DerivaGem - Version 4.

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 book:

"Options, Futures and Other Derivatives" 10/E

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., 2016

 4.00

n designed to

ives" 10/E

07 you will have to

ent"
 Equity_FX_Indx_Fut_Opts_Calc

Underlying Type: Time (Yrs) Dividend Chart: Progress: 100.00%

Equity Vertical (Y) Axis:

Option price
Asset Price
40.0000
40.1005
Option Price
21.3969
21.3287
Stock Price: 42.00 Horizontal (X) Axis: 40.2010 21.2606
Volatility (% per year):
Risk-Free Rate (% per year):
20.00%
10.00% Strike price
Minimum X value: 40
40.3015
40.4020
40.5025
21.1924
21.1243
21.0561
Maximum X value: 60 40.6030 20.9880

Imply- Volatility
Option Type: Number of X Values: 200 40.7035 20.9198

Black-Scholes European 40.8040 20.8517

Put
40.9045 20.7835
Life (Years): 0.5000 41.0050 20.7153

Call
Strike Price: 40.00 41.1055 20.6472
41.2060 20.5790
41.3065 20.5109
41.4070 20.4427
41.5075 20.3746
Results: 41.6080 20.3064
Price: 4.75942239 41.7085 20.2383
Delta (per $): 0.77913129 41.8090 20.1701
Gamma (per $ per $): 0.04996267 41.9095 20.1020
Vega (per %): 0.08813415 42.0101 20.0338
Theta (per day): -0.0124907 42.1106 19.9657
Rho (per %): 0.13982046 42.2111 19.8975
42.3116 19.8293
42.4121 19.7612
25
42.5126 19.6930
42.6131 19.6249
42.7136 19.5567
42.8141 19.4886
42.9146 19.4204
Option Price

20
43.0151 19.3523
43.1156 19.2841
43.2161 19.2160
15 43.3166 19.1478
43.4171 19.0796
43.5176 19.0115
43.6181 18.9433
10 43.7186 18.8752
43.8191 18.8070
43.9196 18.7389
44.0201 18.6707
5 44.1206 18.6026
44.2211 18.5344
44.3216 18.4663
44.4221 18.3981
0 44.5226 18.3300
40 42 44 46 48 50 52 54 56 58 60 44.6231 18.2618
Asset Price 44.7236 18.1936
44.8241 18.1255
44.9246 18.0573
45.0251 17.9892
45.1256 17.9210
45.2261 17.8529
45.3266 17.7847
45.4271 17.7166
45.5276 17.6484
45.6281 17.5803
45.7286 17.5121
45.8291 17.4439
45.9296 17.3758
46.0302 17.3076
46.1307 17.2395
46.2312 17.1713
46.3317 17.1032
46.4322 17.0350
46.5327 16.9669
46.6332 16.8987
46.7337 16.8306
46.8342 16.7624
46.9347 16.6942
47.0352 16.6261
47.1357 16.5579
47.2362 16.4898
47.3367 16.4216
47.4372 16.3535
47.5377 16.2853
47.6382 16.2172
47.7387 16.1490
47.8392 16.0809
47.9397 16.0127
48.0402 15.9446
48.1407 15.8764
48.2412 15.8082
48.3417 15.7401
48.4422 15.6719
48.5427 15.6038
48.6432 15.5356
48.7437 15.4675
48.8442 15.3993
48.9447 15.3312
49.0452 15.2630
49.1457 15.1949
49.2462 15.1267
49.3467 15.0585
49.4472 14.9904
49.5477 14.9222
49.6482 14.8541
49.7487 14.7859
49.8492 14.7178
49.9497 14.6496
50.0503 14.5815
50.1508 14.5136
50.2513 14.4460
50.3518 14.3787
50.4523 14.3117
50.5528 14.2450
50.6533 14.1785
50.7538 14.1123
50.8543 14.0464
50.9548 13.9807
51.0553 13.9154
51.1558 13.8503
51.2563 13.7855
51.3568 13.7209
51.4573 13.6567
51.5578 13.5927
51.6583 13.5290
51.7588 13.4655
51.8593 13.4023
51.9598 13.3394
52.0603 13.2768
52.1608 13.2144
52.2613 13.1523
52.3618 13.0904
52.4623 13.0288
52.5628 12.9675
52.6633 12.9065
52.7638 12.8457
52.8643 12.7851
52.9648 12.7249
53.0653 12.6649
53.1658 12.6051
53.2663 12.5456
53.3668 12.4864
53.4673 12.4274
53.5678 12.3687
53.6683 12.3102
53.7688 12.2520
53.8693 12.1941
53.9698 12.1363
54.0704 12.0789
54.1709 12.0217
54.2714 11.9647
54.3719 11.9080
54.4724 11.8516
54.5729 11.7954
54.6734 11.7394
54.7739 11.6837
54.8744 11.6282
54.9749 11.5730
55.0754 11.5180
55.1759 11.4633
55.2764 11.4088
55.3769 11.3545
55.4774 11.3005
55.5779 11.2468
55.6784 11.1932
55.7789 11.1399
55.8794 11.0869
55.9799 11.0340
56.0804 10.9814
56.1809 10.9291
56.2814 10.8770
56.3819 10.8251
56.4824 10.7734
56.5829 10.7220
56.6834 10.6708
56.7839 10.6199
56.8844 10.5691
56.9849 10.5186
57.0854 10.4683
57.1859 10.4183
57.2864 10.3685
57.3869 10.3189
57.4874 10.2695
57.5879 10.2203
57.6884 10.1714
57.7889 10.1227
57.8894 10.0742
57.9899 10.0259
58.0905 9.9779
58.1910 9.9300
58.2915 9.8824
58.3920 9.8350
58.4925 9.7878
58.5930 9.7409
58.6935 9.6941
58.7940 9.6476
58.8945 9.6012
58.9950 9.5551
59.0955 9.5092
59.1960 9.4635
59.2965 9.4180
59.3970 9.3728
59.4975 9.3277
59.5980 9.2828
59.6985 9.2382
59.7990 9.1937
59.8995 9.1495
60.0000 9.1054

