fin1

Module1

At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 50
Discount factor per step = 0.9900										87.4476212471
Time step, dt = 0.2000 years, 73.00 days										0
Growth factor per step, a = 1.0060								78.1974157968
Probability of up move, p = 0.4989								0
Up step size, u = 1.1183						69.9256966638				69.9256966638
Down step size, d = 0.8942						0				0
				62.5289596094				62.5289596094
				0.6456912304				0
		55.9146490687				55.9146490687				55.9146490687
		2.1386882125				1.3015905483				0
50				50				50
4.3499947593				3.6682398465				2.6237586567
		44.7110022443				44.7110022443				44.7110022443
		6.6391581048				6.0984116386				5.2889977557
				39.9814744339				39.9814744339
				9.730621477				9.6806237256
						35.7522358629				35.7522358629
						13.5425746626				14.2477641371
								31.9703659581
								17.6597517709
										28.5885420821
										21.4114579179
Node Time:
0.0000		0.2000		0.4000		0.6000		0.8000		1.0000

Tree Display

	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

Title

Underlying Data								Graph Results
	Underlying Type:				Time	Dividend			Vertical Axis:
									Horizontal Axis:
		Stock Price:	7638.00
		Volatility (% per year):	75.00%
		Risk-Free Rate (% per year):	2.00%							Minimum X value	2000
										Maximum X value	5000
Option Data
	Option Type:
		Time to Exercise:	6.0000
		Exercise Price:	3879.00
		Price:	5884.8482151591
		Delta (per $):	0.9119233094
		Gamma (per $ per $):	0.0000113884
		Vega (per %):	29.8973824951
		Theta (per day):	-0.5711426878
		Rho (per %):	64.8253213134
			2.7758717996

Title

2000
2120
2240
2360
2480
2600
2720
2840
2960
3080
3200
3320
3440
3560
3680
3800
3920
4040
4160
4280
4400
4520
4640
4760
4880
5000

