{"text_format":"1","workbook":"xlsx","n_sheets":10,"sheets":["Module1","Title","Equity_FX_Indx_Fut_Opts_Calc","Equity Tree Display","BondOpt Tree Display","CDSs","CDOs","Equity Option Functions"," Value at Risk","MyData"],"not_rendered":{"charts":3,"images":0,"macros":1,"external_links":0,"defined_names":1,"comments":0,"pivot_tables":0},"unopened":[{"sheet":"Module1","index":0,"reason":"part_missing"}],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Title","index":1,"n_rows":17,"n_cols":2,"rows_kept":17,"cut":false,"hidden":false,"merged":[[17,1,17,11],[8,1,8,11],[9,1,9,11],[13,1,13,11],[14,1,14,11],[15,1,15,11],[16,1,16,11],[2,1,2,11],[3,1,3,11],[4,1,4,11],[5,1,5,11],[6,1,6,11],[7,1,7,11]]}
[]
[]
[null,"RMFI Software - Version 1.00"]
[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 book:"]
[]
[null,"\"Risk Management and Financial Institutions\""]
[]
[]
[]
[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,"© A-J Financial Systems, Inc., 2016"]

{"sheet":"Equity_FX_Indx_Fut_Opts_Calc","index":2,"n_rows":202,"n_cols":16,"rows_kept":202,"cut":false,"hidden":false,"merged":[]}
[null,"Underlying Type:",null,null,null,null,null,null,null,"Chart:",null,null,null,null,"Progress: ",1]
[null,null,null,null,null,null,null,null,null,"Vertical (Y) Axis:",null,null,null,null,"Strike Price","Option Price"]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,40,11.031226249025282]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,40.100502512562812,10.953873960068313]
[null,null,"Index Level: ",100,null,null,null,null,null,"Horizontal (X) Axis:",null,null,null,null,40.201005025125632,10.876521671111341]
[null,null,"Volatility (% per year): ",0.3,null,null,null,null,null,null,null,null,null,null,40.301507537688444,10.799169382154375]
[null,null,"Risk-Free Rate (% per year): ",0.02,null,null,null,null,null,null,null,null,null,null,40.402010050251256,10.721817093197405]
[null,null,"Dividend Yield (% per yer): ",null,null,null,null,null,null,null,"Minimum X value: ",40,null,null,40.502512562814069,10.644464804240437]
[null,null,null,null,null,null,null,null,null,null,"Maximum X value: ",60,null,null,40.603015075376888,10.56711251528346]
[null,"Option Type:",null,null,null,null,null,null,null,null,"Number of X Values: ",200,null,null,40.7035175879397,10.489760226326494]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,40.804020100502512,10.412407937369528]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,40.904522613065325,10.33505564841256]
[null,null,"Life (Years): ",1,null,null,null,null,null,null,null,null,null,null,41.005025125628144,10.257703359455583]
[null,null,"Strike Price: ",100,null,null,null,null,null,null,null,null,null,null,41.105527638190956,10.180351070498615]
[null,null,"Tree Steps: ",500,null,null,null,null,null,null,null,null,null,null,41.206030150753769,10.102998781541649]
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[null,null,null,null,null,null,null,null,null,null,null,null,null,null,41.507537688442213,9.8878802751277703]
[null,"Results:",null,null,null,null,null,null,null,null,null,null,null,null,41.608040201005025,9.8226335698885663]
[null,null,"Price: ",12.815667747123443,null,null,null,null,null,null,null,null,null,null,41.708542713567837,9.757386864649364]
[null,null,"Delta (per $): ",0.58572353691844359,null,null,null,null,null,null,null,null,null,null,41.809045226130657,9.6921401594101582]
[null,null,"Gamma (per $ per $): ",1.3008762177430067E-2,null,null,null,null,null,null,null,null,null,null,41.909547738693469,9.6268934541709541]
[null,null,"Vega (per %): ",0.38937277380622426,null,null,null,null,null,null,null,null,null,null,42.010050251256281,9.5616467489317554]
[null,null,"Theta (per day): ",-1.8547057385426204E-2,null,null,null,null,null,null,null,null,null,null,42.110552763819094,9.4964000436925495]
[null,null,"Rho (per %): ",0.46174060737459932,null,null,null,null,null,null,null,null,null,null,42.211055276381913,9.4311533384533419]
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{"sheet":"Equity Tree Display","index":3,"n_rows":45,"n_cols":21,"rows_kept":45,"cut":false,"hidden":true,"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,105.95884518619484]
[" Lower value = Option Price",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,97.904628304612572]
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["Strike price = 50",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,90.462634116299313,null,null,null,90.462634116299313]
["Discount factor per step = 0.9950",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,0,null,null,null,0]
["Time step, dt = 0.1000 years, 36.50 days",null,null,null,null,null,null,null,null,null,null,null,null,null,84.583829049686557,null,null,null,83.586325927289096]
["Growth factor per step, a = 1.0050",null,null,null,null,null,null,null,null,null,null,null,null,null,0,null,null,null,0]
["Probability of up move, p = 0.5119",null,null,null,null,null,null,null,null,null,null,null,78.225232477740207,null,null,null,77.232704422921074,null,null,null,77.232704422921074]
["Up step size, u = 1.0823",null,null,null,null,null,null,null,null,null,null,null,0,null,null,null,0,null,null,null,0]
["Down step size, d = 0.9240",null,null,null,null,null,null,null,null,null,72.349616582615866,null,null,null,72.359541904519446,null,null,null,71.362038782121985]
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["Node Time: "]
[0,null,0.1,null,0.2,null,0.30000000000000004,null,0.4,null,0.5,null,0.60000000000000009,null,0.70000000000000007,null,0.8,null,0.9,null,1]

{"sheet":"BondOpt Tree Display","index":4,"n_rows":48,"n_cols":11,"rows_kept":48,"cut":false,"hidden":true,"merged":[]}
["At each node:"]
[" Upper value = Cash Bond Price per $100 of Principal"]
[" Middle value = Option Price per $100 of Principal"]
[" Lower value = dt-period Rate"]
["Values in red are a result of early exercise."]
