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{"sheet":"Tree Display","index":1,"n_rows":45,"n_cols":21,"rows_kept":45,"cut":false,"hidden":false,"merged":[]}
["At each node:"]
[" Upper value = Underlying Asset Price",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,47.296590816534163]
[" Lower value = Option Price",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,8.2965908165341631]
["Values in red are a result of early exercise.",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,46.255666631003528]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,7.2564679926333469]
["Strike price = 39",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,45.237651563050214,null,null,null,45.237651563050214]
["Discount factor per step = 1,0000",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,6.2392542698436912,null,null,null,6.2376515630502141]
["Time step, dt = 0,0082 years, 3,00 days",null,null,null,null,null,null,null,null,null,null,null,null,null,44.24204141873247,null,null,null,44.24204141873247]
["Growth factor per step, a = 1,0000",null,null,null,null,null,null,null,null,null,null,null,null,null,5.2444454542237775,null,null,null,5.2428427803622943]
["Probability of up move, p = 0,4949",null,null,null,null,null,null,null,null,null,null,null,43.268343100630709,null,null,null,43.268343100630709,null,null,null,43.268343100630709]
["Up step size, u = 1,0225",null,null,null,null,null,null,null,null,null,null,null,4.2715484483543493,null,null,null,4.2699458074241834,null,null,null,4.2683431006307089]
["Down step size, d = 0,9780",null,null,null,null,null,null,null,null,null,42.316074363630342,null,null,null,42.316074363630342,null,null,null,42.316074363630342]
[null,null,null,null,null,null,null,null,null,null,3.3575562577213764,null,null,null,3.3184783991216444,null,null,null,3.3168757252601631]
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[null,null,null,null,null,null,null,null,2.6747615897849499,null,null,null,2.4621639238540678,null,null,null,2.3863662828729888,null,null,null,2.3847635760795143]
[null,null,null,null,null,null,40.763941541106675,null,null,null,40.473949486203317,null,null,null,40.473949486203317,null,null,null,40.473949486203317]
[null,null,null,null,null,null,1.9324367761828536,null,null,null,1.7532031451239658,null,null,null,1.6232477504025875,null,null,null,1.474750847833137]
[null,null,null,null,39.873167089882621,null,null,null,39.873179007364335,null,null,null,39.5831809936589,null,null,null,39.5831809936589,null,null,null,39.5831809936589]
[null,null,null,null,1.3624728324262332,null,null,null,1.2051860453325318,null,null,null,1.0586351813822485,null,null,null,0.87561076983578168,null,null,null,0.58318099365889964]
[null,null,39.001997063784806,null,null,null,39.002008981021639,null,null,null,38.712016926118281,null,null,null,38.712016926118281,null,null,null,38.712016926118281]
[null,null,0.9384405544421327,null,null,null,0.80407797715396101,null,null,null,0.66828829415024804,null,null,null,0.50547123892908641,null,null,null,0.28860935204028948]
[38.15,null,null,null,38.150011916991957,null,null,null,38.150023834473672,null,null,null,37.860025820768236,null,null,null,37.860025820768236,null,null,null,37.860025820768236]
[0.63256083287642439,null,null,null,0.52301219534922372,null,null,null,0.41110527711801764,null,null,null,0.28585386775623289,null,null,null,0.14282934284692222,null,null,null,0]
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[null,null,0.33288582420457785,null,null,null,0.24764541131392673,null,null,null,0.15913425716458396,null,null,null,7.0684546546626842E-2,null,null,null,0]
[null,null,null,null,36.501870011739776,null,null,null,36.50188192922149,null,null,null,36.211883915516054,null,null,null,36.211883915516054,null,null,null,36.211883915516054]
[null,null,null,null,0.14661367797357297,null,null,null,8.749762109589336E-2,null,null,null,3.4980943137553053E-2,null,null,null,0,null,null,null,0]
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[null,null,null,null,null,null,null,null,8.5673318829464062E-3,null,null,null,0,null,null,null,0,null,null,null,0]