Equity_FX_Index_Futures_Options

At each node:
Upper value = Cash Bond Price
Middle value = Option Price																				80.9557180275
Lower value = dt-period Rate																				0
Values in red are a result of early exercise.																				11.0376%
Strike price = 100																		87.5612136122		82.439217817	Pu:	14.5179%
Time step, dt = 0.1000 years, 36.50 days																		0		0	Pm:	66.4642%
																		10.8334%		10.4899%	Pd:	19.0179%
																88.2716308661		89.0993236214		83.9513410744	Pu:	14.7467%
																0		0		0	Pm:	66.5067%
																10.0849%		10.2857%		9.9422%	Pd:	18.7467%
														89.0928628918		89.8669800315		90.6677187775		85.4926514015	Pu:	14.9779%
														0		0		0		0	Pm:	66.5442%
														9.3364%		9.5371%		9.7379%		9.3944%	Pd:	18.4779%
												90.0271184346		90.7479392826		91.4943873797		92.267008552		87.0637235967	Pu:	15.2117%
												0		0		0		0		0	Pm:	66.5767%
												8.5881%		8.7887%		8.9894%		9.1902%		8.8467%	Pd:	18.2117%
										91.0770133358		91.744615257		92.4369502045		93.1545120571		93.8978147932		88.6651438785	Pu:	15.4479%
										0		0		0		0		0		0	Pm:	66.6042%
										7.8398%		8.0404%		8.2410%		8.4417%		8.6425%		8.2990%	Pd:	17.9479%
								92.2824870434		92.859839212		93.4980332645		94.1606081008		94.8480268873		95.5607719779		90.2975101138	Pu:	15.6867%
								0.0000183383		0		0		0		0		0		0	Pm:	66.6267%
								6.6917%		7.2921%		7.4926%		7.6933%		7.8940%		8.0948%		7.7513%	Pd:	17.6867%
						93.5924264846		94.1345181501		94.6806908138		95.2881421022		95.9196405129		96.5756186569		97.2565274693		91.9614320496	Pu:	15.9279%
						0.0012667555		0.0004727463		0.0001043807		0		0		0		0		0	Pm:	66.6442%
						6.1436%		6.1440%		6.7444%		6.9449%		7.1455%		7.3463%		7.5471%		7.2036%	Pd:	17.4279%
				95.0100338838		95.5167108534		96.0268217257		96.540399198		97.1157280631		97.7147904012		98.3379884056		98.9857417798		93.6575315509	Pu:	16.1717%
				0.016443803		0.0101967443		0.0054887985		0.0023301471		0.0006029811		0		0		0		0	Pm:	66.6567%
				5.5956%		5.5959%		5.5962%		6.1967%		6.3972%		6.5978%		6.7985%		6.9993%		6.6558%	Pd:	17.1717%
		96.5388383768		97.0098320742		97.483642789		97.9602951393		98.4398137612		98.9815944502		99.5468164738		100.1358517244		100.7490888396		95.3864428419	Pu:	16.4179%
		0.0961698552		0.0750904883		0.0555240757		0.0379629024		0.0230002292		0.011313427		0.0035340245		0		0		0	Pm:	66.6642%
		5.0478%		5.0479%		5.0482%		5.0485%		5.6489%		5.8495%		6.0501%		6.2508%		6.4516%		6.1081%	Pd:	16.9179%
98.1827092228		98.6176349219		99.0547895635		99.4941907366		99.9358559534		100.3798026464		100.8865619462		101.4164935218		101.9699390582		102.5472562701		97.1488127533	Pu:	16.6667%
0.3412028372		0.3008043111		0.2594784497		0.2174129526		0.1749404552		0.1326379059		0.0915569301		0.0533391364		0.0210160065		0		0	Pm:	66.6667%
4.5000%		4.5000%		4.5002%		4.5004%		4.5008%		5.1012%		5.3018%		5.5024%		5.7031%		5.9039%		5.5604%	Pd:	16.6667%
		100.7442480339		101.1459509872		101.5493453533		101.9544423805		102.3612531587		102.8314689915		103.3246127619		103.8409960159		104.3809456634		98.9453009735	Pu:	16.9179%
		0.7570631592		0.6999616879		0.6387168288		0.5726369535		0.5008257451		0.4223563554		0.3353712196		0.2377365983		0.1268172305		0	Pm:	66.6642%
		3.9523%		3.9525%		3.9527%		3.9531%		4.5535%		4.7540%		4.9547%		5.1554%		5.3562%		5.0127%	Pd:	16.4179%
				103.2843853901		103.6501200205		104.0170137504		104.3850721907		104.8171721695		105.2719821857		105.7497836865		106.2508728673		100.7765803055	Pu:	17.1717%
				1.5199204165		1.4627723846		1.4003394398		1.3314370493		1.2551019159		1.1680698371		1.0658867537		0.9405805603		0.7765803055	Pm:	66.6567%
				3.4048%		3.4050%		3.4053%		4.0058%		4.2063%		4.4069%		4.6076%		4.8084%		4.4649%	Pd:	16.1717%
						105.797551367		106.1245509875		106.4521866562		106.844546602		107.2594269178		107.6970789621		108.1577682764		102.6433369285	Pu:	17.4279%
						2.723223048		2.6961396249		2.6690169299		2.644417999		2.6231503913		2.6090129936		2.6099538235		2.6433369285	Pm:	66.6442%
						2.8573%		2.8576%		3.4581%		3.6586%		3.8592%		4.0599%		4.2607%		3.9172%	Pd:	15.9279%
								108.2780570992		108.5635439349		108.9144863516		109.2877895798		109.6836748669		110.1023771289		104.5462706654	Pu:	17.6867%
								4.3329295245		4.3512869343		4.3770574696		4.4096388282		4.4499003254		4.4972695294		4.5462706654	Pm:	66.6267%
								2.3099%		2.9103%		3.1109%		3.3115%		3.5122%		3.7130%		3.3695%	Pd:	15.6867%
										110.7201123262		111.0279048335		111.3579306638		111.7103808946		112.0854598094		106.4860952544	Pu:	17.9479%
										6.1948925735		6.2471665697		6.3031356456		6.3620769749		6.4230480111		6.4860952544	Pm:	66.6042%
										2.3626%		2.5631%		2.7638%		2.9645%		3.1653%		2.8218%	Pd:	15.4479%
												113.1857352369		113.4707289125		113.7780233508		114.1077921581		108.4635386278	Pu:	18.2117%
												8.1763915055		8.2445435385		8.3150848061		8.3880657099		8.4635386278	Pm:	66.5767%
												2.0154%		2.2160%		2.4168%		2.6176%		2.2741%	Pd:	15.2117%
														115.6270817081		115.8874457045		116.1701657864		110.4793431947	Pu:	18.4779%
														10.229245081		10.3097677778		10.3931148551		10.4793431947	Pm:	66.5442%
														1.6683%		1.8690%		2.0698%		1.7263%	Pd:	14.9779%
																118.0395089458		118.2733883987		112.5342661303	Pu:	18.7467%
																12.3469873874		12.4390037862		12.5342661303	Pm:	66.5067%
																1.3213%		1.5221%		1.1786%	Pd:	14.7467%
																		120.4182841208		114.6290796708	Pu:	19.0179%
																		14.5265572814		14.6290796708	Pm:	66.4642%
																		0.9744%		0.6309%	Pd:	14.5179%
																				116.7645714142
																				16.7645714142
																				0.0832%
Node Time:
0.0000		0.1000		0.2000		0.3000		0.4000		0.5000		0.6000		0.7000		0.8000		0.9000		1.0000
Accrual:
0.0000		0.6000		1.2000		1.8000		2.4000		3.0000		3.6000		4.2000		4.8000		5.4000		0.0000