[]
["Strike price = 105"]
["Time step, dt = 0.3750 years, 136.88 days"]
[]
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[null,null,null,null,null,null,null,null,0]
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[]
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[]
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[]
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[]
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[]
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[]
[null,null,null,null,null,null,116.15871656794057,null,115.12224441671356,"Pu:",0.19637369791666665]
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[]
[null,null,null,null,null,null,null,null,119.02632033629928]
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[null,null,null,null,null,null,null,null,2.0840366929645558E-2]
["Node Time: "]
[0,null,0.375,null,0.75,null,1.125,null,1.5]
["Accrual: "]
[0,null,1.875,null,1.25,null,0.625,null,0]

{"sheet":"CDSs","index":5,"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"]
[null,"Life(Yrs)","Spread (bp)",null,"Time (Yrs)","Hazard Rate",null,"Time (Yrs)","Rate (%)"]
[null,1,123.00257615399208,null,1,0.02,null,2,0.05]
[null,2,123.00257615399188]
[null,3,123.00257615399175]
[null,4,123.00257615399182]
[null,5,123.00257615399185]
[null,10,123.00257615399178]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[]
[null,null,null,"Recovery Rate",0.4]
[]
[null,null,null,"Payment Frequency:"]

{"sheet":"CDOs","index":6,"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"]
[null,null,null,null,"Time (Yrs)","Hazard Rate",null,"Time (Yrs)","Rate (%)"]
[null,"Life (Years)",5,null,0,5.0000000000000001E-3,null,0,0.03]
[null,"Recovery Rate",0.4,null,0.5,0.01,null,1,3.6639999999999999E-2]
[null,"Number of Names",125,null,1,1.2500000000000001E-2,null,2,4.1799999999999997E-2]
[null,"No. of Integration Points",8,null,2,0.01,null,3,4.5830000000000003E-2]
[null,null,null,null,5,0.01,null,4,4.8959999999999997E-2]
[null,"Payment Frequency:",null,null,10,0.01,null,5,5.1400000000000001E-2]
[null,null,null,null,null,null,null,6,5.3310000000000003E-2]
[null,null,null,null,null,null,null,7,5.4789999999999998E-2]
[null,null,null,null,null,null,null,8,5.5939999999999997E-2]
[null,null,null,null,null,null,null,9,5.6840000000000002E-2]
[null,null,null,null,null,null,null,10,5.7540000000000001E-2]
[]
[]
[]
[]
[]
[null,"Attachment Point (%)","Detachment Point (%)","Spread (bp)","Upfront (%)","Tranche Corr",null,null,null,"ExpLoss","PVPmts","Base Corr."]
