Stock Price 900

Strike 900
r 5.00%
q 2%
vol 20%
Remaining Life 2
IsCall 0
IsFut 0
Result 0

IsAmerican 0
80.0000

75.0000

70.0000
Tree BS
2 #VALUE! #VALUE!
3 #VALUE! #VALUE! 65.0000
4 #VALUE! #VALUE!
5 #VALUE! #VALUE!
60.0000
6 #VALUE! #VALUE!
7 #VALUE! #VALUE!
8 #VALUE! #VALUE! 55.0000
9 #VALUE! #VALUE!
10 #VALUE! #VALUE!
50.0000
11 #VALUE! #VALUE! 0 10 20 30 40
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!
 Tree
BS

20 30 40 50 60
 Stock Price 900
Strike 900
r 5.00%
q 2%
vol 20%
Remaining Life 2
IsCall 0
IsFut 0
Result 0

IsAmerican 1

Tree
12.0000

Tree
2 #VALUE! 10.0000
3 #VALUE!
4 #VALUE! 8.0000
5 #VALUE!
6 #VALUE! 6.0000
7 #VALUE!
8 #VALUE!
4.0000
9 #VALUE!
10 #VALUE!
2.0000
11 #VALUE!
12 #VALUE!
13 #VALUE! 0.0000
0 10 20 30 40
14 #VALUE!
15 #VALUE!
16 #VALUE!
17 #VALUE!
18 #VALUE!
19 #VALUE!
20 #VALUE!
21 #VALUE!
22 #VALUE!
23 #VALUE!
24 #VALUE!
25 #VALUE!
26 #VALUE!
27 #VALUE!
28 #VALUE!
29 #VALUE!
30 #VALUE!
31 #VALUE!
32 #VALUE!
33 #VALUE!
34 #VALUE!
35 #VALUE!
36 #VALUE!
37 #VALUE!
38 #VALUE!
39 #VALUE!
40 #VALUE!
41 #VALUE!
42 #VALUE!
43 #VALUE!
44 #VALUE!
45 #VALUE!
46 #VALUE!
47 #VALUE!
48 #VALUE!
49 #VALUE!
50 #VALUE!
 Tree

Tree

0 20 30 40 50 60
 Stock Price 900
Strike 900
r 5.00%
q 2%
vol 20%
Remaining Life 2
IsCall 0
IsFut 0
Result 0 90.

88.
IsAmerican 1
86.

84.

82.

80.

78.
Tree Amer Tree Eur BS Ctl Var
2 #VALUE! 60.3718 71.3393 #VALUE! 76.
3 #VALUE! 78.7127 71.3393 #VALUE! 74.
4 #VALUE! 65.5541 71.3393 #VALUE!
5 #VALUE! 75.7509 71.3393 #VALUE! 72.
6 #VALUE! 67.4226 71.3393 #VALUE! 70.
7 #VALUE! 74.4815 71.3393 #VALUE!
8 #VALUE! 68.3810 71.3393 #VALUE!
9 #VALUE! 73.7783 71.3393 #VALUE!
10 #VALUE! 68.9632 71.3393 #VALUE!
11 #VALUE! 73.3319 71.3393 #VALUE!
12 #VALUE! 69.3541 71.3393 #VALUE!
13 #VALUE! 73.0235 71.3393 #VALUE!
14 #VALUE! 69.6347 71.3393 #VALUE!
15 #VALUE! 72.7977 71.3393 #VALUE!
16 #VALUE! 69.8459 71.3393 #VALUE!
17 #VALUE! 72.6252 71.3393 #VALUE!
18 #VALUE! 70.0105 71.3393 #VALUE!
19 #VALUE! 72.4892 71.3393 #VALUE!
20 #VALUE! 70.1424 71.3393 #VALUE!
21 #VALUE! 72.3792 71.3393 #VALUE!
22 #VALUE! 70.2505 71.3393 #VALUE!
23 #VALUE! 72.2884 71.3393 #VALUE!
24 #VALUE! 70.3408 71.3393 #VALUE!
25 #VALUE! 72.2122 71.3393 #VALUE!
26 #VALUE! 70.4172 71.3393 #VALUE!
27 #VALUE! 72.1473 71.3393 #VALUE!
28 #VALUE! 70.4827 71.3393 #VALUE!
29 #VALUE! 72.0914 71.3393 #VALUE!
30 #VALUE! 70.5396 71.3393 #VALUE!
31 #VALUE! 72.0428 71.3393 #VALUE!
32 #VALUE! 70.5893 71.3393 #VALUE!
33 #VALUE! 72.0000 71.3393 #VALUE!
34 #VALUE! 70.6333 71.3393 #VALUE!
35 #VALUE! 71.9622 71.3393 #VALUE!
36 #VALUE! 70.6724 71.3393 #VALUE!
37 #VALUE! 71.9284 71.3393 #VALUE!
38 #VALUE! 70.7074 71.3393 #VALUE!
39 #VALUE! 71.8981 71.3393 #VALUE!
40 #VALUE! 70.7389 71.3393 #VALUE!
41 #VALUE! 71.8708 71.3393 #VALUE!
42 #VALUE! 70.7674 71.3393 #VALUE!
43 #VALUE! 71.8460 71.3393 #VALUE!
44 #VALUE! 70.7933 71.3393 #VALUE!
45 #VALUE! 71.8235 71.3393 #VALUE!
46 #VALUE! 70.8170 71.3393 #VALUE!
47 #VALUE! 71.8028 71.3393 #VALUE!
48 #VALUE! 70.8387 71.3393 #VALUE!
49 #VALUE! 71.7839 71.3393 #VALUE!
50 #VALUE! 70.8586 71.3393 #VALUE!
90.0000