IR Tree Display

Bond Data

Term Structure

Graph Results

Time (Yrs)

Rate (%)

Vertical Axis:

Principal:

100

Coupon Frequency:

1

5.000%

Bond Life (Years):

10

Coupon Rate (%):

8.000%

Horizontal Axis:

Quoted Bond Price (/100):

122.8245006137

Option Data

Minimum X value

110.00

Pricing Model:

Maximum X value

120.00

Strike Price (/100):

115.00

Option Life (Years):

2.25

Yield Volatility (%):

20.00%

Price:

1.7413720359

DV01 (Per basis point):

0.0237441725

Gamma01 (Per %):

0.016497356

Vega (per %):

0.162268928

IR Tree Display

110
110.4
110.8
111.2
111.6
112
112.4
112.8
113.2
113.6
114
114.4
114.8
115.2
115.6
116
116.4
116.8
117.2
117.6
118
118.4
118.8
119.2
119.6
120

Bond_Options

Swap / Cap Data							Term Structure			Graph Results
	Underlying Type:						Time (Yrs)	Rate (%)			Vertical Axis:
							1	6.940%
					Settlement Frequency:		2	6.940%
		Principal :	10000000				3	6.940%			Horizontal Axis:
		Cap/Floor Start (Years):	0.00				4	6.940%
		Cap/Floor End (Years):	5.00				5	6.940%
		Cap/Floor Rate (%):	8.00%									Minimum X value	0.91
												Maximum X value	5.00
	Pricing Model:
		Volatility (%):	20.00%
		Price:	185787.321948781
		DV01 (Per basis point):	1365.1587636577
		Gamma01 (Per %):	697.732716109
		Vega (per %):	15157.0378617359

Bond_Options

0.91
1.0736
1.2372
1.4008
1.5644
1.728
1.8916
2.0552
2.2188
2.3824
2.546
2.7096
2.8732
3.0368
3.2004
3.364
3.5276
3.6912
3.8548
4.0184
4.182
4.3456
4.5092
4.6728
4.8364
5

Caps_and_Swap_Options

	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%
	5	124.23		5	2.02%		2	5.000%
	10	124.23		10	2.02%		3	5.000%
	25	124.23		25	2.02%		4	5.000%
							5	5.000%
			Recovery Rate	0.4
			Payment Frequency:

Caps_and_Swap_Options

0
1
1.0001
5
5.0001
10
10.001
11.25
11.875
12.5
13.125
13.75
14.375
15
15.625
16.25
16.875
17.5
18.125
18.75
19.375
20
20.625
21.25
21.875
22.5
23.125
23.75
24.375
25

CDSs

	CD0 Data			Default Rate Data			Term Structure
				Time (Yrs)	Hazard Rate		Time (Yrs)	Rate (%)
	Life (Years)	5		1	0.83%		1	3.500%
	Recovery Rate	0.4		5	0.83%		2	3.500%
	Number of Names	125		10	0.83%		3	3.500%
	No. of Integration Points	30		25	0.83%		4	3.500%
							5	3.500%
	Payment Frequency:
	Attachment Point (%)	Detachment Point (%)	Spread (bp)	Upfront (%)	Tranche Corr				ExpLoss	PVPmts	Base Corr.
	0.00%	3.00%	500.00	36.608%	0.1625				52.243%	3.1270
	3.00%	6.00%	347.7899331588		0.1500				14.966%	4.3032
	6.00%	9.00%	151.31		0.2500				6.730%	4.4480
	9.00%	12.00%	68.89		0.2500				3.112%	4.5169
	12.00%	22.00%	15.26		0.2360				0.695%	4.5572