[null,0.1,0.15,43.56325704460059,null,0.18827116878052366,null,null,null,1.9219051636111022E-2,4.4117572789459532]
[null,0,0.03,500,0.40698641555231568,0.2,null,null,null,0.5512740238816749,2.8857521665871837]
[null,0,0.06,1247.4809372593579,null,8.6010226372214282E-2,null,null,null,0.42163825793144999,3.3799174427287388]
[null,0,0.1,630.00681332567967,null,0.279884022328652,null,null,null,0.24118517035037024,3.8282946350564382]
[null,0,0.2,305.34378052438501,null,0.46374236996848023,null,null,null,0.12600959346292681,4.1268105492937517]

{"sheet":"Equity Option Functions","index":7,"n_rows":181,"n_cols":12,"rows_kept":181,"cut":false,"hidden":false,"merged":[[16,5,16,6],[54,5,54,6],[175,10,175,11]]}
[]
["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 parameter not applicable)"]
["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",true,"TRUE if call, FALSE if put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["Divs",null,"Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)"]
["Result",0,"0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol"]
[]
[]
["Example:",{"$f":"Black_Scholes(B5,B6,B7,B8,B9,B10,B11,B12,,B14)","v":5.5618809640290614},"Continuous Dividends",null,null,"Dividends"]
[null,{"$f":"Black_Scholes(B5,B6,B7,B8,B9,B10,B11,B12,F18:G19,B14)","v":5.0102682454859906},"Discrete Dividends",null,null,0.5,1]
[null,null,null,null,null,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",100,"Asset Price"]
["K",100,"Strike price"]
["r",0.02,"Domestic risk-free rate"]
["q",0,"Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)"]
["vol",0.3,"Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)"]
["T",1,"Time to maturity (yrs)"]
["IsCall",true,"TRUE if call, FALSE if put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["Divs",null,"Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)"]
["IsAmerican",false,"TRUE if American option, FALSE if European option"]
["nSteps",500,"Number of time steps on tree"]
["Result",0,"0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol"]
[]
["Example:",{"$f":"TreeEquityOpt(B24,B25,B26,B27,B28,B29,B30,B31,,B33,B34,B35)","v":12.815667747123443},"Continuous Dividends"]
[null,{"$f":"TreeEquityOpt(B24,B25,B26,B27,B28,B29,B30,B31,F18:G19,B33,B34,B35)","v":11.693173628294597},"Discrete Dividends"]
[]
["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 parameter not applicable)"]
["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",true,"TRUE if call, FALSE if put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["Divs",null,"Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)"]
["IsCash",true,"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:",{"$f":"BinaryOption(B43,B44,B45,B46,B47,B48,B49,B50,,B52,B53)","v":0.47371729197730161},"Continuous Dividends",null,null,"Dividends"]
[null,{"$f":"BinaryOption(B43,B44,B45,B46,B47,B48,B49,B50,F56:G57,B52,B53)","v":0.44409051969995789},"Discrete Dividends",null,null,0.5,1]
[null,null,null,null,null,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 parameter not applicable)"]
["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",true,"TRUE if call, FALSE if put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["H",60,"Barrier"]
["IsUp",true,"TRUE if Up option; FALSE if Down option"]
["IsIn",false,"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:",{"$f":"BarrierOption(B62,B63,B64,B65,B66,B67,B68,B69,B70,B71,B72,B73)","v":0.33633886372103561}]
[]
[]
["Function 20: AverageOption(S, K, r, q, vol, T, IsCall, IsFut, CurrAve, TimeSoFar, Result)"]
["Carries out calculations for Asian options on non-dividend-paying stocks, stock indices, currencies and futures"]
["Arguments:"]
["S",50,"Asset Price"]
["K",50,"Strike price"]
["r",0.05,"Domestic risk-free rate"]
["q",0.02,"Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)"]
["vol",0.25,"Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)"]
["T",1,"Time to maturity (yrs)"]
["IsCall",true,"TRUE if call, FALSE if put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["CurrAve",50,"Current Average (irrelevant if a new instrument)"]
["TimeSoFar",0,"Time since beginning of averaging in years (zero for a new instrument)"]
["Result",3,"0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol"]
[]