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["Node Time: "]
[0,null,8.21917808219178E-3,null,1.643835616438356E-2,null,2.4657534246575338E-2,null,3.287671232876712E-2,null,4.1095890410958902E-2,null,4.9315068493150677E-2,null,5.7534246575342458E-2,null,6.575342465753424E-2,null,7.3972602739726015E-2,null,8.2191780821917804E-2]

{"sheet":"Title","index":2,"n_rows":19,"n_cols":2,"rows_kept":19,"cut":false,"hidden":false,"merged":[[15,1,15,11],[16,1,16,11],[7,1,7,11],[2,1,2,11],[3,1,3,11],[4,1,4,11],[5,1,5,11],[6,1,6,11],[17,1,17,11],[18,1,18,11],[19,1,19,11],[8,1,8,11],[9,1,9,11],[10,1,10,11],[11,1,11,11],[12,1,12,11],[13,1,13,11],[14,1,14,11]]}
[]
[]
[null,"DerivaGem - Version 2.00"]
[null,"For Excel 2000 and more recent versions of Excel"]
[null,"This is the Options Calculator Software that has been designed to"]
[null,"accompany John Hull's texts:"]
[]
[null,"\"Options, Futures and Other Derivatives\" 7/E"]
[null,"\"Fundamentals of Futures and Options Markets\" 7/E"]
[null,"and"]
[null,"\"Risk Management and Financial Institutions\" 2/E"]
[]
[null,"All books are published by Pearson Prentice Hall. They can be ordered from outlets such as"]
[null,"Amazon.com or directly from the publisher at http://www.prenhall.com/mischtm/support_fr.html"]
[]
[null,"Important: Do not forget to enable Macros. If you are using Office 2007 you will have to"]
[null,"click on the Options button and choose \"Enable this Content\" "]
[]
[null,"This software was developed for educational purposes by A-J Financial Systems, Inc."]

{"sheet":"Equity_FX_Index_Futures_Options","index":3,"n_rows":30,"n_cols":12,"rows_kept":30,"cut":false,"hidden":false,"merged":[]}
["Underlying Data",null,null,null,null,null,null,null,"Graph Results"]
[null,"Underlying Type:",null,null,null,"Time","Dividend",null,null,"Vertical Axis:"]
[null,null,null,null,null,{"$f":"13/365","v":3.5616438356164383E-2},0.28999999999999998]
[]
[null,null,null,null,null,null,null,null,null,"Horizontal Axis:"]
[null,null,"Stock Price: ",38.15]
[null,null,"Volatility (% per year): ",0.24547007282912461]
[null,null,"Risk-Free Rate (% per year): ",2.5000000000000001E-3,null,null,null,null,null,null,"Minimum X value",0.01]
[null,null,null,null,null,null,null,null,null,null,"Maximum X value",2]
[]
[]
[]
[]
[]
["Option Data"]
[null,"Option Type:"]
[]
[]
[null,null,"Time to Expiration:",{"$f":"30/365","v":8.2191780821917804E-2}]
[null,null,"Exercise Price: ",39]
[null,null,"Tree Steps: ",10]
[]
[]
[]
[null,null,"Price: ",0.63256083287642439]
[null,null,"Delta (per $): ",0.3593303545935988]
[null,null,"Gamma (per $ per $): ",0.15352391306016613]
[null,null,"Vega (per %): ",4.2780027972062817E-2]
[null,null,"Theta (per day): ",-1.825810625453345E-2]
[null,null,"Rho (per %): ",9.5877009117090184E-3]

{"sheet":"IR Tree Display","index":4,"n_rows":89,"n_cols":23,"rows_kept":89,"cut":false,"hidden":true,"merged":[]}
["At each node:"]
[" Upper value = Cash Bond Price"]
[" Middle value = Option Price",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,80.955718027520916]
[" Lower value = dt-period Rate",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,0]
["Values in red are a result of early exercise.",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,0.1103761469628584]
[]
["Strike price = 100",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,87.561213612164366,null,82.439217817005755,"Pu:",0.1451791666666665]
["Time step, dt = 0.1000 years, 36.50 days",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,0,null,0,"Pm:",0.66464166666666669]
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[]
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[]
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[]
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{"sheet":"Caps_and_Swap_Options","index":6,"n_rows":23,"n_cols":14,"rows_kept":23,"cut":false,"hidden":false,"merged":[]}
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[null,null,null,null,null,null,null,1,0.06]
