 49.59860387 #VALUE!
0.742 49.60146727 #VALUE!
0.743 49.60433643 #VALUE!
0.744 49.607211402 #VALUE!
0.745 49.61009224 #VALUE!
0.746 49.612979 #VALUE!
0.747 49.61587172 #VALUE!
0.748 49.61877047 #VALUE!
0.749 49.62167529 #VALUE!
0.75 49.62458625 #VALUE!
0.751 49.62750339 #VALUE!
0.752 49.63042677 #VALUE!
0.753 49.63335645 #VALUE!
0.754 49.63629248 #VALUE!
0.755 49.63923492 #VALUE!
0.756 49.64218383 #VALUE!
0.757 49.64513926 #VALUE!
0.758 49.64810128 #VALUE!
0.759 49.65106995 #VALUE!
0.76 49.65404533 #VALUE!
0.761 49.65702747 #VALUE!
0.762 49.66001644 #VALUE!
0.763 49.6630123 #VALUE!
0.764 49.66601512 #VALUE!
0.765 49.66902496 #VALUE!
0.766 49.67204189 #VALUE!
0.767 49.67506596 #VALUE!
0.768 49.67809726 #VALUE!
0.769 49.68113583 #VALUE!
0.77 49.68418176 #VALUE!
0.771 49.6872351 #VALUE!
0.772 49.69029594 #VALUE!
0.773 49.69336434 #VALUE!
0.774 49.69644037 #VALUE!
0.775 49.6995241 #VALUE!
0.776 49.70261561 #VALUE!
0.777 49.70571498 #VALUE!
0.778 49.70882226 #VALUE!
0.779 49.71193755 #VALUE!
0.78 49.71506092 #VALUE!
0.781 49.71819245 #VALUE!
0.782 49.72133221 #VALUE!
0.783 49.72448028 #VALUE!
0.784 49.72763675 #VALUE!
0.785 49.7308017 #VALUE!
0.786 49.7339752 #VALUE!
0.787 49.73715735 #VALUE!
0.788 49.74034823 #VALUE!
0.789 49.74354793 #VALUE!
0.79 49.74675653 #VALUE!
0.791 49.74997411 #VALUE!
0.792 49.75320078 #VALUE!
0.793 49.75643662 #VALUE!
0.794 49.75968172 #VALUE!
0.795 49.76293618 #VALUE!
0.796 49.76620009 #VALUE!
0.797 49.76947354 #VALUE!
0.798 49.77275664 #VALUE!
0.799 49.77604948 #VALUE!
0.8 49.77935217 #VALUE!
0.801 49.7826648 #VALUE!
0.802 49.78598747 #VALUE!
0.803 49.78932029 #VALUE!
0.804 49.79266338 #VALUE!
0.805 49.79601682 #VALUE!
0.806 49.79938073 #VALUE!
0.807 49.80275523 #VALUE!
0.808 49.80614042 #VALUE!
0.809 49.80953642 #VALUE!
0.81 49.81294335 #VALUE!
0.811 49.81636131 #VALUE!
0.812 49.81979043 #VALUE!
0.813 49.82323083 #VALUE!
0.814 49.82668263 #VALUE!
0.815 49.83014595 #VALUE!
0.816 49.83362093 #VALUE!
0.817 49.83710768 #VALUE!
0.818 49.84060635 #VALUE!
0.819 49.84411705 #VALUE!
0.82 49.84763993 #VALUE!
0.821 49.85117512 #VALUE!
0.822 49.85472276 #VALUE!
0.823 49.85828299 #VALUE!
0.824 49.86185596 #VALUE!
0.825 49.86544179 #VALUE!
0.826 49.86904066 #VALUE!
0.827 49.8726527 #VALUE!
0.828 49.87627806 #VALUE!
0.829 49.87991691 #VALUE!
0.83 49.88356939 #VALUE!
0.831 49.88723567 #VALUE!
0.832 49.89091591 #VALUE!
0.833 49.89461028 #VALUE!