88.0000 Ctl Var

86.0000

84.0000

82.0000

80.0000

78.0000
Ctl Var
76.0000

74.0000

72.0000

70.0000
0 10 20 30 40 50 60
P
 Stock Price 900
Strike 900
r 5.00%
q 2%
vol 85.00
Remaining Life 2
IsCall 0
IsFut 0
Result 6

IsAmerican 1

Tree
1200.00%

1000.00%

Tree
800.00%
2 #VALUE!
3 #VALUE!
4 #VALUE! 600.00%
5 #VALUE!
6 #VALUE! 400.00%
7 #VALUE!
8 #VALUE! 200.00%
9 #VALUE!
10 #VALUE!
0.00%
11 #VALUE! 0 10 20 30 40
12 #VALUE!
13 #VALUE!
14 #VALUE!
15 #VALUE!
16 #VALUE!
17 #VALUE!
18 #VALUE!
19 #VALUE!
20 #VALUE!
21 #VALUE!
22 #VALUE!
23 #VALUE!
24 #VALUE!
25 #VALUE!
26 #VALUE!
27 #VALUE!
28 #VALUE!
29 #VALUE!
30 #VALUE!
31 #VALUE!
32 #VALUE!
33 #VALUE!
34 #VALUE!
35 #VALUE!
36 #VALUE!
37 #VALUE!
38 #VALUE!
39 #VALUE!
40 #VALUE!
41 #VALUE!
42 #VALUE!
43 #VALUE!
44 #VALUE!
45 #VALUE!
46 #VALUE!
47 #VALUE!
48 #VALUE!
49 #VALUE!
50 #VALUE!
 Tree

Tree

0 20 30 40 50 60
 DerivaGem - Version 4.00
For Excel 2000 and more recent versions of Excel

This is the Applications Builder Software that has been designed to

accompany John Hull's book:

"Options, Futures and Other Derivatives" 10/E

Note: You should familiarize yourself with the Options Calculator Software in DG400.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"

© A-J Financial Systems, Inc., 2016

 4.00

en designed to

ives" 10/E
ware in DG400.xls

07 you will have to

ent"
Discount bond functions

Function 1: DiscountBondPricefromYield(Life, yield)

Calculates the price per dollar of a discount bond from its yield.
Term
Arguments:
6.0%
Life 0.25 Life of the bond in years. Life <= 1 year.
Yield 0.05 Bond yield (decimal) 5.5%

5.0%
Example: #VALUE!
4.5%

4.0%
Function 2: DiscountBondYieldFromPrice(Life, Price) 3.5%
Calculates the yield of a discount bond from its price per dollar.
3.0%
Arguments:
Life 0.25 Life of the bond in years. Life <= 1 year. 2.5%
Price 0.98 Bond price per dollar of principal.
2.0%
0 1 2 3 4
Example: #VALUE!

Function 3: DiscountBondPricefromZeros(Life, Zeros)

Calculates the price per dollar of a discount bond from a term structure of continuously compounded interest rates.
Arguments:
Life 1.5 Life of the bond in years. Life may be greater than 1 year.
Zeros Array containing continuously compounded zero curve: Maturities in the first column and zero rates in

Example: #VALUE!

Function 4: DiscountYieldfromZeros(Life, Zeros)

Calculates the yield to maturity of a discount bond from a term structure of continuously compounded interest rates.
Arguments:
Life 0.75 Life of the bond in years. Life <= 1 year.
Zeros Array containing continuously compounded zero curve: Maturities in the first column and zero rates in

Example: #VALUE!

Coupon bearing bond functions

Function 5: BondPriceFromYield(Life, Coupon, Principal, Freq, Yield, IsClean, Result)

Calculates the price of an existing coupon bearing bond from its yield to maturity
Arguments:
Life 7.3 7.3 Life of the bond in years from today.
 Coupon 0.06 0.06 Coupon (rate per year)
Principal 100 100 Bond principal
Freq 2 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
Yield 0.05 0.05 Bond yield to maturity
IsClean 1 0 If TRUE result is the clean (quoted) price; if FALSE result is dirty (cash) price = PV of paymen
Result 0 0 0=Price, 1=Delta, 2=Gamma

Example: #VALUE! #VALUE!

Function 6: BondYieldFromPrice(Life, Coupon, Freq, IsClean, Price)

Calculates the yield to maturity of an existing coupon bearing bond from its price.
Arguments:
Life 7.3 7.3 Life of the bond in years from today.
Coupon 0.06 0.06 Coupon (rate per year)
Freq 2 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
IsClean 1 0 If TRUE the input price is the clean (quoted) price; if FALSE it is the dirty (cash) price.
Price 105.5 106.7 Price per $100 of principal

Example: #VALUE! #VALUE!