[null,null,null,null,null,"Settlement Frequency: ",null,2,0.06]
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[null,null,"Swap End (Years): ",8,null,null,null,5,0.06]
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[null,null,null,null,null,null,null,null,null,null,null,null,"Maximum X value",5]
[null,"Pricing Model: "]
[]
[]
[null,null,"Volatility (%): ",0.2]
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[]
[]
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[]
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{"sheet":"CDSs","index":7,"n_rows":22,"n_cols":9,"rows_kept":22,"cut":false,"hidden":false,"merged":[[0,1,0,2],[0,4,0,5],[0,7,0,8]]}
[null,"CDS Data",null,null,"Default Rate Data",null,null,"Term Structure"]
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[]
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[]
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[null,null,null,"Recovery Rate",0.4]
[]
[null,null,null,"Payment Frequency:"]

{"sheet":"CDOs","index":8,"n_rows":24,"n_cols":12,"rows_kept":24,"cut":false,"hidden":false,"merged":[[0,1,0,2],[0,4,0,5],[0,7,0,8]]}
[null,"CD0 Data",null,null,"Default Rate Data",null,null,"Term Structure"]
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[null,"Recovery Rate",0.4,null,5,3.8E-3,null,2,0.05]
[null,"Number of Names",125,null,10,3.8E-3,null,3,0.05]
[null,"No. of Integration Points",10,null,25,3.8E-3,null,4,0.05]
[null,null,null,null,null,null,null,5,0.05]
[null,"Payment Frequency:"]
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[]
[]
[]
[]
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[null,"Attachment Point (%)","Detachment Point (%)","Spread (bp)","Upfront (%)","Tranche Corr",null,null,null,"ExpLoss","PVPmts","Base Corr."]
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{"sheet":"MyData","index":9,"n_rows":140,"n_cols":25,"rows_kept":140,"cut":false,"hidden":true,"merged":[]}
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["Barrier: Up and In",null,3,"Time to Exercise:","Exercise Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,null,0.32840000000000003,20.284512106373626,null,-6.8000000000000005E-3,1.2365476683832077,null,1.5644,0.80305262327687099,null,5.0000999999999998,3.4677114038678764E-2]
["Barrier: Up and Out",null,3,"Time to Exercise:","Exercise Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,null,0.40800000000000003,23.923350344943032,null,-6.0000000000000001E-3,1.2189823648604703,null,1.728,0.9598845062175424,null,10,3.4677114038678764E-2]
["Barrier: Down and In",null,3,"Time to Exercise:","Exercise Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,null,0.48760000000000003,27.372581341853849,null,-5.1999999999999998E-3,1.1928261525901473,null,1.8915999999999999,1.1071739815945039,null,10.000999999999999,3.9396702351745229E-2]
["Barrier: Down and Out",null,3,"Time to Exercise:","Exercise Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,null,0.56720000000000004,30.637411036938492,null,-4.4000000000000003E-3,1.1586456730232153,null,2.0552000000000001,1.2422139505073277,null,11.25,3.9396702351745229E-2]
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["Compound: Option on Call",null,4,"Time to First Exercise: ","First Exercise Price: ","Time to Final Exercise: ","Final Exercise Price: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,0.88560000000000005,41.978900110909194,null,-1.1999999999999997E-3,0.95805113594860991,null,2.7096,1.6786809397251439,null,13.75,3.9396702351745229E-2]
["Compound: Option on Put",null,4,"Time to First Exercise: ","First Exercise Price: ","Time to Final Exercise: ","Final Exercise Price: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,0.96520000000000006,44.417672342241232,null,-3.9999999999999975E-4,0.89688894758545246,null,2.8731999999999998,1.7680400567492833,null,14.375,3.9396702351745229E-2]