["Example:",{"$f":"AverageOption(B81,B82,B83,B84,B85,B86,B87,B88,B89,B90,B91)","v":0.11081174481554301}]
[]
[]
["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 parameter not applicable)"]
["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",false,"TRUE if futures option, FALSE otherwise"]
["TimeToChoice",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:",{"$f":"ChooserOption(B99,B100,B101,B102,B103,B104,B105,B106,B107)","v":7.7423662893227405}]
[]
[]
["Function 22: CompoundOption(S, K1, r, q, vol, T1, IsCall, IsFut, K2, T2, IsOptionOnCall, Result)"]
["Carries out calculations for compound options on non-dividend-paying stocks, stock indices,currencies and futures"]
["Arguments:"]
["S",50,"Asset Price"]
["K1",5,"First Strike Price"]
["r",0.05,"Domestic risk-free rate"]
["q",0.02,"Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)"]
["vol",0.25,"Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)"]
["T1",0.35,"Time to first exercise"]
["IsCall",true,"True if first option a call, FALSE if first option a put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["K2",50,"Second strike price"]
["T2",1,"Time to second exercise"]
["IsOptionOnCall",true,"TRUE if second option is a call, FALSE if second option is a put"]
["Result",0,"0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol"]
[]
["Example:",{"$f":"CompoundOption(B115,B116,B117,B118,B119,B120,B121,B122,B123,B124,B125,B126)","v":2.0420569385666143}]
[]
[]
["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 parameter not applicable)"]
["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",true,"TRUE if lookback call, FALSE if lookback put"]
["IsFut",false,"TRUE if futures option, FALSE otherwise"]
["IsFixedLookback",true,"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:",{"$f":"LookbackOption(B134,B135,B136,B137,B138,B139,B140,B141,B142,B143,B144,B145)","v":0.87683576729874646}]
[]
["Function 24: EPortfolio(t, S, IsFut, r, q, Divs, vol, Portfolio, Result)"]
["Carries out calculations for a portfolio of options on a non-dividend-paying stock, stock index, currency, or futures"]
["Arguments:"]
["t",0.2,"Valuation date (years from today >=0)"]
["S",50,"Asset price"]
["IsFut",false,"TRUE if underlying is a futures price; FALSE otherwise"]
["r",0.05,"Domestic risk-free rate"]
["q",0.02,"Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)"]
["Divs",null,"Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)"]
["vol",0.25,"Volatility"]
["Portfolio",null,"Array defining portfolio. See below"]
["Result",0,"0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho"]
[]
["Portfolio definition:"]
[null,"Type"]
["Underlying",0,"Number"]
["Black Scholes",1,"Number","K","T","IsCall"]
["TreeEquityOption",2,"Number","K","T","IsCall","nSteps","IsAmerican"]
["Binaryoption",3,"Number","K","T","IsCall","IsCash"]
["BarrierOption",4,"Number","K","T","IsCall","Barrier","IsUp","IsIn"]
["AverageOption",5,"Number","K","T","IsCall","CurrAve","TimeSoFar"]
["ChooserOption",6,"Number","K","T","TimeToChoice"]
["CompoundOption",7,"Number","K1","T1","IsCall","K2","T2","IsOptOnCall"]
["LookBackOption",8,"Number","K","T","IsCall","IsFixedLookback","Smax","Smin"]
[]
["Sample Portfolio"]
[null,"Type","Number"]
["Underlying",0,-2,null,null,null,null,null,null,null,"Dividends"]
["Black Scholes",1,50,55,0.5,true,null,null,null,null,0.5,1]
["Black Scholes",1,50,48,0.75,true,null,null,null,null,0.75,1]
["TreeEquityOption",2,100,50,0.5,false,50,true]
[]
["Example: ",{"$f":"EPortfolio(B152,B153,B154,B155,B156,$K$30:$L$31,B158,B176:H179,B160)","v":463.13067923990411}]

{"sheet":" Value at Risk","index":8,"n_rows":1028,"n_cols":12,"rows_kept":1028,"cut":false,"hidden":false,"merged":[[0,0,0,9],[1,0,1,9],[2,0,2,9],[12,1,12,2]]}
["VALUE AT RISK CALCULATION FOR PORTFOLIO OF OPTIONS DEPENDENT ON A SINGLE STOCK"]
["See Sections 14.2 and 14.7 of Risk Management and Financial Institutions 5e"]
[]
[]
[null,"Today",0]
[null,"S",49,null,null,null,"Portfolio","Type","Number"]
[null,"IsFut",false,null,null,null,"Underlying",0,1000]
[null,"r",0.05,null,null,null,"Black Scholes",1,100,55,0.5,true]
[null,"q",0,null,null,null,"Black Scholes",1,500,50,0.25,true]
[null,"Volatility",0.3,null,null,null,"Black Scholes",1,1600,50,0.2,false]
[null,"1-Day Vol",{"$f":"C10*SQRT(1/252)","v":1.8898223650461361E-2}]