Function 7: BondPriceFromZeros(Life, Coupon, Principal, Freq, Zeros, IsClean, Result)

Calculates the price of an existing coupon bearing bond from a term structure of continuously compounded interest rates.
Arguments:
Life 7.3 7.3 Life of the bond in years from today.
Coupon 0.06 0.06 Coupon (rate per year)
Principal 100 100 Bond principal
Freq 2 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
Zeros Array containing continuously compounded zero curve: Maturities in the first column and z
IsClean 1 0 If TRUE result is the clean (quoted) price; if FALSE result is dirty (cash) price = PV of paymen
Result 0 0 0=Price, 1=DV01, 2=Gamma01

Example: #VALUE! #VALUE!

Function 8: BondYieldFromZeros(Life, Coupon, Freq, Zeros)

Calculates the yield to maturity of an existing coupon bearing bond from a term structure of continuously compounded inte
Arguments:
Life 7.3 Life of the bond in years from today.
Coupon 0.06 Coupon (rate per year)
Freq 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
Zeros Array containing continuously compounded zero curve: Maturities in the first column and zero rates in

Example: #VALUE!
Function 9: BondAccrual(Life, Coupon, Principal, Freq, T)
Calculates the amount of coupon accrued between the last payment date before T and time T.
BondAccrual = dirty price at T less clean price at T.
Arguments:
Life 7.3 Life of the bond in years from today.
Coupon 0.06 Coupon (rate per year)
Principal 100 Bond principal
Freq 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
T 0 Time at which accrual is calculated.

Example: #VALUE!

Forward rate functions

Function 10: ForwardRate(Start, Life, Zeros)

Calculates the forward rate that applies from Start to Start+Life corresponding to a term structure of interest rates.
The forward rate is quoted with compounding frequency = 1 / Life.
Arguments:
Start 7.3 Time in years until period start.
Life 0.25 Life of rate <= 1 year
Zeros Array containing continuously compounded zero curve: Maturities in the first column and zero rates in

Example: #VALUE!

Function 11: FRA_Value(Start, Life, Rate, Zeros)

Calculates the present value per dollar of notional of an FRA that applies from Start to Start+Life
In which we receive Rate on a notional of $1.
Arguments:
Start 7.3 Time in years until FRA start.
Life 0.25 Life of rate <= 1 year
Rate 0.05 The rate we have contracted to receive in the FRA
Zeros Array containing continuously compounded zero curve: Maturities in the first column and zero rates in

Example: #VALUE!

Swap functions

Function 12: SwapPrice(Starts, Life, SwapRate, Notional, Freq, IsPayFixed, LastReset, iType, Zeros, ForwardRates, Result)
Calculates the value of a swap in which we receive SwapRate for Life years starting in Start years.
Arguments:
 Start -0.25 7.3 7.3 Time in years until swap start.
Life 5 5 5 Life of swap in years
SwapRate 5.00% 5.00% 5.00% Fixed swap rate which we receive.
Notional 100 100 100 Swap notional
Freq 2 2 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
IsPayFixed 0 0 0 Are we paying fixed or floating
Last Reset 4.00% 0.00% 0.00%
iType 0 0 0 Type of swap: 0 for OIS, 1 for LIBOR
Zeros Array containing continuously compounded zero curve: Maturities in the first co
Fwds Array containing LIBOR forward rates
Result 0 1 2 0=Price, 1=DV01, 2=Gamma01

Example: #VALUE! #VALUE! #VALUE!

Function 13: SwapRate(Starts, Life, Freq, Zeros)

Calculates the breakeven swap rate for a Life-year swap starting in Start years.
Arguments:
Start 1 1 Time in years until swap start.
Life 5 5 Life of swap in years
Freq 2 2 Frequency of payments on bond per year (=12, 4, 2, or 1)
iType 0 1 Type of swap: 0 for OIS, 1 for LIBOR
Zeros Array containing continuously compounded zero curve: Maturities in the first column and z
Fwds Array containing LIBOR forward rates

Example: #VALUE! #VALUE!

Zero Curve Construction from Market Rates

Function 14: SwapZeroCurve(MarketData)

An array function that creates a continuously compounded zero curve consistent with a panel of market data
Arguments:
MarketData Array containing the market data. See below

LIBOR MarketData definition:

Type
Column 1 2 3 4
Deposit 0 Life Yield
Swap 1 Life SwapRate Freq

Sample MarketData:
0 0.25 3.00% Deposit
The input data does not have to be in any particular
order. It is sorted in increasing maturity by the
calculator.