Page 3
 Alternative_Models

Underlying Type: Chart: Progress: 100.00%

Vertical (Y) Axis: Strike Price Implied Volatility
Equity
2.0000 1.2956
Implied Volatility
Stock Price: 42.00 2.3673 1.2056
Risk-Free Rate (% per year): 10.00% Horizontal (X) Axis: 2.7347 1.1271
Dividend Yield (% per yer): 0.00% 3.1020 1.0572
Strike price
3.4694 0.9939
Minimum X value: 2 3.8367 0.9360
European Option: Maximum X value: 20 4.2041 0.8824
Life (Years): 0.5000 Put Number of X Values: 50 4.5714 0.8324
Strike Price: 40.00 4.9388 0.7854
Call
5.3061 0.7410
Model Type: 5.6735 0.6988
SABR 6.0408 0.6585
6.4082 0.6198
Initial Volatility (% per year): 20.00% 6.7755 0.5826
Beta: 1.0000 7.1429 0.5467
Volatility of Volatility: 1.0000 7.5102 0.5118
Correlation: -0.2000 7.8776 0.4781
8.2449 0.4452
8.6122 0.4134
Results: 8.9796 0.3825
Price: 4.97381277 9.3469 0.3529
Delta (per $): 0.80861736 9.7143 0.3250
Gamma (per $ per $): 0.04230846 10.0816 0.2998
Vega (per %): 0.09353902 10.4490 0.2789
Theta (per day): -0.0139893 10.8163 0.2644
Rho (per %): 0.14549717 11.1837 0.2580
11.5510 0.2590
11.9184 0.2655
12.2857 0.2753
1.4
12.6531 0.2870
13.0204 0.2996
Implied Volatility