[]
[null,"Portfolio"]
[null,"Value",{"$f":"EPortfolio($C$5,$C$6,$C$7,$C$8,$C$9,,$C$10,$H$7:$L$10,0)","v":55246.487201516909}]
[null,"Delta",{"$f":"EPortfolio($C$5,$C$6,$C$7,$C$8,$C$9,,$C$10,$H$7:$L$10,1)","v":486.41985327534576}]
[null,"Gamma",{"$f":"EPortfolio($C$5,$C$6,$C$7,$C$8,$C$9,,$C$10,$H$7:$L$10,2)","v":127.86837573246868}]
[]
["Linear model","1-Day VaR",{"$f":"NORMSINV(0.01)*C6*C11*C15","v":-1047.8594030073205}]
[]
["Quadratic Model","E(dP)",{"$f":"0.5*C6^2*C16*C11^2","v":54.823566095295931},null,"mu_P",{"$f":"C20","v":54.823566095295931},null,"z_q",{"$f":"NORMSINV(0.01)","v":-2.3263478740408408}]
[null,"E(dp^2)",{"$f":"C6^2*C15^2*C11^2+0.75*C6^4*C16^2*C11^4","v":211905.03486201647},null,"Sig_P",{"$f":"SQRT(C21-C20^2)","v":457.05515144521803},null,"w_q",{"$f":"I20+(I20^2-1)*F22/6","v":-1.8022191575895934}]
[null,"E(dP^3)",{"$f":"4.5*C6^4*C15^2*C16*C11^4+(15/8)*C6^6*C16^3*C11^6","v":102579159.24501537},null,"Xi_P",{"$f":"(C22-3*C21*F20+2*F20^3)/F21^3","v":0.71279409511073855}]
[]
[null,"1-Day VaR",{"$f":"F20+I21*F21","v":-768.8899839142889}]
[]
["Analytic VaR","We calculate the analytic VaR by generating 1000 equally likely portfolio values"]
[null,"1-Day VaR",{"$f":"PERCENTILE($C$30:$C$1028,0.01)-$C$14","v":-783.70750893450895}]
[]
["Prob<S","S","Portfolio Value"]
[1E-3,{"$f":"$C$6+NORMSINV($A30)*$C$11*$C$6","v":46.138404838561826},{"$f":"EPortfolio($C$5+1/252,$B30,$C$7,$C$8,$C$9,,$C$10,$H$7:$L$10,0)","v":54342.529524963225}]
[2E-3,46.334784931866267,54367.734768785231]
[3.0000000000000001E-3,46.455518828929009,54385.621555699676]
[4.0000000000000001E-3,46.544148990047781,54399.917665500783]
[5.0000000000000001E-3,46.61474868506992,54412.014207049491]
[6.0000000000000001E-3,46.673721797778079,54422.601765637373]
[7.0000000000000001E-3,46.724542257306531,54432.079214543024]
[8.0000000000000002E-3,46.769312987745202,54440.700123939445]
[9.0000000000000011E-3,46.809406958779725,54448.636812721037]
[0.01,46.845771721792445,54456.012298783367]
[1.0999999999999999E-2,46.879089664520471,54462.917802659933]
[1.2E-2,46.909869069755416,54469.423039538553]
[1.3000000000000001E-2,46.938499052417583,54475.582615955951]
[1.4000000000000002E-2,46.965284340876153,54481.440187355074]
[1.4999999999999999E-2,46.990468188431947,54487.031261872798]
[1.6E-2,47.014247975891585,54492.385150668124]
[1.7000000000000001E-2,47.036786141559823,54497.526360874814]
[1.8000000000000002E-2,47.058218026778398,54502.475613389055]
[1.9000000000000003E-2,47.078657628173616,54507.250601451895]
[0.02,47.098201894484433,54511.866566004734]
[2.1000000000000001E-2,47.116933989663117,54516.336738888473]
[2.2000000000000002E-2,47.134925807724954,54520.672688998915]
[2.3E-2,47.152239936736891,54524.884596029755]
[2.4E-2,47.168931211037957,54528.981469396822]
[2.5000000000000001E-2,47.18504795139232,54532.971325117178]
[2.6000000000000002E-2,47.200632965653973,54536.861330053405]
[2.7000000000000003E-2,47.215724363527933,54540.657920552178]
[2.8000000000000001E-2,47.230356225502014,54544.36690078945]
[2.9000000000000001E-2,47.244559156275663,54547.993524885729]
[0.03,47.258360745887174,54551.542565929674]
[3.1E-2,47.27178595646901,54555.018374358951]
[3.2000000000000001E-2,47.284857448617025,54558.424927625492]
[3.3000000000000002E-2,47.297595858378429,54561.76587267479]
[3.4000000000000002E-2,47.310020033587527,54565.04456246287]
[3.5000000000000003E-2,47.322147236526312,54568.264087496034]
[3.6000000000000004E-2,47.333993318525692,54571.427303193734]
[3.7000000000000005E-2,47.345572871058046,54574.536853726415]
[3.7999999999999999E-2,47.356899357031438,54577.595192864916]
[3.9E-2,47.367985225328894,54580.604602283784]
[0.04,47.378842011102719,54583.567207686006]
[4.1000000000000002E-2,47.389480423904878,54586.484993056081]
[4.2000000000000003E-2,47.399910425387567,54589.359813298492]
[4.3000000000000003E-2,47.410141298025664,54592.193405478152]
[4.4000000000000004E-2,47.420181706081777,54594.987398845959]
[4.4999999999999998E-2,47.430039749845058,54597.743323805604]
[4.5999999999999999E-2,47.439723014017844,54600.462619953527]
[4.7E-2,47.44923861099452,54603.146643306362]
[4.8000000000000001E-2,47.458593219668217,54605.796672812961]
[4.9000000000000002E-2,47.467793120310702,54608.413916235375]