If two items have the same maturity, one of them is

 0 0.5 3.50% Deposit The input data does not have to be in any particular
order. It is sorted in increasing maturity by the
0 0.75 4.00% Deposit calculator.
1 1 4.25% 2 Swap
1 2 4.50% 2 Swap If two items have the same maturity, one of them is
ignored.
1 3 4.65% 2 Swap
1 4 4.75% 2 Swap Input data that contains an error (e.g., negative
1 5 4.85% 2 Swap maturity or rate, frequency other 1, 2, 4 or 12, etc.) i
ignored.
1 7 4.85% 2 Swap
1 10 4.80% 2 Swap
1 15 4.70% 2 Swap
1 20 4.60% 2 Swap
1 30 4.50% 2 Swap

Example: #VALUE! #VALUE! The zero curve is an array function. It returns 2 columns and n rows
of results.
#VALUE! #VALUE!
#VALUE! #VALUE! To insert an array function select (highlight) a range. In this example
#VALUE! #VALUE! the range is 2 columns and 15 rows. Type in the function
("=(SwapZeroCurve(B179:F193)") and then type Ctrl-Alt-Enter (all at
#VALUE! #VALUE! the same time).
#VALUE! #VALUE!
#VALUE! #VALUE! If you select a range that is too big it shows #N/A in the surplus cells.
If you select a range that is too small you only see part of the results.
#VALUE! #VALUE!
#VALUE! #VALUE! To edit an array function you must select the entire array (in this
case 2 columns and 15 rows) edit the function and type Ctrl-Alt-
#VALUE! #VALUE! Enter .
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!

OIS Discounting

Function 15: TreasuryZeroCurve(MarketData)

Create a zero curve from bond data
Arguments:
MarketData Array containing the OIS swap data. See below
Maturities <1 are assumed to be payment at maturity only

MarketData definition:
Type
Column 1 2 3 4 5
Deposit 0 Life Yield
Bond 1 Life Coupon Yield Freq

Sample MarketData:
0 0.25 1.00% Deposit
0 0.5 1.20% Deposit
0 1 1.40% Deposit
1 1.5 2.00% 1.60% 1 Bond
1 2 2.00% 1.80% 1 Bond
1 3 2.00% 2.00% 1 Bond
1 5 2.00% 2.10% 1 Bond
1 7 2.00% 2.20% 1 Bond
1 10 2.00% 2.40% 1 Bond
1 12 2.00% 2.40% 1 Bond
1 15 2.00% 2.40% 1 Bond
1 20 2.00% 2.40% 1 Bond

Example: #VALUE! #VALUE!

#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
 Term Structure

1 2 3 4 5 6 7 8 9 10

Term Structure
pounded interest rates. 0 3.000%
The term structure is a 2 by n array. The first
0.5 3.353% column contains the rate maturity and the second
1 3.664% column the continuously compounded rate.
he first column and zero rates in second column 1.5 3.938%
The number of rows in the array, n, can be as
2 4.180% small as 1 or as large as you like.
2.5 4.394%
3 4.583%
4 4.900%
5 5.100%
mpounded interest rates. 7 5.400%
10 5.754%

he first column and zero rates in second column

irty (cash) price = PV of payments

t is the dirty (cash) price.

y compounded interest rates.

turities in the first column and zero rates in second column

irty (cash) price = PV of payments

continuously compounded interest rates.

he first column and zero rates in second column

 Zero
cture of interest rates. 0 3.00%
0.5 3.35%
1 3.66%
1.5 3.94%
2 4.18%
he first column and zero rates in second column 2.5 4.39%
3 4.58%
4 4.90%
5 5.13%
6 5.30%
7 5.44%
8 5.54%
9 5.63%
10 5.71%

he first column and zero rates in second column

eros, ForwardRates, Result) OIS Zeroes Forward Rates

0 3.150% 0
0.5 3.503% 0.5
 1 3.814% 1
1.5 4.088% 1.5
2 4.330% 2
2.5 4.544% 2.5
3 4.733% 3
4 5.050% 4
5 5.280% 5
6 5.450% 6
o curve: Maturities in the first column and zero rates in second column 7 5.585% 7
8 5.690% 8
9 5.780% 9
10 5.855% 10

turities in the first column and zero rates in second column

el of market data

not have to be in any particular

ncreasing maturity by the

e same maturity, one of them is

not have to be in any particular
ncreasing maturity by the

e same maturity, one of them is

ains an error (e.g., negative

quency other 1, 2, 4 or 12, etc.) is

nd n rows

is example

nter (all at

urplus cells.
the results.

(in this
trl-Alt-
array. The first
urity and the second
pounded rate.

ay, n, can be as
e.
Forward Rates
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
4.000%
Function 16: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
IsFut 0 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
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE! Continuous Dividends Dividends

#VALUE! Discrete Dividends 0.5 1
0.75 1

Function 17: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
IsFut 0 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
IsAmerican 0 TRUE if American option, FALSE if European option
nSteps 25 Number of time steps on tree
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE! Continuous Dividends

#VALUE! Discrete Dividends
ons (Enter 0 if this parameter not applicable)

ols 1 and 2. (Leave blank if not applicable)

currencies, and futures

ons (Enter 0 if this parameter not applicable)

ols 1 and 2. (Leave blank if not applicable)

Function 18: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
IsFut 0 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
IsCash 1 TRUE if Cash or Nothing, FALSE if Asset or Nothing
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE! Continuous Dividends Dividends

#VALUE! Discrete Dividends 0.5 1
0.75 1

Function 19: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
IsFut 0 TRUE if futures option, FALSE otherwise
H 60 Barrier
IsUp 1 TRUE if Up option; FALSE if Down option
IsIn 0 TRUE if In option; FALSE if Out option
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE!