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["Index",null,4,"Index Level: ","Volatility (% per year): ","Risk-Free Rate (% per year): ","Dividend Yield (% per yer): ","0.00","0.00%","0.00%","0.00%",null,null,null,1.5224,57.764456972373196,null,5.2000000000000006E-3,0.45995882273293098,null,4.0183999999999997,2.2219234687289267,null,18.75,3.9396702351745229E-2]
["Futures",null,3,"Futures Price: ","Volatility (% per year): ","Risk-Free Rate (% per year): ",null,"0.00","0.00%","0.00%",null,null,null,null,1.6020000000000001,59.211306568040726,null,6.0000000000000001E-3,0.40601455287176513,null,4.1820000000000004,2.2712316815854261,null,19.375,3.9396702351745229E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,1.6816,60.56014774643532,null,6.8000000000000005E-3,0.35578512616326385,null,4.3456000000000001,2.3167081847831876,null,20,3.9396702351745229E-2]
["Call or Put ->",1,null,null,null,null,null,null,null,null,null,null,null,null,1.7612000000000001,61.816225235930247,null,7.6000000000000009E-3,0.30950037333315805,null,4.5091999999999999,2.356412494057027,null,20.625,3.9396702351745229E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,1.8408,62.984612573127407,null,8.4000000000000012E-3,0.26727943903058993,null,4.6727999999999996,2.3969356892600913,null,21.25,3.9396702351745229E-2]
["Is Today ->",false,null,null,null,null,null,null,null,null,null,null,null,null,1.9204000000000001,64.07020962541911,null,9.1999999999999998E-3,0.2291420650704179,null,4.8364000000000003,2.4344032267268552,null,21.875,3.9396702351745229E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,2,65.077740827258097,null,0.01,0.19502174648144077,null,5,2.4669887341426464,null,22.5,3.9396702351745229E-2]
["ImplyVolatility ->",false,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,23.125,3.9396702351745229E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,23.75,3.9396702351745229E-2]
["X-axis variable ->",5,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,24.375,3.9396702351745229E-2]
["Asset price",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,25,3.9396702351745229E-2]
["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:",null,null,null,null,"Formats:"]
["Black - European",null,3,"Strike Price (/100): ","Option Life (Years): ","Yield Volatility (%): ",null,null,"0.00","0.00","0.00%"]
["Normal - Analytic European",null,4,"Strike Price (/100): ","Option Life (Years): ","Short-Rate Volatility (%): ","Reversion Rate (%): ",null,"0.00","0.00","0.00%","0.00%"]
["Normal - Tree European",null,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",null,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",null,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",null,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 ->",false]
[]
["Quoted Strike ->",false]
[]
["Price from TS ->",true]
[]
["X-axis variable ->",1]
["Parallel Rate Shift"]
["Strike price"]
["Time to Exercise"]
["Volatility"]
["Bond Maturity"]
[]
["Y-axis variable ->",4]
["Option price"]
["DV01"]
["Gamma01"]
["Vega"]
[]
["Cap / Swap Option Display Data:"]
["Settlement Frequency ->",3]
["Monthly"]
["Quarterly"]
["Semi-Annual"]
["Annual"]
[]
["Pricing Model ->",1,"Number of items","Items:",null,null,null,null,"Formats:"]
["Black - European",null,1,"Volatility (%): ",null,null,null,null,"0.00%"]
["Normal - European",null,2,"Short-Rate Volatility (%): ","Reversion Rate (%): ",null,null,null,"0.00%","0.00%"]
["LogNormal - European",null,3,"Short-Rate Volatility (%): ","Reversion Rate (%): ","Tree Steps: ",null,null,"0.00%","0.00%","0"]
[]
[]
[]
["Underlying Type ->",1]
["Swap Option",null,4,"Principal :","Swap Start (Years): ","Swap End (Years): ","Swap Rate (%):","0","0.00","0.00","0.00%"]
["Cap / Floor",null,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 ->",false]
[]
["ImplyBreakEven ->",false]
[]
["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 ->",1]
["Quarterly"]
["Semi-Annual"]
["Annual"]
[]
["ImplyLambda ->",2]
[]
["CDO Data"]
["Payment Frequency ->",1]
["Quarterly"]
["Semi-Annual"]
["Annual"]
[]
["Upfront1",true]
["Upfront2",false]
["Upfront3",false]
["Upfront4",false]
["Upfront5",false]
[]
["ImpCorr",true]
[]
["Base Correlation",2]