[0.05,47.476844225994327,54610.999515471267]
[5.1000000000000004E-2,47.485752110960824,54613.554551380788]
[5.2000000000000005E-2,47.494522036287414,54616.080048173091]
[5.3000000000000005E-2,47.503158973154477,54618.576977399898]
[5.3999999999999999E-2,47.511667623979719,54621.046261598283]
[5.5E-2,47.520052441650172,54623.488777619197]
[5.6000000000000001E-2,47.5283176470546,54625.9053596741]
[5.7000000000000002E-2,47.53646724509403,54628.296802128076]
[5.8000000000000003E-2,47.544505039326751,54630.663862064743]
[5.9000000000000004E-2,47.552434645385731,54633.007261644889]
[0.06,47.560259503290368,54635.327690278813]
[6.0999999999999999E-2,47.567982888760426,54637.625806630007]
[6.2E-2,47.575607923628105,54639.902240465555]
[6.3E-2,47.58313758543342,54642.157594367345]
[6.4000000000000001E-2,47.590574716278837,54644.392445316742]
[6.5000000000000002E-2,{"$f":"$C$6+NORMSINV($A94)*$C$11*$C$6","v":47.597922031011066},{"$f":"EPortfolio($C$5+1/252,$B94,$C$7,$C$8,$C$9,,$C$10,$H$7:$L$10,0)","v":54646.607346163612}]
[6.6000000000000003E-2,47.605182124790559,54648.802826990119]
[6.7000000000000004E-2,47.612357480103199,54650.979396377821]
[6.8000000000000005E-2,47.619450473262887,54653.137542586846]
[6.9000000000000006E-2,47.626463380449003,54655.277734653966]
[7.0000000000000007E-2,47.633398383318159,54657.400423416446]
[7.1000000000000008E-2,47.640257574225942,54659.506042467547]
[7.2000000000000008E-2,47.647042961090861,54661.595009049357]
[7.3000000000000009E-2,47.653756471929626,54663.667724887695]
[7.3999999999999996E-2,47.660399959090121,54665.724576973465]
[7.4999999999999997E-2,47.666975203206043,54667.76593829492]
[7.5999999999999998E-2,47.67348391689503,54669.792168524211]
[7.6999999999999999E-2,47.679927748219932,54671.803614661789]
[7.8E-2,47.686308283931396,54673.800611641622]
[7.9000000000000001E-2,47.692627052508136,54675.783482900471]
[0.08,47.698885527009921,54677.752540913018]
[8.1000000000000003E-2,47.70508512775703,54679.708087696243]
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[0.97399999999999998,50.799367034346027,56273.933876937961]
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[0.97599999999999998,50.831068788962043,56296.495784976054]
[0.97699999999999998,50.847760063263109,56308.423487154541]
[0.97799999999999998,50.865074192275046,56320.831698939735]
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{"sheet":"MyData","index":9,"n_rows":208,"n_cols":15,"rows_kept":208,"cut":false,"hidden":true,"merged":[]}
["Option Type ->",3,"Number of items","Items:",null,null,null,"Formats:",null,null,null,null,null,"CDS Hazard Rate Data"]
["Black-Scholes - European ",null,2,"Life (Years): ","Strike Price: ",null,null,"0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,null,0,8.2944858515255314E-3]
["Binomial: European",null,3,"Life (Years): ","Strike Price: ","Tree Steps: ",null,"0.0000","0.00","0",null,null,null,1,8.2944858515255314E-3]
["Binomial: American",null,3,"Life (Years): ","Strike Price: ","Tree Steps: ",null,"0.0000","0.00","0",null,null,null,1.0001,9.9853822806320724E-3]
["Asian",null,4,"Remaining Life (Years): ","Strike Price: ","Time since Inception:","Current Average: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,2,9.9853822806320724E-3]
["Barrier: Up and In",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,2.0001000000000002,1.1741583125227014E-2]
["Barrier: Up and Out",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,3,1.1741583125227014E-2]
["Barrier: Down and In",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,3.0001000000000002,1.3579251192264788E-2]
["Barrier: Down and Out",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,4,1.3579251192264788E-2]
["Binary: Cash or Nothing",null,3,"Life (Years): ","Strike Price: ","Cash Amount: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,4.0000999999999998,1.360513925225151E-2]
["Binary: Asset or Nothing",null,2,"Life (Years): ","Strike Price: ",null,null,"0.0000","0.00",null,null,null,null,5,1.360513925225151E-2]
["Chooser",null,3,"Life (Years): ","Strike Price: ","Decision Date: ",null,"0.0000","0.00","0.0000",null,null,null,5.0010000000000003,1.2048750582617217E-2]
["Compound: Option on Call",null,4,"Time to First Exercise: ","First Exercise Price: ","Time to Final Exercise: ","Final Exercise Price: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,5.5,1.2048750582617217E-2]