1.2 13.3878 0.3125

13.7551 0.3256
14.1224 0.3386
1 14.4898 0.3514
14.8571 0.3640
15.2245 0.3764
0.8 15.5918 0.3884
15.9592 0.4002
16.3265 0.4117
0.6
16.6939 0.4229
17.0612 0.4339
17.4286 0.4445
0.4
17.7959 0.4550
18.1633 0.4652
0.2 18.5306 0.4751
18.8980 0.4848
19.2653 0.4943
0 19.6327 0.5036
2 4 6 8 10 12 14 16 18 20 20.0000 0.5127
Strike Price

Page 4
 Monte_Carlo

Underlying Type: Option Type: First Two Simulation Trials

60

Equity European
Put

Stock Price
Stock Price: 42.00 Life (Years): 0.5000 50

Call
Risk-Free Rate (% per year): 10.00% Strike Price: 40.00
Dividend Yield (% per yer):
40

Model Type:
Simulation Data:
Number of Time Steps:
Number of Simulations:
100
1000
Log Normal
Volatility (% per year): 20.00%
30

Random Seed: 365 20

Do Antithetic 10

Price: 4.71300027 0
Standard Error: 0.15404279 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
Time

Results Based on First 10 Simulation Paths

Price: 5.072156
Standard Error: 1.367507

Path Value: 1.604 1.197 7.016 5.609 0.000 10.188 1.858 3.916 13.630 5.704

Time Simulated Prices:

