Macro macro macro macro macro macro macro macro macro

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Unformatted text preview: dge Type Number K Tmat IsCall this Opt. 1 1 50 0.750 TRUE #MACRO? 1 ### 60 0.750 TRUE #MACRO? #MACRO? 1 ### 60 0.745 TRUE #MACRO? #MACRO? 1 ### 60 0.740 TRUE #MACRO? #MACRO? 1 ### 60 0.730 TRUE #MACRO? #MACRO? 1 ### 60 0.720 TRUE #MACRO? #MACRO? 1 ### 60 0.710 TRUE #MACRO? #MACRO? 1 ### 60 0.700 TRUE #MACRO? #MACRO? 1 ### 60 0.680 TRUE #MACRO? #MACRO? 1 ### 60 0.650 TRUE #MACRO? #MACRO? 1 ### 60 0.600 TRUE #MACRO? #MACRO? 1 ### 60 0.550 TRUE #MACRO? #MACRO? 1 ### 60 0.500 TRUE #MACRO? #MACRO? 1 ### 60 0.400 TRUE #MACRO? #MACRO? 1 ### 60 0.300 TRUE #MACRO? #MACRO? 1 ### 60 0.200 TRUE #MACRO? Hedge Price #MACRO? TESTS CONVERGENCE OF TRINOMIAL TREE FOR A EUROPEAN BOND OPTION This carries out calculations for Example 30.1 in Options, Futures, and Other Derivatives, 7e Problem 30.26 in Options, Futures, and Other Derivatives, 7e is based on this application Term Structure 0.0082192 5.018% 0.0849315 4.983% 0.169863 4.972% 0.2575342 4.962% 0.5068493 4.991% 1.0054795 5.094% 2.0027397 5.797% 3.0027397 6.306% 4.0027397 6.735% 5.0027397 6.948% 6.0109589 7.088% 7.0082192 7.275% 8.0054795 7.309% 9.0054795 7.398% 10.008219 7.490% Time to Ex. BondLife Coupon Principal Payment Freq 1 9 0.00% 100 2 IsCall Result TRUE 0 Trinomial Convergence 12.0000 10.0000 8.0000 Tree Analytic 6.0000 Sigma 1.00% RevRate 10.00% Strike 55 IsQuotedStrike FALSE 4.0000 2.0000 0.0000 0 nSteps 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 Tree ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### Analytic ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### 10 20 30 40 nSt eps 50 60 70 80...
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