["Compound: Option on Put",null,4,"Time to First Exercise: ","First Exercise Price: ","Time to Final Exercise: ","Final Exercise Price: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,5.75,1.2048750582617217E-2]
["Floating Lookback",null,3,"Remaining Life (Years): ","Maximum to Date: ","Minimum to Date: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,null,6,1.2048750582617217E-2]
["Fixed Lookback",null,4,"Remaining Life (Years): ","Maximum to Date: ","Minimum to Date: ","Exercise Price: ","0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},null,null,6.25,1.2048750582617217E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,6.5,1.2048750582617217E-2]
["Underlying Type ->",3,null,null,null,null,null,null,null,null,null,null,null,6.75,1.2048750582617217E-2]
["Equity",null,3,"Stock Price: ","Volatility (% per year): ","Risk-Free Rate (% per year): ",null,"0.00","0.00%","0.00%",null,null,null,7,1.2048750582617217E-2]
["Currency",null,4,"Exchange Rate ($ / foreign): ","Volatility (% per year): ","Risk-Free Rate (% per year): ","Foreign Risk-free Rate (% per year): ","0.0000","0.00%","0.00%","0.00%",null,null,7.25,1.2048750582617217E-2]
["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,7.5,1.2048750582617217E-2]
["Futures",null,3,"Futures Price: ","Volatility (% per year): ","Risk-Free Rate (% per year): ",null,"0.00","0.00%","0.00%",null,null,null,7.75,1.2048750582617217E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,8,1.2048750582617217E-2]
["Call or Put ->",1,null,"Call or Put for Graph ->",2,null,null,null,null,null,null,null,null,8.25,1.2048750582617217E-2]
[null,null,null,"Opt Type for Graph ->",1,null,null,null,null,null,null,null,null,8.5,1.2048750582617217E-2]
[null,null,null,"U Type for Graph ->",2,null,null,null,null,null,null,null,null,8.75,1.2048750582617217E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,9,1.2048750582617217E-2]
["ImplyVolatility ->",false,null,null,null,null,null,null,null,null,null,null,null,9.25,1.2048750582617217E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,9.5,1.2048750582617217E-2]
["X-axis variable ->",2,null,null,null,null,null,null,null,null,null,null,null,9.75,1.2048750582617217E-2]
["Asset price",null,null,null,null,null,null,null,null,null,null,null,null,10,1.2048750582617217E-2]
["Strike price"]
["Risk-free rate"]
["Life (Years)"]
["Volatility"]
[]
["Y-axis variable ->",1]
["Option price"]
["Delta"]
["Gamma"]
["Vega"]
["Rho"]
["Theta"]
[]
[]
["Bond Option Display Data:"]
["Coupon Frequency ->",2,null,"Coupon Frequency for Graph ->",2]
["Quarterly"]
["Semi-Annual"]
["Annual"]
[]
["Pricing Model ->",6,"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 - Tree 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 - 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"]
["LogNormal - Tree 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 ->",2,null,"Call or Put for Graph ->",1]
[null,null,null,"Pricing Model for Graph ->",1]
["ImplyVolatility ->",false]
[null,null,null,"Quoted Strike for Graphv->",true]
["Quoted Strike ->",true]
[]
["Price from TS ->",true]
[]
["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,null,"Settlement Freq Graph ->",3,"Settlement Frequency for Zero ->",4,3]
["Monthly",null,null,"Pricing Model Graph ->",1]
["Quarterly",null,null,"Underlying Type Graph ->",1]
["Semi-Annual"]
["Annual"]
[]
["Pricing Model ->",2,"Number of items","Items:",null,null,null,null,"Formats:"]
["Black - European",null,1,"Volatility (%): ",null,null,null,null,"0.00%"]
["Bachelier - European",null,1,"Standard Deviation (%): ",null,null,null,null,"0.00%"]
["Shifted LogNormal - European",null,2,"Volatility (%): ","Displacement (%)",null,null,null,"0.00%","0.00%"]
[]
[]
[]
["Underlying Type ->",2]
["Swap Option",null,4,"Principal :","Swap Start (Years): ","Swap End (Years): ","Swap Rate (%): ","#,###","0.00","0.00","0.00%"]
["Cap / Floor",null,4,"Principal :","Cap/Floor Start (Years): ","Cap/Floor End (Years): ","Cap/Floor Rate (%):","#,###","0.00","0.00","0.00%"]
[]
["Call or Put ->",2,null,"Call or Put Graph ->",1]
[]
["ImplyVolatility ->",false]
[]
["ImplyBreakEven ->",false]
[]
["X-axis variable ->",2]