0.000 42.000 42.000 42.000 42.000 42.000 42.000 42.000 42.000 42.000 42.000
0.005 41.467 41.093 41.940 42.175 42.611 43.077 41.720 42.123 42.107 41.514
0.010 41.810 41.092 42.051 42.261 42.877 42.206 42.170 41.878 41.928 43.333
0.015 41.606 42.286 41.806 41.307 42.473 42.275 41.771 42.415 42.301 42.420
0.020 41.965 41.793 41.395 40.728 43.834 42.531 41.515 42.815 43.231 43.438
0.025 41.680 41.182 41.872 41.317 43.743 42.261 42.180 41.829 43.576 42.463
0.030 40.054 41.415 43.460 41.405 44.190 42.239 42.179 41.655 43.791 41.653
0.035 40.204 42.056 44.300 41.690 43.848 42.517 41.375 41.752 44.109 41.802
0.040 39.840 42.493 43.404 40.831 45.059 42.556 41.087 41.114 44.570 41.736
0.045 38.863 42.768 42.428 40.877 46.008 42.083 40.208 41.740 43.834 41.528
0.050 38.748 43.131 43.348 40.572 46.824 40.840 39.268 41.169 44.672 41.301
0.055 39.055 42.955 43.908 40.702 47.273 41.330 38.828 41.501 44.986 40.951
0.060 39.299 43.928 43.604 39.765 45.741 41.296 38.484 42.122 45.748 40.689
0.065 40.049 42.825 42.511 39.497 45.522 41.371 38.000 41.494 45.472 40.711
0.070 39.998 42.101 41.917 39.405 44.681 41.539 38.328 42.101 45.910 40.192
0.075 39.563 43.071 42.479 39.299 44.946 42.080 39.013 41.995 45.469 40.203
0.080 39.547 42.451 42.827 39.689 44.258 41.966 38.986 40.960 46.070 41.285
0.085 39.476 42.705 42.865 40.302 44.710 41.532 39.001 40.110 46.812 42.116
0.090 39.744 42.277 42.793 40.474 44.552 40.913 39.467 40.238 47.116 43.740
0.095 39.981 43.396 43.156 41.058 43.515 41.128 39.368 40.846 47.972 44.066
0.100 39.589 43.897 42.296 41.630 43.327 40.780 38.959 41.488 47.163 44.633
0.105 39.073 44.842 41.949 42.188 42.717 40.227 38.696 41.978 46.768 46.246
0.110 39.229 44.834 42.082 42.201 43.296 40.287 38.773 42.031 46.257 45.738
0.115 39.324 45.510 41.751 42.229 44.349 39.750 37.998 41.447 45.669 45.327
0.120 39.287 45.111 41.223 43.206 44.799 40.586 38.458 41.418 45.326 44.907
0.125 39.487 44.741 40.454 43.882 44.941 40.233 39.114 41.383 44.365 44.250
0.130 39.904 44.390 40.239 44.321 44.825 40.527 38.772 41.980 45.214 43.788
0.135 39.857 46.296 39.945 43.459 44.691 40.258 38.183 41.982 45.421 43.946
0.140 40.157 47.613 40.438 43.892 44.407 39.981 38.157 40.845 46.206 44.262
0.145 39.955 46.702 40.829 44.109 43.480 39.891 38.169 40.472 46.732 44.742
0.150 40.257 45.390 40.872 42.891 42.993 39.924 37.760 40.747 46.371 44.659
0.155 40.947 46.003 40.941 42.416 42.909 41.051 38.413 39.485 46.826 43.899
0.160 40.899 45.757 41.302 43.215 42.111 40.768 38.466 39.764 46.717 43.961
0.165 41.548 46.253 40.140 43.706 42.347 40.880 38.407 39.483 47.866 43.617
0.170 42.410 45.492 40.846 44.895 41.899 41.689 38.699 39.009 48.659 43.245
0.175 42.214 45.894 41.336 44.994 41.052 40.827 38.853 39.672 47.793 42.775
0.180 41.892 46.384 41.711 44.017 40.330 41.399 38.499 39.821 47.717 42.260
0.185 42.212 46.822 42.039 45.285 40.120 41.544 37.041 40.253 46.933 41.447
0.190 43.510 48.086 41.610 44.867 40.117 42.047 38.141 40.325 46.410 40.738
0.195 43.419 47.283 42.221 45.344 39.909 42.051 38.247 39.944 45.880 40.470
0.200 43.776 47.561 42.388 46.097 39.758 42.558 39.023 40.762 45.857 39.638
0.205 43.608 47.402 42.502 46.858 39.307 42.413 38.971 41.303 46.410 39.764
0.210 43.476 48.936 42.239 46.899 38.382 41.530 38.775 42.013 47.023 39.597
0.215 43.680 48.765 42.204 46.924 38.100 40.958 37.973 41.654 47.188 40.104
0.220 43.302 48.617 41.505 45.119 39.146 40.230 38.468 42.204 46.097 40.224
0.225 43.250 47.925 41.363 44.395 38.780 40.961 37.694 42.370 46.151 39.718
0.230 43.623 48.076 42.354 44.290 39.568 41.169 36.998 42.189 45.694 39.689
0.235 43.575 49.382 42.288 44.193 40.458 42.273 36.851 41.428 46.234 39.029
0.240 43.547 49.282 41.353 43.434 41.187 42.519 36.457 41.353 46.579 38.373
0.245 43.477 49.131 42.471 43.265 41.209 44.005 35.930 41.012 47.229 38.084
0.250 43.428 48.421 43.253 43.489 40.608 43.856 35.915 40.464 48.763 38.554