0.834 49.89831895 #VALUE!
0.835 49.90204207 #VALUE!
0.836 49.90577984 #VALUE!
0.837 49.90953242 #VALUE!
0.838 49.9133 #VALUE!
0.839 49.91708276 #VALUE!
0.84 49.92088089 #VALUE!
0.841 49.92469457 #VALUE!
0.842 49.928524 #VALUE!
0.843 49.93236937 #VALUE!
0.844 49.93623089 #VALUE!
0.845 49.94010876 #VALUE!
0.846 49.94400319 #VALUE!
0.847 49.94791438 #VALUE!
0.848 49.95184256 #VALUE!
0.849 49.95578794 #VALUE!
0.85 49.95975075 #VALUE!
0.851 49.96373121 #VALUE!
0.852 49.96772956 #VALUE!
0.853 49.97174604 #VALUE!
0.854 49.97578088 #VALUE!
0.855 49.97983433 #VALUE!
0.856 49.98390664 #VALUE!
0.857 49.98799807 #VALUE!
0.858 49.99210888 #VALUE!
0.859 49.99623934 #VALUE!
0.86 50.00038971 #VALUE!
0.861 50.00456027 #VALUE!
0.862 50.00875132 #VALUE!
0.863 50.01296312 #VALUE!
0.864 50.01719599 #VALUE!
0.865 50.02145022 #VALUE!
0.866 50.02572612 #VALUE!
0.867 50.030024 #VALUE!
0.868 50.03434418 #VALUE!
0.869 50.038687 #VALUE!
0.87 50.04305278 #VALUE!
0.871 50.04744187 #VALUE!
0.872 50.05185462 #VALUE!
0.873 50.05629139 #VALUE!
0.874 50.06075253 #VALUE!
0.875 50.06523843 #VALUE!
0.876 50.06974947 #VALUE!
0.877 50.07428605 #VALUE!
0.878 50.07884855 #VALUE!
0.879 50.08343739 #VALUE!
0.88 50.088053 #VALUE!
0.881 50.09269579 #VALUE!
0.882 50.09736622 #VALUE!
0.883 50.10206473 #VALUE!
0.884 50.10679178 #VALUE!
0.885 50.11154786 #VALUE!
0.886 50.11633344 #VALUE!
0.887 50.12114901 #VALUE!
0.888 50.12599511 #VALUE!
0.889 50.13087223 #VALUE!
0.89 50.13578093 #VALUE!
0.891 50.14072176 #VALUE!
0.892 50.14569527 #VALUE!
0.893 50.15070206 #VALUE!
0.894 50.15574271 #VALUE!
0.895 50.16081784 #VALUE!
0.896 50.16592808 #VALUE!
0.897 50.17107408 #VALUE!
0.898 50.1762565 #VALUE!
0.899 50.18147602 #VALUE!
0.9 50.18673336 #VALUE!
0.901 50.19202922 #VALUE!
0.902 50.19736437 #VALUE!
0.903 50.20273955 #VALUE!
0.904 50.20815557 #VALUE!
0.905 50.21361324 #VALUE!
0.906 50.21911339 #VALUE!
0.907 50.22465689 #VALUE!
0.908 50.23024463 #VALUE!
0.909 50.23587753 #VALUE!
0.91 50.24155654 #VALUE!
0.911 50.24728262 #VALUE!
0.912 50.2530568 #VALUE!
0.913 50.25888012 #VALUE!
0.914 50.26475365 #VALUE!
0.915 50.27067851 #VALUE!
0.916 50.27665585 #VALUE!
0.917 50.28268686 #VALUE!
0.918 50.28877278 #VALUE!
0.919 50.29491487 #VALUE!
0.92 50.301114473 #VALUE!
0.921 50.30737295 #VALUE!
0.922 50.31369172 #VALUE!
0.923 50.32007225 #VALUE!
0.924 50.32651608 #VALUE!
0.925 50.3330248 #VALUE!
0.926 50.33960004 #VALUE!
0.927 50.34624353 #VALUE!