["Parallel Rate Shift"]
["Volatility"]
["Swap / Cap Rate"]
["Time to Start"]
["Time to End"]
[]
["Y-axis variable ->",4]
["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",false]
["Upfront2",true]
["Upfront3",false]
["Upfront4",false]
["Upfront5",false]
[]
["ImpCorr",false]
[]
["Base Correlation",2]
[]
["MC Option Type ->",2,"Number of items","Items:",null,null,null,"Formats:"]
["European ",null,2,"Life (Years): ","Strike Price: ",null,null,"0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Asian",null,4,"Remaining Life (Years): ","Strike Price: ","Time since Inception:","Current Average: ","0.0000","0.00","0.0000",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Barrier: Up and In",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Barrier: Up and Out",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Barrier: Down and In",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Barrier: Down and Out",null,3,"Life (Years): ","Strike Price: ","Barrier: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Binary: Cash or Nothing",null,3,"Life (Years): ","Strike Price: ","Cash Amount: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Binary: Asset or Nothing",null,2,"Life (Years): ","Strike Price: ",null,null,"0.0000","0.00"]
["Floating Lookback",null,3,"Remaining Life (Years): ","Maximum to Date: ","Minimum to Date: ",null,"0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
["Fixed Lookback",null,4,"Remaining Life (Years): ","Maximum to Date: ","Minimum to Date: ","Exercise Price: ","0.0000","0.00",{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"},{"$f":"IF($B$18=2,\"0.0000\",\"0.00\")","v":"0.00"}]
[]
["MC Underlying Type ->",4]
["Equity",null,3,"Stock Price: ","Risk-Free Rate (% per year): ","Dividend Yield (% per yer): ",null,"0.00","0.00%","0.00%"]
["Currency",null,3,"Exchange Rate ($ / foreign): ","Risk-Free Rate (% per year): ","Foreign Risk-free Rate (% per year): ",null,"0.0000","0.00%","0.00%"]
["Index",null,3,"Index Level: ","Risk-Free Rate (% per year): ","Dividend Yield (% per yer): ",null,"0.00","0.00%","0.00%"]
["Futures",null,2,"Futures Price: ","Risk-Free Rate (% per year): ",null,null,"0.00","0.00%"]
[]
["Call or Put ->",1]
[]
["DoAntethetic ->",false]
[]
["MC Model Type ->",2]
["Log Normal",null,1,"Volatility (% per year): ",null,null,null,"0.00%"]
["Merton Jump Diffusion",null,4,"Volatility (% per year): ","Jumps per Year: ","Average Jump Size (%): ","Jump Std. Deviation (%): ","0.00%","0.000","0.00%","0.00%"]
["Variance Gamma",null,3,"Volatility (% per year): ","Variance Rate (%): ","Theta: ",null,"0.00%","0.00%","0.00%"]
[]
[]
[]
[]
[]
[]
[]
[]
["Alt Underlying Type ->",1]
["Equity",null,3,"Stock Price: ","Risk-Free Rate (% per year): ","Dividend Yield (% per yer): ",null,"0.00","0.00%","0.00%"]
["Currency",null,3,"Exchange Rate ($ / foreign): ","Risk-Free Rate (% per year): ","Foreign Risk-free Rate (% per year): ",null,"0.0000","0.00%","0.00%"]
["Index",null,3,"Index Level: ","Risk-Free Rate (% per year): ","Dividend Yield (% per yer): ",null,"0.00","0.00%","0.00%"]
["Futures",null,2,"Futures Price: ","Risk-Free Rate (% per year): ",null,null,"0.00","0.00%"]
[]
["Call or Put ->",1]
[]
["MC Model Type ->",6]
["Log Normal",null,1,"Volatility (% per year): ",null,null,null,null,"0.00%"]
["CEV",null,2,"Vol. Parameter","Alpha: ",null,null,null,"0.00%","0.000"]
["Merton Jump Diffusion",null,4,"Diffusion Vol. (% per year): ","Avg. No. Jumps per Year: ","Average Jump Size (%): ","Jump Std. Deviation (%): ",null,"0.00%","0.000","0.00%","0.00%"]
["Variance Gamma",null,3,"Volatility (% per year): ","Variance Rate (%): ","Theta: ",null,null,"0.00%","0.00%","0.00%"]
["Heston",null,5,"Initial Volatility (% per year):","Reversion Level (% per year):","Reversion Rate:","Volatility of Variance:","Correlation:","0.00%","0.00%","0.0000","0.0000","0.0000"]
["SABR",null,4,"Initial Volatility (% per year):","Beta:","Volatility of Volatility:","Correlation:",null,"0.00%","0.0000","0.0000","0.0000"]
[]
["Alt-Model Y-axis variable ->",2]
["Option price"]
["Implied Volatility"]
["Delta"]
["Gamma"]
["Vega"]
["Rho"]
["Theta"]
[]
[]
[]
[]
["BondPrice Display Data:"]
["Settlement Frequency ->",2]
[]
["Swap Price Display Data:",null,null,"Swap PayFixed",2]
["Settlement Frequency ->",4]