0.255 43.413 47.983 43.365 42.968 40.354 44.469 36.330 41.201 48.491 38.749
0.260 44.128 47.279 42.872 43.583 39.847 44.251 36.224 42.142 49.581 38.024
0.265 44.886 47.406 42.009 43.294 38.602 44.420 37.110 43.514 49.128 37.776
0.270 44.252 46.563 42.965 43.825 38.987 44.046 37.557 43.403 49.344 38.192
0.275 43.775 46.825 43.130 43.759 38.950 44.306 37.659 43.982 49.861 38.596
0.280 45.272 47.873 42.892 44.425 39.568 43.588 37.909 43.975 49.555 39.343
0.285 44.946 46.721 42.883 44.538 40.056 43.779 38.337 44.824 49.232 39.585
0.290 44.687 47.400 43.573 44.677 40.488 43.159 38.102 44.487 49.495 40.062
0.295 44.158 47.509 43.321 45.371 40.361 42.919 36.629 43.269 49.680 40.891
0.300 43.958 47.029 42.914 45.947 41.487 43.567 36.350 42.818 49.470 42.115
0.305 43.499 46.570 44.266 46.495 42.253 44.570 37.027 42.297 49.574 42.502
0.310 43.561 47.096 44.202 46.721 41.829 45.660 36.830 43.204 49.759 42.150
0.315 44.583 46.923 44.290 45.787 41.276 46.209 36.683 43.483 49.538 42.185
0.320 44.632 46.803 44.639 45.572 41.356 46.148 36.739 43.193 49.769 42.534
0.325 44.091 46.917 44.428 45.853 41.127 46.166 36.884 44.476 49.771 43.495
0.330 43.740 46.626 44.404 46.029 40.584 46.321 36.333 44.496 48.244 43.677
0.335 42.282 46.724 43.170 46.496 41.064 47.298 37.344 45.326 48.454 44.663
0.340 43.728 47.648 43.172 45.878 41.233 47.969 37.628 46.184 48.636 44.687
0.345 44.118 47.516 43.009 46.487 40.651 47.387 37.113 46.111 48.955 45.015
0.350 43.356 48.300 43.386 45.827 40.827 48.479 38.310 45.480 48.848 44.518
0.355 44.193 48.226 43.468 45.935 40.543 48.750 37.520 46.271 49.606 44.713
0.360 43.897 47.450 43.318 46.725 40.052 49.661 36.677 45.645 50.298 45.196
0.365 43.706 46.917 43.957 47.703 39.878 50.628 37.253 46.073 50.525 45.023
0.370 43.790 47.590 45.209 48.785 40.022 51.786 36.773 45.069 50.303 45.015
0.375 43.234 47.585 46.005 48.043 40.391 52.568 37.618 45.566 50.570 45.985
0.380 41.483 47.512 45.457 47.395 40.144 52.697 38.278 45.128 51.357 46.875
0.385 41.719 47.258 45.503 47.649 39.036 52.858 39.428 43.723 52.166 46.777
0.390 41.062 47.488 44.107 47.884 38.456 52.851 40.555 43.507 51.931 47.457
0.395 40.848 46.540 44.740 47.189 37.827 52.779 41.256 43.891 51.913 47.137
0.400 41.017 46.208 45.027 47.491 36.929 53.220 41.240 43.570 51.334 46.864
0.405 40.262 45.747 44.486 47.699 36.391 52.238 41.764 43.474 52.466 46.409
0.410 40.106 45.997 44.692 48.454 36.118 52.218 42.052 42.982 53.712 46.737
0.415 41.046 46.205 44.119 48.000 36.109 51.964 41.492 43.761 54.806 46.061
0.420 41.281 45.306 44.287 46.883 35.965 51.537 40.792 43.743 54.649 45.983
0.425 40.871 44.946 44.525 46.903 36.344 51.295 40.980 43.095 54.420 45.476
0.430 41.471 44.610 44.654 46.578 35.596 52.007 41.082 43.549 54.745 45.353
0.435 41.504 44.656 44.966 45.718 36.163 51.966 40.260 43.468 54.740 46.047
0.440 41.763 44.138 45.445 46.889 35.994 51.195 39.405 44.517 56.939 46.312
0.445 41.931 44.918 45.703 48.127 36.701 50.815 39.702 44.212 57.391 46.778
0.450 40.922 46.235 45.974 48.328 36.728 50.729 40.449 43.681 55.484 46.704
0.455 41.040 45.675 45.276 48.059 36.452 51.113 41.165 43.714 55.946 47.366
0.460 40.518 44.692 46.385 47.070 35.418 50.585 41.352 44.434 55.972 47.136
0.465 40.889 44.658 48.018 47.362 35.586 51.182 41.089 43.559 55.907 46.753
0.470 40.914 43.921 48.289 47.260 35.788 50.654 42.415 43.796 56.018 46.169
0.475 41.160 42.779 47.987 47.520 36.211 51.801 43.172 43.436 55.144 46.180
0.480 41.524 41.914 49.098 46.178 36.081 51.692 42.207 43.281 55.075 47.439
0.485 40.944 41.816 49.050 45.735 36.827 52.234 42.662 43.475 54.344 46.842
0.490 41.391 41.092 48.760 45.632 36.849 51.231 41.898 43.111 55.002 45.584
0.495 41.094 41.037 47.329 45.917 36.729 50.386 41.704 43.833 54.533 45.159
0.500 41.686 41.258 47.376 45.896 36.742 50.711 41.954 44.117 54.328 45.996