Function 20: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
 q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
IsFut 0 TRUE if futures option, FALSE otherwise
CurrAve 50 Current Average (irrelevant if a new instrument)
TimeSoFar 0 Time since beginning of averaging in years (zero for a new instrument)
Result 3 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE!

Function 21: 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 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsFut 0 TRUE if futures option, FALSE otherwise
eToChoice 0.35 Time until choice between call and put has to be made
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE!

Function 22: 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 50 Asset Price
K1 5 First Strike Price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T1 0.35 Time to first exercise
IsCall 1 True if first option a call, FALSE if first option a put
IsFut 0 TRUE if futures option, FALSE otherwise
K2 50 Second strike price
T2 1 Time to second exercise
tionOnCall 1 TRUE if second option is a call, FALSE if second option is a put
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE!
 Function 23: 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 50 Asset Price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this paramet
vol 0.25 Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T 1 Time to maturity (yrs)
IsCall 1 TRUE if lookback call, FALSE if lookback put
IsFut 0 TRUE if futures option, FALSE otherwise
edLookback 1 TRUE for fixed lookback
Smax 50 Maximum price to date (equals to current price if a new instrument)
Smin 50 Minimum price to date (equals current price if a new instrument)
K 55 Strike price for Fixed Lookback; Ignored otherwise
Result 1 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol

Example: #VALUE!
ons (Enter 0 if this parameter not applicable)

ols 1 and 2. (Leave blank if not applicable)

es and futures

ons (Enter 0 if this parameter not applicable)

and futures
ons (Enter 0 if this parameter not applicable)

es and futures

ons (Enter 0 if this parameter not applicable)

ncies and futures

ons (Enter 0 if this parameter not applicable)

ies and futures

ons (Enter 0 if this parameter not applicable)

Function 24: 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 0.2 Valuation date (years from today >=0)
S 50 Asset price
IsFut 0 TRUE if underlying is a futures price; FALSE otherwise
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if th
Divs Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Lea
vol 0.25 Volatility
Portfolio Array defining portfolio. See below
Result 0 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
Binaryoption 3 Number K T IsCall IsCash
BarrierOption 4 Number K T IsCall Barrier
AverageOption 5 Number K T IsCall CurrAve
ChooserOption 6 Number K T TimeToChoice
CompoundOption 7 Number K1 T1 IsCall K2
LookBackOption 8 Number K T IsCall IsFixedLookback

Sample Portfolio
Type Number
Underlying 0 -2
Black Scholes 1 50 55 0.5 1
Black Scholes 1 50 48 0.75 1
TreeEquityOption 2 100 50 0.5 0 50

Example: #VALUE!
ndex, currency, or futures

e for currency options (Enter 0 if this parameter not applicable)

idend payment in cols 1 and 2. (Leave blank if not applicable)

IsAmerican

IsUp IsIn
TimeSoFar

T2 IsOptOnCall
Smax Smin

Dividends
0.5 1
0.75 1
1
Function 25: CEVOption(S, K , r, q, T, IsCall, CEV_sigma, CEV_alpha, result)
Calculates equity option prices using the CEV (Constant Elasticity of Variance Model)
Arguments:
S 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
CEV_sigma 0.25 CEV volatility parameter
CEV_alpha 1 CEV volatility parameter (0 <= alpha < 2)
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho

Example: #VALUE!

Function 26: JumpOption(S, K, r, q, T, IsCall, volatility, jump_intensity, AvgJump, JumpStdDev, result)

Calculates equity option prices using the Merton Jump-Diffusion Model
Arguments:
S 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
volatility 0.25 Volatility of diffusion process
jump_intensity 4.3 Average number of jumps per year
AvgJump -5.00% Average jump size (as a % of stock price)
JumpStdDev 20.00% Standard deviation of jump size (as a % of stock price)
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho

Example: #VALUE!

Function 27: VarGammaOption(S, K, r, q, T, IsCall, volatility, variance_rate, VG_theta, result)

Calculates equity option prices using the Variance-Gamma Model
Arguments:
S 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
 volatility 25.0% V-G volatility parameter
variance_rate 30.0% V-G variance rate
VG_theta -20.0% V-G skewness parameter
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho

Example: #VALUE!

Function 28: HestonOption(S, K, r, q, T, IsCall, volatility, rev_level, rev_rate, vol_of_vol, rho, result)
Calculates equity option prices using the Heston Model
Arguments:
S 50 Asset Price
K 50 Strike price
r 0.05 Domestic risk-free rate
q 0.02 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
volatility 25.0% Intial volatility
rev_level 30.0% Level volatility reverts to
rev_rate 5.0% Reversion rate
vol_of_vol 2 Volatility of the variance
rho -0.5 Correlation between stock price and volatility
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho

Example: #VALUE!