0.928 50.35295704 #VALUE!
0.929 50.35974243 #VALUE!
0.93 50.36660162 #VALUE!
0.931 50.37353662 #VALUE!
0.932 50.38054953 #VALUE!
0.933 50.38764252 #VALUE!
0.934 50.39481788 #VALUE!
0.935 50.40207797 #VALUE!
0.936 50.40942528 #VALUE!
0.937 50.41686241 #VALUE!
0.938 50.42439208 #VALUE!
0.939 50.43201711 #VALUE!
0.94 50.4397405 #VALUE!
0.941 50.44756535 #VALUE!
0.942 50.45549496 #VALUE!
0.943 50.46353275 #VALUE!
0.944 50.47168235 #VALUE!
0.945 50.47994756 #VALUE!
0.946 50.48833238 #VALUE!
0.947 50.49684103 #VALUE!
0.948 50.50547796 #VALUE!
0.949 50.51424789 #VALUE!
0.95 50.52315577 #VALUE!
0.951 50.53220688 #VALUE!
0.952 50.54140678 #VALUE!
0.953 50.55076139 #VALUE!
0.954 50.56027699 #VALUE!
0.955 50.56996025 #VALUE!
0.956 50.57981829 #VALUE!
0.957 50.5898587 #VALUE!
0.958 50.60008957 #VALUE!
0.959 50.61051958 #VALUE!
0.96 50.62115799 #VALUE!
0.961 50.63201477 #VALUE!
0.962 50.64310064 #VALUE!
0.963 50.65442713 #VALUE!
0.964 50.66600668 #VALUE!
0.965 50.67785276 #VALUE!
0.966 50.68997997 #VALUE!
0.967 50.70240414 #VALUE!
0.968 50.71514255 #VALUE!
0.969 50.72821404 #VALUE!
0.97 50.74163925 #VALUE!
0.971 50.75544084 #VALUE!
0.972 50.76964377 #VALUE!
0.973 50.78427564 #VALUE!
0.974 50.79936703 #VALUE!
0.975 50.81495205 #VALUE!
0.976 50.83106879 #VALUE!
0.977 50.84776006 #VALUE!
0.978 50.86507419 #VALUE!
0.979 50.88306601 #VALUE!
0.98 50.90179811 #VALUE!
0.981 50.92134237 #VALUE!
0.982 50.94178197 #VALUE!
0.983 50.96321386 #VALUE!
0.984 50.98575202 #VALUE!
0.985 51.00953181 #VALUE!
0.986 51.03471566 #VALUE!
0.987 51.06150095 #VALUE!
0.988 51.09013093 #VALUE!
0.989 51.12091034 #VALUE!
0.99 51.15422828 #VALUE!
0.991 51.19059304 #VALUE!
0.992 51.23068701 #VALUE!
0.993 51.27545774 #VALUE!
0.994 51.3262782 #VALUE!
0.995 51.38525131 #VALUE!
0.996 51.45585101 #VALUE!
0.997 51.54448117 #VALUE!
0.998 51.66521507 #VALUE!
0.999 51.86159516 #VALUE!
ENT ON A SINGLE STOCK
erivatives, 7e
d on this application
Number
1000
100 55 0.5 1
500 50 0.25 1
1600 50 0.2 0
-2.3263
#VALUE!
46 47 48 49 50 51 52 53
Asset Price
46 47 48 49 50 51 52 53
Asset Price
CALCULATION OF A STATIC OPTIONS REPLICATION P
Carries out calculations for the example in Section 24.14 of Optio
Problem 24.27 in Options, Futures, and Other Derivatives, 7e is bas
Barrier Option
Stock 50 IsUp 1
Strike 50 IsIn 0
Barrier 60 IsCall 1
r 10.00%
q 0%
vol 30%
t 0.75 Barrier Price #VALUE!
A four option hedge Hedge Portfolio