Page 5
 Zero_Curve

Input Market Data for Zero Curve Construction Treasury Zeroes OIS Zeroes
Input rate compounding frequency corresponds to payment frequency Time Zero Time Zero
Output rates are continuously compounded 0.000 1.6032% 0.000 1.7987%
Treasury Deposit Data: OIS Swaps (< 1 Year): 0.250 1.6032% 0.083 1.7987%
Life (Yrs) Yield (%) Life (Yrs) Rate (%) 0.500 2.0101% 0.250 1.9950%
0.25 1.6064% 0.0833333 1.8000% 1.000 2.2246% 0.500 2.1880%
0.5 2.0202% 0.25 2.0000% 1.500 2.2844% 1.000 2.4693%
1 2.2495% 0.5 2.2000% 2.000 2.4164% 2.000 2.9994%
1.00 2.5000% 5.000 4.0401%

Treasury Bond Data: OIS Swap Data:

Coupon Frequency: Settlement Frequency:

Semi-Annual Quarterly

Life (Yrs) Coupon (%) Yield (%) Life (Yrs) Rate (%)
1.5 4.0000% 2.2949% 2 3.0000%
2 5.0000% 2.4238% 5 4.0000%

Page 6
 Zeroes (cont. comp.):
Bond Price Calculator Time (Yrs) Rate (%)
0.5 5.000%
1 5.800%
Principal : 100 1.5 6.400%
Bond Life (Years): 2.00 2 6.800%
Coupon Rate (%): 6.00%

Settlement Frequency:
Semi-Annual

Results:
Price: 98.385063
Current Accrual: 0
Yield to Maturity: 0.0687806
DV01 (Per basis point): -0.0188188
Gamma (per % per %): 0.0369306
 LIBOR Forwards: OIS Zeroes (cont. comp.):
Swap Price Calculator Time (Yrs) Rate (%) Time (Yrs) Rate (%)
LIBOR forwards: tenor and comp. freq, 0.25 3.429% 0.25 2.800%
correspond to Settlement Frequency 0.75 3.734% 0.75 3.200%
Notional: 100 1.25 3.400%
Swap End (Years): 1.25
Swap Rate (%): 3.00%
Last Reset (%): 2.90%