CDOs

Option Type ->	1	Number of items	Items:				Formats:							Graph Data			Bond Graph Data			Cap/Swap Graph Data			CDS Hazard Rate Data
Black-Scholes - European		2	Time to Exercise:	Exercise Price:			0.0000	0.00						2000	2.48E+02		110	-5.3921183829		0.91	1.55E-02		0	0.0107928457
Binomial: European		3	Time to Exercise:	Exercise Price:	Tree Steps:		0.0000	0.00	0					2120	2.93E+02		110.4	-5.31E+00		1.0736	2.48E-01		1	0.0107928457
Binomial: American		3	Time to Expiration:	Exercise Price:	Tree Steps:		0.0000	0.00	0					2240	3.41E+02		110.8	-5.22E+00		1.2372	0.4451046248		1.0001	0.0107928457
Asian		4	Time to Exercise:	Exercise Price:	Time since Inception:	Current Average:	0.0000	0.00	0.0000	0.00				2360	3.92E+02		111.2	-5.13E+00		1.4008	0.6310885422		5	0.0107928457
Barrier: Up and In		3	Time to Exercise:	Exercise Price:	Barrier:		0.0000	0.00	0.00					2480	4.47E+02		111.6	-5.04E+00		1.5644	0.8030526233		5.0001	0.0107928457
Barrier: Up and Out		3	Time to Exercise:	Exercise Price:	Barrier:		0.0000	0.00	0.00					2600	5.05E+02		112	-4.95E+00		1.728	0.9598845062		10	0.0107928457
Barrier: Down and In		3	Time to Exercise:	Exercise Price:	Barrier:		0.0000	0.00	0.00					2720	5.65E+02		112.4	-4.85E+00		1.8916	1.1071739816		10.001	0.0107928457
Barrier: Down and Out		3	Time to Exercise:	Exercise Price:	Barrier:		0.0000	0.00	0.00					2840	6.29E+02		112.8	-4.7572184059		2.0552	1.2422139505		11.25	0.0107928457
Binary: Cash or Nothing		3	Time to Exercise:	Exercise Price:	Cash Amount:		0.0000	0.00	0.00					2960	6.96E+02		113.2	-4.6589441471		2.2188	1.3643993348		11.875	0.0107928457
Binary: Asset or Nothing		2	Time to Exercise:	Exercise Price:			0.0000	0.00						3080	7.65E+02		113.6	-4.5591367779		2.3824	1.4791402154		12.5	0.0107928457
Chooser		3	Time to Exercise:	Exercise Price:	Decision Date:		0.0000	0.00	0.0000					3200	8.36E+02		114	-4.4579339511		2.546	1.5840350688		13.125	0.0107928457
Compound: Option on Call		4	Time to First Exercise:	First Exercise Price:	Time to Final Exercise:	Final Exercise Price:	0.0000	0.00	0.0000	0.00				3320	9.10E+02		114.4	-4.355478926		2.7096	1.6786809397		13.75	0.0107928457
Compound: Option on Put		4	Time to First Exercise:	First Exercise Price:	Time to Final Exercise:	Final Exercise Price:	0.0000	0.00	0.0000	0.00				3440	9.86E+02		114.8	-4.2519198462		2.8732	1.7680400567		14.375	0.0107928457
Floating Lookback		3	Time to Exercise:	Maximum to Date:	Minimum to Date:		0.0000	0.00	0.00					3560	1.06E+03		115.2	-4.1474089822		3.0368	1.8498018248		15	0.0107928457
Fixed Lookback		4	Time to Exercise:	Maximum to Date:	Minimum to Date:	Exercise Price:	0.0000	0.00	0.00	0.00				3680	1.14E+03		115.6	-4.0421019456		3.2004	1.9236119863		15.625	0.0107928457
														3800	1.23E+03		116	-3.9361568809		3.364	1.9938892312		16.25	0.0107928457
Underlying Type ->	1													3920	1.31E+03		116.4	-3.8297336394		3.5276	2.0583591118		16.875	0.0107928457
Equity		3	Stock Price:	Volatility (% per year):	Risk-Free Rate (% per year):		0.00	0.00%	0.00%					4040	1.40E+03		116.8	-3.72E+00		3.6912	2.1166945727		17.5	0.0107928457
Currency		4	Exchange Rate ($ / foreign):	Volatility (% per year):	Risk-Free Rate (% per year):	Foreign Risk-free Rate (% per year):	0.0000	0.00%	0.00%	0.00%				4160	1.48E+03		117.2	-3.62E+00		3.8548	2.1727751053		18.125	0.0107928457