Function 29: SABROption(S, K, r, q, T, IsCall, volatility, beta, vol_of_vol, rho, result)

Calculates equity option prices using the SABR Model
Arguments:
S 10 Asset Price
K 8 Strike price
r 0.03 Domestic risk-free rate
q 0 Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if
T 1 Time to maturity (yrs)
IsCall 1 TRUE if call, FALSE if put
volatility 25.0% Intial volatility
beta 1 SABR volatility parameter (0 <= beta < 2)
vol_of_vol 2 Volatility of the variance
rho -0.5 Correlation between stock price and volatility
Result 0 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho

Example: #VALUE!
rrency options (Enter 0 if this parameter not applicable)

rrency options (Enter 0 if this parameter not applicable)

rrency options (Enter 0 if this parameter not applicable)

rrency options (Enter 0 if this parameter not applicable)

rrency options (Enter 0 if this parameter not applicable)

Function 30: BlackCap(Start, Life, CapRate, L, Frequ, vol, IsCap, Zeros, Result)
Carries out calculations for caps and floors using Black's model
Arguments:
Start 0 Time (years from today) when cap starts
Life 10 Life of cap in years
CapRate 6.00% Cap Rate
L 100 Notional amount
Frequ 4 Number of times a year cap is settled (= 12, 4, 2, or 1)
vol 25.00% Flat volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsCap 1 TRUE if cap, FALSE if Floor
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 2 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol

Example: #VALUE!

Function 31: BachelierCap(Start, Life, CapRate, L, Frequ, StdDev, IsCap, OIS, Forwards, Result)
Carries out calculations for caps and floors using Bachelier model
Arguments:
Start 0 Time (years from today) when cap starts
Life 10 Life of cap in years
CapRate 5.00% Cap Rate
L 100 Notional amount
Frequ 4 Number of times a year cap is settled (= 12, 4, 2, or 1)
StdDev 1.25% Standard deviation rate. But enter price if implied StdDev is to be calculated (i.e.Result=4)
IsCap 1 TRUE if cap, FALSE if Floor
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol

Example: #VALUE!

Function 32: ShiftedBlackCap(Start, Life, CapRate, L, Frequ, volatility, shift, IsCap, Zeros, Fwds, Result)
Carries out calculations for caps and floors using shifted lognormal model
Arguments:
Start 0 Time (years from today) when cap starts
Life 10 Life of cap in years
CapRate 6.00% Cap Rate
L 100 Notional amount
Frequ 4 Number of times a year cap is settled (= 12, 4, 2, or 1)
Vol 25.00% Volatility. But enter price if implied Vol is to be calculated (i.e.Result=4)
Shift 2.00% Amount lognormal distribution is shifted by
 IsCap 1 TRUE if cap, FALSE if floor
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=ImpliedVol

Example: #VALUE!

Function 33: SABRCap(Start, Life, CapRate, L, Frequ, Vol0, Beta, Vol_of_Vol, rho, shift, IsCap, Zeros, Result)
Carries out calculations for caps and floors using SABR model
Arguments:
Start 0 Time (years from today) when cap starts
Life 10 Life of cap in years
CapRate 6.00% Cap Rate
L 100 Notional amount
Frequ 4 Number of times a year cap is settled (= 12, 4, 2, or 1)
Vol0 25.00% Volatility. But enter price if implied Vol is to be calculated (i.e.Result=4)
Beta 1 SABR beta coefficient
Vol_of_Vol 1.1 Volatility of volatility
Correlation -0.5 Correlation between forward rate and volatility
Shift 0.00% Amount SABR distribution is shifted by
IsCap 1 TRUE if cap, FALSE if floor
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega

Example: #VALUE!
 OIS Zeros Forward Rates
0.25 0.029888 0.25 0.04
0.5 0.031747 0.5 0.04
0.75 0.032598 0.75 0.04
1 0.033731 1 0.04
2 0.034725 1.25 0.04
3 0.035737 1.5 0.04
4 0.036243 1.75 0.04
5 0.036759 2 0.04
econd column 7 0.037819 3 0.04
10 0.038907 5 0.04
15 0.039426 7 0.04
20 0.040036 10 0.04
30 0.041506 15 0.04
20 0.04
30 0.04

i.e.Result=4)

econd column
econd column

econd column
Function 34: BlackSwapOpt(OptLife, SwapLife, SwapRate, L, Frequ, vol, IsPayFix, Zeros, Forwards, Result)
Price of option to enter into a swap using Black's model
Arguments:
OptLife 2 Option Life in years
SwapLife 8 Swap life after option expiry in years
SwapRate 5.00% Strike Swap Rate
L 100 Principal amount
Frequ 2 Frequency of payments on swap (= 12, 4, 2, or 1)
vol 20.00% Volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsPayFix 1 TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 2 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied Volatility

Example: #VALUE!

Function 35: BachelierSwapOpt(OptLife, SwapLife, SwapRate, L, Frequ, StdDev, IsPayFix, Zeros, Forwards, Result)
Price of option to enter into a swap using Bachelier model
Arguments:
OptLife 2 Option Life in years
SwapLife 8 Swap life after option expiry in years
SwapRate 5.00% Strike Swap Rate
L 100 Principal amount
Frequ 2 Frequency of payments on swap (= 12, 4, 2, or 1)
StdDev 1.25% Standard deviation rate. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsPayFix 1 TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied Volatility

Example: #VALUE!