Rec. Fixed Pay Fixed

Settlement Frequency:
Semi-Annual

Results:
Price: -0.5117323
Break-Even Swap Rate: 0
DV01 (Per basis point): -0.0096149
Gamma (per % per %): 0.0192356
 Term Structure: Chart: Progress: 100.00%
Bond Data: Time (Yrs) Rate (%) Vertical (Y) Axis: Strike Price DV01
Principal: 100 Coupon Frequency: 0 5.00% 80.0000 0.0010
DV01
Bond Life (Years): 10 1 5.00% 80.8163 0.0012
Semi-Annual
Coupon Rate (%): 5.000% 2 5.00% Horizontal (X) Axis: 81.6327 0.0016
Quoted Bond Price (/100): 99.51021 3 5.00% 82.4490 0.0019
Strike price
4 5.00% 83.2653 0.0024
Pricing Model: 5 5.00% Minimum X value: 80.00 84.0816 0.0030
6 5.00% Maximum X value: 120.00 84.8980 0.0036
LogNormal - Tree American 7 5.00% Number of X Values: 50 85.7143 0.0044
Option Data: 8 5.00% 86.5306 0.0052
Strike Price (/100): 105.00 Imply Volatility 9 5.00% 87.3469 0.0062
Option Life (Years): 1.50 10 5.00% 88.1633 0.0072
Short-Rate Volatility (%): 20.00% ✘ Quoted Strike 88.9796 0.0084
Reversion Rate (%): 5.00% 89.7959 0.0097
Tree Steps: 4 Call Put 90.6122 0.0111
91.4286 0.0127
92.2449 0.0143
Results: 93.0612 0.0161
Price: 0.671933 93.8776 0.0179
DV01 (Per basis point): -0.01931 94.6939 0.0198
Gamma01 (Per % Per %): 2.387869 95.5102 0.0218
Vega (per %): 0.105723 96.3265 0.0239
97.1429 0.0260
97.9592 0.0281
98.7755 0.0303
0.07
99.5918 0.0325
100.4082 0.0346
0.06 101.2245 0.0367
102.0408 0.0388
102.8571 0.0409
DV01

0.05 103.6735 0.0429

104.4898 0.0448
0.04
105.3061 0.0467
106.1224 0.0484
106.9388 0.0501
0.03 107.7551 0.0517
108.5714 0.0532
109.3878 0.0545
0.02
110.2041 0.0558
111.0204 0.0570
0.01 111.8367 0.0581
112.6531 0.0591
113.4694 0.0600
0 114.2857 0.0608
80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00
Strike Price 115.1020 0.0615
115.9184 0.0622
116.7347 0.0627
117.5510 0.0632
118.3673 0.0636
119.1837 0.0640
120.0000 0.0643
 2.16306 1.771632 1.275943 0.60544274 Pm: 66.632%
4.015% 3.987% 3.962% 3.938% Pd: 15.747%

112.3922 111.5353 110.662307 Pu: 18.612%

6.142178 5.910323 5.66230658 Pm: 66.526%
3.225% 3.205% 3.185% Pd: 14.862%

116.1587 115.122244 Pu: 19.637%

10.53372 10.1222444 Pm: 66.350%
2.592% 2.577% Pd: 14.012%

119.02632
14.0263203
2.084%
Node Time:
0.000 0.375 0.750 1.125 1.500
Accrual:
0.000 1.875 1.250 0.625 0.000
 LIBOR forwards: tenor and comp. freq, LIBOR Forwards: OIS Zeroes
Underlying Type: correspond to Settlement Frequency Time (Yrs) Rate (%) Time (Yrs)
1 6.194% 1
Swap Option
Settlement Frequency:
Principal : 100
Semi-Annual
Swap Start (Years): 5.00
Swap End (Years): 8.00
Swap Rate (%): 6.20% Imply Breakeven Rate

Pricing Model:

Black - European

Volatility (%): 20.00% Imply Volatility

Rec. Fixed

Pay Fixed

Results:
Price: 2.1908491
DV01 (Per basis point): 0.0103042
Gamma01 (Per % Per %): 0.1336655
Vega (per %): 0.1078868