S at which Portfolio Number
Hedge value is without Value of needed to
Time zero this Opt. this Opt. Hedge Type Number K Tmat IsCall
1 1 50 0.75 1
0.5 60 #VALUE! #VALUE! #VALUE! 1 ### 60 0.75 1
0 60 #VALUE! #VALUE! #VALUE! 1 ### 60 0.25 1
0 50 Hedge Price
A sixteen option hedge Hedge Portfolio

S at which Portfolio Number
Hedge value is without Value of needed to
Time zero this Opt. this Opt. Hedge Type Number K Tmat IsCall
1 1 50 0.75 1
0 60 #VALUE! #VALUE! #VALUE! 1 ### 60 0.05 1
0 50 Hedge Price
TIC OPTIONS REPLICATION POSITION
mple in Section 24.14 of Options, Futures and Other Derivatives, 7e
d Other Derivatives, 7e is based on this application
Return 0 = Price
0 1 = Delta
2 = Gamma
3 = Vega
Portfolio
Value with
this Opt.
#VALUE!
#VALUE!
#VALUE!
#VALUE!
A better sixteen option hedge Hedge Portfolio

Portfolio S at which Portfolio Number
Value with Hedge value is without Value of needed to
this Opt. Time zero this Opt. this Opt. Hedge Type Number K Tmat IsCall
1 1 50 0.750 1
#VALUE! 0.745 60 #VALUE! #VALUE! #VALUE! 1 ### 60 0.750 1
#VALUE! 0 60 #VALUE! #VALUE! #VALUE! 1 ### 60 0.200 1
#VALUE! 0 50 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 applicat
Term Structure
0.008219 5.018% Time to Ex. 1
Trinomial Conv
0.084932 4.983% BondLife 9
0.169863 4.972% Coupon 0.00% 12.0000
0.257534 4.962% Principal 100
0.506849 4.991% Payment Freq 2 10.0000
1.005479 5.094%
2.00274 5.797% IsCall 1 8.0000
3.00274 6.306% Result 0
4.00274 6.735% 6.0000
5.00274 6.948% Sigma 1.00%
6.010959 7.088% RevRate 10.00% 4.0000
7.008219 7.275% Strike 55
8.005479 7.309% IsQuotedStrike 0 2.0000
9.005479 7.398%
10.00822 7.490% 0.0000
0 10 20 30 40
nSt
nSteps Tree Analytic
5 #VALUE! #VALUE!
6 #VALUE! #VALUE!
7 #VALUE! #VALUE!
8 #VALUE! #VALUE!
9 #VALUE! #VALUE!
10 #VALUE! #VALUE!
11 #VALUE! #VALUE!
12 #VALUE! #VALUE!
13 #VALUE! #VALUE!
14 #VALUE! #VALUE!
15 #VALUE! #VALUE!
16 #VALUE! #VALUE!
17 #VALUE! #VALUE!
18 #VALUE! #VALUE!
19 #VALUE! #VALUE!
20 #VALUE! #VALUE!
21 #VALUE! #VALUE!
22 #VALUE! #VALUE!
23 #VALUE! #VALUE!
24 #VALUE! #VALUE!
25 #VALUE! #VALUE!
26 #VALUE! #VALUE!
27 #VALUE! #VALUE!
28 #VALUE! #VALUE!
29 #VALUE! #VALUE!
30 #VALUE! #VALUE!
31 #VALUE! #VALUE!
32 #VALUE! #VALUE!
33 #VALUE! #VALUE!
34 #VALUE! #VALUE!
35 #VALUE! #VALUE!
36 #VALUE! #VALUE!
37 #VALUE! #VALUE!
38 #VALUE! #VALUE!
39 #VALUE! #VALUE!
40 #VALUE! #VALUE!
41 #VALUE! #VALUE!
42 #VALUE! #VALUE!
43 #VALUE! #VALUE!
44 #VALUE! #VALUE!
45 #VALUE! #VALUE!
46 #VALUE! #VALUE!
47 #VALUE! #VALUE!
48 #VALUE! #VALUE!
49 #VALUE! #VALUE!
50 #VALUE! #VALUE!
51 #VALUE! #VALUE!
52 #VALUE! #VALUE!
53 #VALUE! #VALUE!
54 #VALUE! #VALUE!
55 #VALUE! #VALUE!
56 #VALUE! #VALUE!
57 #VALUE! #VALUE!
58 #VALUE! #VALUE!
59 #VALUE! #VALUE!
60 #VALUE! #VALUE!
61 #VALUE! #VALUE!
62 #VALUE! #VALUE!
63 #VALUE! #VALUE!
64 #VALUE! #VALUE!
65 #VALUE! #VALUE!
66 #VALUE! #VALUE!
67 #VALUE! #VALUE!
68 #VALUE! #VALUE!
69 #VALUE! #VALUE!
70 #VALUE! #VALUE!
71 #VALUE! #VALUE!
72 #VALUE! #VALUE!
73 #VALUE! #VALUE!
74 #VALUE! #VALUE!
75 #VALUE! #VALUE!
76 #VALUE! #VALUE!
77 #VALUE! #VALUE!
78 #VALUE! #VALUE!
79 #VALUE! #VALUE!
80 #VALUE! #VALUE!
EAN BOND OPTION
and Other Derivatives, 7e
ased on this application
Trinomial Convergence
Tree
Analytic
20 30 40 50 60 70 80
nSteps

Derivagem - Version 1.52: "Options, Futures and Other Derivatives" 7/E "Fundamentals of Futures and Options Markets" 6/E

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Derivagem - Version 1.52: "Options, Futures and Other Derivatives" 7/E "Fundamentals of Futures and Options Markets" 6/E

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DerivaGem - Version 1.

"Options, Futures and Other Derivatives" 7/E

07 you will have to

Position K T Value New S New sig New Val Gain

#VALUE! #VALUE! #VALUE!

Example #VALUE! (Delta of Cash or Nothing Call)

Example #VALUE! (Price of down and out call option)

Example of Function: #VALUE!

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

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)

nSteps Tree BS 5.5000

Maturity 1 Stock Price 50

Stock Price 50 Weekly Hedging

Number of shares traded

Number of shares traded

Case Antithetic Case

Case Antithetic Case

Cum. Stock Shares Cum.

Hedging a binary option with a call option

Market Data Binary Option Hedging Call

Asset or Nothing Hedge Option

Asset or Nothing Hedge Option

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Weekly Hedging Trading Volume

Cum. Cost Calls Shares

Cum. Cost Calls Shares

Linear model 1-Day VaR #VALUE!

Quadratic Model E(dP) #VALUE! mu_P ### z_q

1-Day VaR #VALUE!

0.002 46.33478493 #VALUE!

A four option hedge Hedge Portfolio

A sixteen option hedge Hedge Portfolio

A better sixteen option hedge Hedge Portfolio

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