Function 36: ShiftedBlackSwapOpt(OptLife, SwapLife, SwapRate, L, Frequ, vol, Shift, IsPayFix, Zeros, Forwards, Result)
Price of option to enter into a swap using shifted lognormal model
Arguments:
OptLife 2 Option Life in years
SwapLife 8 Swap life after option expiry in years
SwapRate 5.00% Strike Swap Rate
L 100 Principal amount
Frequ 2 Frequency of payments on swap (= 12, 4, 2, or 1)
vol 20.00% Volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
Shift 2.00%
 IsPayFix 1 TRUE if option to pay strike swap rate, FALSE if option to receive strike swap rate
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 2 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied Volatility

Example: #VALUE!

Function 37: SABRSwapOpt(Start, Life, CapRate, L, Frequ, volatility, shift, IsCap, Zeros, Result)
Price of option to enter into a swap using SABR model
Arguments:
Start 2 Time (years from today) when cap starts
Life 8 Life of cap in years
SwapRate 5.00% Cap Rate
L 100 Notional amount
Frequ 4 Number of times a year cap is settled (= 12, 4, 2, or 1)
Vol0 20.00% Volatility. But enter price if implied Vol is to be calculated (i.e.Result=4)
Beta 1 SABR beta coefficient
Vol_of_Vol 0.001 Volatility of volatility
Correlation 0 Correlation between forward rate and volatility
Shift 0.00% Amount SABR distribution is shifted by
IsPayFix 1 TRUE if cap, FALSE if floor
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Forwards Array of forward rates
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega

Example: #VALUE!
wards, Result) OIS Zeros Forward Rates
0.25 0.029888 0.25 0.04
0.5 0.031747 0.5 0.04
0.75 0.032598 0.75 0.04
1 0.033731 1 0.04
2 0.034725 1.25 0.04
3 0.035737 1.5 0.04
4 0.036243 1.75 0.04
e. Result=4) 5 0.036759 2 0.04
trike swap rate 7 0.037819 3 0.04
o rates in second column 10 0.038907 5 0.04
15 0.039426 7 0.04
20 0.040036 10 0.04
30 0.041506 15 0.04
20 0.04
30 0.04

ros, Forwards, Result)

e calculated (i.e. Result=4)

trike swap rate
o rates in second column

x, Zeros, Forwards, Result)

e. Result=4)
trike swap rate
o rates in second column

o rates in second column

Function 38: BlackBondOpt(BondLife,Coupon,Princ,Frequ,K,T,vol,IsCall,IsQuoted,Zeros,Result)
Carries out calculations for bond options usng Black's model
Arguments:
BondLife 10 Life of bond in years(from today)
Coupon 6.00% Coupon (rate per year)
Princ 100 Bond Principal
Frequ 2 Frequency of payments on bond (=4, 2, or 1)
K 99.5 Strike Price
T 2.2 Time (in years) to option maturity
vol 20.00% Volatility. BUT enter price if implied volatility is to be calculated (i.e. Result=4)
IsCall 1 TRUE if call, FALSE if put
IsQuoted 1 True if strike is a quoted price, false if strike is cash price
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma

Example #VALUE!

Function 39: HullWhiteBondOpt(BondLife,Coupon,Princ,Frequ,K,T,sigma,a, IsCall,IsQuoted,Zeros,Result)

Carries out calculations for bond options using Hull-White model
Arguments:
BondLife 10 Life of bond in years(from today)
Coupon 6.00% Coupon (rate per year)
Princ 100 Bond Principal
Frequ 2 Frequency of payments on bond (=4, 2, or 1)
K 99.5 Strike Price
T 2.2 Time (in years) to option maturity
sigma 1.25% Short rate standard deviation. But enter price if implied sigma is to be calculated (i.e.Result=4)
a 0.04 Reversion rate
IsCall 1 TRUE if call, FALSE if put
IsQuoted 1 True if strike is a quoted price, false if strike is cash price
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma

Example #VALUE!

Function 40: 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:
BondLife 10 Life of bond in years(from today)
Coupon 6.00% Coupon (rate per year)
Princ 100 Bond Principal
Frequ 2 Frequency of payments on bond per year (=4, 2, or 1)
 K 99.5 Strike Price
T 2.2 Time (in years) to option maturity
sigma 20.00% Volatility parameter
a 4.00% Reversion rate
IsCall 1 TRUE if call, FALSE if put
IsQuoted 1 True if strike is a quoted price, false if strike is cash price
IsAmerican 1 TRUE if American option, FALSE if European
Model 1 0=Normal, 1=Lognormal
nSteps 25 Number of time steps
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
Result 0 0=Price, 1=Delta, 2=Gamma, 3=Vega, 4=Implied sigma

Example #VALUE!
 Term Structure
0 3.00%
1 3.66%
2 4.18%
3 4.58%
4 4.90%
5 5.14%
6 5.33%
7 5.48%
8 5.59%
9 5.68%
10 5.75%
econd column

ted (i.e.Result=4)

econd column

del,nSteps,Zeros,Result)
econd column
Function 41: DefaultProbability(t, HazardRates)
Calculates the probability of a default by time t using a given term structure of hazard rates
Arguments:
t 1.25 Default event occcurs on or before t
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second co

Example #VALUE!