4.5

4
DV01

3.5

2.5

1.5

0.5

0
0.01% 1.01% 2.01% 3.01% 4.01% 5.01% 6.01% 7.
Swap Rate
0.5

0
0.01% 1.01% 2.01% 3.01% 4.01% 5.01% 6.01% 7.
Swap Rate
OIS Zeroes (cont. comp.): Chart: Progress: 100.00%
Rate (%) Vertical (Y) Axis: Swap Rate DV01
6.000% 0.0001 4.4877
DV01
0.0009 4.4911
Horizontal (X) Axis: 0.0017 4.4924
0.0025 4.4912
Swap / Cap Rate
0.0033 4.4874
Minimum X value: 0.01% 0.0041 4.4808
Maximum X value: 8.00% 0.0049 4.4713
Number of X Values: 100 0.0057 4.4586
0.0066 4.4425
0.0074 4.4229
0.0082 4.3996
0.0090 4.3724
0.0098 4.3412
0.0106 4.3058
0.0114 4.2661
0.0122 4.2220
0.0130 4.1735
0.0138 4.1204
0.0146 4.0627
0.0154 4.0005
0.0162 3.9337
0.0170 3.8624
0.0179 3.7867
0.0187 3.7067
0.0195 3.6226
0.0203 3.5345
0.0211 3.4427
0.0219 3.3474
0.0227 3.2488
0.0235 3.1473
0.0243 3.0432
0.0251 2.9368
0.0259 2.8286
0.0267 2.7188
0.0275 2.6078
0.0283 2.4961
0.0292 2.3841
0.0300 2.2721
0.0308 2.1606
0.0316 2.0500
0.0324 1.9405
0.0332 1.8326
0.0340 1.7267
0.0348 1.6230
0.0356 1.5218
0.0364 1.4235
6.01% 7.01% 0.0372 1.3282
0.0380 1.2363
6.01% 7.01%

0.0388 1.1478
0.0396 1.0629
0.0405 0.9817
0.0413 0.9045
0.0421 0.8311
0.0429 0.7616
0.0437 0.6962
0.0445 0.6346
0.0453 0.5769
0.0461 0.5231
0.0469 0.4730
0.0477 0.4265
0.0485 0.3835
0.0493 0.3439
0.0501 0.3075
0.0509 0.2742
0.0518 0.2438
0.0526 0.2162
0.0534 0.1912
0.0542 0.1685
0.0550 0.1482
0.0558 0.1299
0.0566 0.1135
0.0574 0.0989
0.0582 0.0860
0.0590 0.0745
0.0598 0.0644
0.0606 0.0554
0.0614 0.0476
0.0622 0.0408
0.0631 0.0348
0.0639 0.0296
0.0647 0.0251
0.0655 0.0213
0.0663 0.0180
0.0671 0.0151
0.0679 0.0127
0.0687 0.0106
0.0695 0.0088
0.0703 0.0073
0.0711 0.0061
0.0719 0.0050
0.0727 0.0041
0.0735 0.0034
0.0744 0.0028
0.0752 0.0023
0.0760 0.0018
0.0768 0.0015
0.0776 0.0012
0.0784 0.0010
0.0792 0.0008
0.0800 0.0006
 CDS Data Default Rate Data Term Structure
Life(Yrs) Spread (bp) Time (Yrs) Hazard Rate Time (Yrs) Rate (%)
5 77.00 5 1.28% 1 5.000% Cont. Compou
0.014

0.012

0.01

0.008

0.006

0.004

Calculate Spreads 0.002

Recovery Rate 40.00% Imply Hazard Rates

0
Payment Frequency: Quarterly 0 1 2
 Cont. Compounded Hazard Rates
14

12

01

08

06

04

02

0
0 1 2 3 4 5 6
Time (Yrs)
 CD0 Data Default Rate Data Term Structure
Time (Yrs) Hazard Rate Time (Yrs)
Life (Years) 5 0.5 1.28% 1
Recovery Rate 40.0%
Number of Names 125
No. of Integration Points 10

Payment Frequency: Quarterly

✘ Imply Corr.

Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
0.00% 3.00% 500.00 30.980% 0.4017 Calculate Upfront
3.00% 6.00% 316.9 0.8425 Calculate Upfront
6.00% 9.00% 212.40 0.1136 Calculate Upfront
9.00% 12.00% 140.00 0.2198 Calculate Upfront
12.00% 22.00% 73.60 0.3342 Calculate Upfront
 Term Structure
Rate (%)
5.000%

ExpLoss PVPmts Base Corr.

culate Upfront 46.375% 3.0791 0.4017
culate Upfront 12.982% 4.0964 0.5214
culate Upfront 9.071% 4.2705 0.5825
culate Upfront 6.021% 4.3010 0.6046
culate Upfront 3.197% 4.3433 0.7313