Function 1 blackscholesskrqvoltiscallisfutdivsresult

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Unformatted text preview: n 1: Black_Scholes(S,K,r,q,vol,T,IsCall,IsFut,Divs,Result) Delta of first option ### Delta of second option ### Portfolio Daily Variance ### Portfolio Daily SD ### 10-day 99% VaR ### 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. 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 Example: Dividends 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 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...
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