Function 42: CDS_Spread(Life, Frequ, Recovery, Zeros, HazardRates)

Calculates the breakeven CDS spread in basis points
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 0.4 Recovery rate in the event of default (0<= R <=1)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second co

Example #VALUE!

Function 43: CDS_Value(Life, Frequ, Recovery, Spread, Zeros, HazardRates)

Calculates the present value per $100 notional of buying protection at a specified spread
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 0.4 Recovery rate in the event of default (0<= R <=1)
Spread 50 CDS spread in basis points
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second co

Example #VALUE!

Function 44: ImplyHazardRates(CDS_Spreads, Frequ, Recovery, Zeros

Determines the term structure of hazard rates that are consistent with a term structure of CDS spreads
Arguments:
CDS_Spreads Array containing term structure of CDS spreads: Maturities in the first column and spread in ba
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 0.4 Recovery rate in the event of default (0<= R <=1)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column

Calculated hazard rates Check:

Example #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
 Hazard Rates Term Structure
0 0.50% 0 3.00%
0.5 1.00% 1 3.66%
1 1.25% 2 4.18%
azard rates in second column 2 1.00% 3 4.58%
5 1.00% 4 4.90%
10 1.00% 5 5.14%
6 5.33%
7 5.48%
8 5.59%
9 5.68%
10 5.75%

es in second column
azard rates in second column

es in second column
azard rates in second column

olumn and spread in basis points in second column

es in second column

CDS Spreads
1 25
 2 40
3 50
4 55
5 60
10 64
Function 45: CDO_Spread(Life, Frequ, Recovery, Attach, Detach, Correlation, nFirms, nPoints, Zeros, Ha
Calculates the breakeven CDO spread in basis points
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 40.00% Recovery rate in the event of default (0<= R <=1)
Attach 10.00% Tranche attachment point (A >= 0)
Detach 15.00% Tranche detachment point (A < D <= 1)
Correlation 20.00% Copula Correlation (0 <= corr <= 1)
nFirms 125 Number of companies in the portfolio (<=250)
nPoints 10 Number of integration points (<=50)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second colum

Example #VALUE!

Function 46: CDO_UpFront(Life, Frequ, Recovery, Attach, Detach, Correlation, Spread, nFirms, nPoints, Zeros, HazardRates)
Calculates the breakeven upfront payment as a proportion of the notional for the CDO tranche
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 40.00% Recovery rate in the event of default (0<= R <=1)
Attach 0.00% Tranche attachment point (A >= 0)
Detach 3.00% Tranche detachment point (A < D <= 1)
Correlation 20.00% Copula Correlation (0 <= corr <= 1)
Spread 500 Spread in basis points that is paid in addition to the upfront payment
nFirms 125 Number of companies in the portfolio (<=250)
nPoints 5 Number of integration points (<=50)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second colum

Example #VALUE!

Function 47: ImplyCopulaCorrelation(Life, Frequ, Recovery, Attach, Detach, Spread, UpFront, nFirms, nPoints, Zeros, Hazard
Calculates the breakeven upfront payment as a proportion of the notional for the CDO tranche
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 0.4 Recovery rate in the event of default (0<= R <=1)
Attach 0.00% Tranche attachment point (A >= 0)
Detach 3.00% Tranche detachment point (A < D <= 1)
Spread 500 Spread in basis points that is paid in addition to the upfront payment
 UpFront 40.00% Upfront payment as proportion of notional
nFirms 125 Number of companies in the portfolio (<=250)
nPoints 5 Number of integration points (<=50)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second colum

Example #VALUE!

Function 48: CDO_Value(Life, Frequ, Recovery, Attach, Detach, Correlation, Spread, UpFront, nFirms, nPoints, Zeros, Hazard
Calculates the value of the CDO tranche per $100 of notional
Arguments:
Life 5 Life of the CDS in years
Frequ 4 Frequency of payments on the CDS (=12, 4, 2, or 1)
Recovery 40.00% Recovery rate in the event of default (0<= R <=1)
Attach 0.00% Tranche attachment point (A >= 0)
Detach 3.00% Tranche detachment point (A < D <= 1)
Correlation 20.00% Copula Correlation (0 <= corr <= 1)
Spread 500 Spread in basis points that is paid in addition to the upfront payment
UpFront 35.00% Upfront payment as proportion of notional
nFirms 125 Number of companies in the portfolio (<=250)
nPoints 8 Number of integration points (<=50)
Zeros Array containing zero curve: Maturities in the first column and zero rates in second column
HazardRates Array containing hazard rate curve: Maturities in the first column and hazard rates in second colum

Example #VALUE!
 Hazard Rates Term Structure
0 0.50% 0 3.00%
0.5 1.00% 1 3.66%
1 1.25% 2 4.18%
2 1.00% 3 4.58%
5 1.00% 4 4.90%
10 1.00% 5 5.14%
6 5.33%
7 5.48%
8 5.59%
9 5.68%
o rates in second column 10 5.75%
and hazard rates in second column

ms, nPoints, Zeros, HazardRates)

o rates in second column

and hazard rates in second column

t, nFirms, nPoints, Zeros, HazardRates)

o rates in second column
and hazard rates in second column

t, nFirms, nPoints, Zeros, HazardRates)

o rates in second column

and hazard rates in second column