Index		4	Index Level:	Volatility (% per year):	Risk-Free Rate (% per year):	Dividend Yield (% per yer):	0.00	0.00%	0.00%	0.00%				4280	1.57E+03		117.6	-3.51E+00		4.0184	2.2219234687		18.75	0.0107928457
Futures		3	Futures Price:	Volatility (% per year):	Risk-Free Rate (% per year):		0.00	0.00%	0.00%					4400	1.66E+03		118	-3.40E+00		4.182	2.2712316816		19.375	0.0107928457
														4520	1.75E+03		118.4	-3.30E+00		4.3456	2.32E+00		20	0.0107928457
Call or Put ->	1													4640	1.85E+03		118.8	-3.19E+00		4.5092	2.3564124941		20.625	0.0107928457
														4760	1.94E+03		119.2	-3.08E+00		4.6728	2.3969356893		21.25	0.0107928457
Is Today ->														4880	2.04E+03		119.6	-2.9802160086		4.8364	2.4344032267		21.875	0.0107928457
														5000	2.13E+03		120	-2.88E+00		5	2.47E+00		22.5	0.0107928457
ImplyVolatility ->																							23.125	0.0107928457
																							23.75	0.0107928457
X-axis variable ->	1																						24.375	0.0107928457
Asset price																							25	0.0107928457
Strike price
Risk-free rate
Time to Exercise
Volatility
Y-axis variable ->	1
Option price
Delta
Gamma
Vega
Rho
Theta
Bond Option Display Data:
Coupon Frequency ->	2
Quarterly
Semi-Annual
Annual
Pricing Model ->	1	Number of items	Items:					Formats:
Black - European		3	Strike Price (/100):	Option Life (Years):	Yield Volatility (%):			0.00	0.00	0.00%
Normal - Analytic European		4	Strike Price (/100):	Option Life (Years):	Short-Rate Volatility (%):	Reversion Rate (%):		0.00	0.00	0.00%	0.00%
Normal - Tree European		5	Strike Price (/100):	Option Life (Years):	Short-Rate Volatility (%):	Reversion Rate (%):	Tree Steps:	0.00	0.00	0.00%	0.00%	0
Normal - American		5	Strike Price (/100):	Option Life (Years):	Short-Rate Volatility (%):	Reversion Rate (%):	Tree Steps:	0.00	0.00	0.00%	0.00%	0
LogNormal - European		5	Strike Price (/100):	Option Life (Years):	Short-Rate Volatility (%):	Reversion Rate (%):	Tree Steps:	0.00	0.00	0.00%	0.00%	0
LogNormal - American		5	Strike Price (/100):	Option Life (Years):	Short-Rate Volatility (%):	Reversion Rate (%):	Tree Steps:	0.00	0.00	0.00%	0.00%	0
Call or Put ->	1
ImplyVolatility ->
Quoted Strike ->
Price from TS ->
X-axis variable ->	2
Parallel Rate Shift
Strike price
Time to Exercise
Volatility
Bond Maturity
Y-axis variable ->	2
Option price
DV01
Gamma01
Vega
Cap / Swap Option Display Data:
Settlement Frequency ->	2
Monthly
Quarterly
Semi-Annual
Annual
Pricing Model ->	1	Number of items	Items:					Formats:
Black - European		1	Volatility (%):					0.00%
Normal - European		2	Short-Rate Volatility (%):	Reversion Rate (%):				0.00%	0.00%
LogNormal - European		3	Short-Rate Volatility (%):	Reversion Rate (%):	Tree Steps:			0.00%	0.00%	0
Underlying Type ->	2
Swap Option		4	Principal :	Swap Start (Years):	Swap End (Years):	Swap Rate (%):	0	0.00	0.00	0.00%
Cap / Floor		4	Principal :	Cap/Floor Start (Years):	Cap/Floor End (Years):	Cap/Floor Rate (%):	0	0.00	0.00	0.00%
Call or Put ->	1
ImplyVolatility ->
ImplyBreakEven ->
X-axis variable ->	5
Parallel Rate Shift
Volatility
Swap / Cap Rate
Time to Start
Time to End
Y-axis variable ->	1
Option price
DV01
Gamma01
Vega
CDS Data
Payment Frequency ->	3
Quarterly
Semi-Annual
Annual
ImplyLambda ->	1
CDO Data
Payment Frequency ->	1
Quarterly
Semi-Annual
Annual
Upfront1
Upfront2
Upfront3
Upfront4
Upfront5
ImpCorr
Base Correlation	2