DerivaGem - Version 3.

00
For Excel 2000 and more recent versions of Excel

This is the Options Calculator Software that has been designed to

accompany John Hull's book:

"Options, Futures and Other Derivatives" 9/E

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., 2013

3.00

n designed to

tives" 9/E

07 you will have to

ent"
 Equity_FX_Indx_Fut_Opts_Calc

Underlying Type: Time (Yrs) Dividend At each node:

Upper value = Underlying Asset Price
Equity
Lower value = Option Price
Values in red are a result of early exercise.
Stock Price: 50.00
Volatility (% per year): 40.00% Strike price = 50
Risk-Free Rate (% per year): 10.00% Discount factor per step = 0.9917 89.06561
Time step, dt = 0.0833 years, 30.42 days 0
Growth factor per step, a = 1.0084 79.35276
Option Type: Probability of up move, p = 0.5073 0
Imply Volatility Up step size, u = 1.1224 70.69912 70.69912
Binomial: American
Down step size, d = 0.8909 0 0
Life (Years): 0.4167 Put 62.98919 62.98919
Strike Price: 50.00 0.635984 0
Tree Steps: 5 Call 56.12005 56.12005 56.12005
2.162519 1.301666 0
50 50 50
4.488459 3.771142 2.664116
Results: 44.54736 44.54736 44.54736
Price: 4.48845853 6.959743 6.378043 5.452637
Delta (per $): -0.4145299 39.68935 39.68935
Gamma (per $ per $): 0.03414557 10.36129 10.31065
Vega (per %): 0.1312765 35.36112 35.36112
Theta (per day): -0.0117915 14.63888 14.63888
Rho (per %): -0.0840234 31.50489
18.49511
28.0692
21.9308
Node Time:
0.0000 0.0833 0.1667 0.2500 0.3333 0.4167

Page 3
 Equity_FX_Indx_Fut_Opts_Chart

Underlying Type: Time (Yrs) Dividend Chart: Progress: 100.00%

Equity Option price

Stock Price:
Volatility (% per year):
50.00
40.00%
Vertical (Y) Axis:

Horizontal (X) Axis:

Time to Expiry
0.0100
0.0120
0.0141
Option Price
0.8176
0.8950
0.9657
Risk-Free Rate (% per year):
Life (Years)
10.00%

Minimum X value: 0.01

0.0161
0.0182
0.0202
1.0311
1.0922
1.1498
Option Type: Maximum X value: 0.4166666667 0.0223 1.2042

Binomial:Put
American Number of X Values: 200 0.0243
0.0263
1.2560
1.3055

Call
Life (Years): 0.4167 0.0284 1.3530

Strike Price: 50.00 0.0304 1.3986

Tree Steps: 5 0.0325 1.4425
0.0345 1.4850
0.0366 1.5260
0.0386 1.5659
0.0407 1.6045
5.0000 0.0427 1.6421
0.0447 1.6787
4.5000 0.0468 1.7143
0.0488 1.7491
Option Price

4.0000 0.0509 1.7831

0.0529 1.8163
3.5000
0.0550 1.8488
0.0570 1.8806
3.0000
0.0590 1.9118
0.0611 1.9423
2.5000
0.0631 1.9723
0.0652 2.0017
2.0000
0.0672 2.0305
0.0693 2.0589
1.5000
0.0713 2.0868
0.0734 2.1142
1.0000
0.0754 2.1412
0.5000
0.0774 2.1677
0.0795 2.1939
0.0000
0.0815 2.2196
0.0100 0.0600 0.1100 0.1600 0.2100 0.2600 0.3100 0.3600 0.4100 0.0836 2.2450
Time to Expiry 0.0856 2.2700
0.0877 2.2947
0.0897 2.3190
0.0917 2.3430
0.0938 2.3666
0.0958 2.3900
0.0979 2.4131
0.0999 2.4358
0.1020 2.4583
0.1040 2.4806
0.1060 2.5025
0.1081 2.5242
0.1101 2.5457
0.1122 2.5669
0.1142 2.5879
0.1163 2.6086
0.1183 2.6292
0.1204 2.6495
0.1224 2.6696
0.1244 2.6895
0.1265 2.7092
0.1285 2.7287
0.1306 2.7480
0.1326 2.7671
0.1347 2.7860
0.1367 2.8048
0.1387 2.8234
0.1408 2.8418
0.1428 2.8600
0.1449 2.8781
0.1469 2.8960
0.1490 2.9138
0.1510 2.9314
0.1530 2.9489
0.1551 2.9662
0.1571 2.9833
0.1592 3.0003
0.1612 3.0172
0.1633 3.0340
0.1653 3.0506
0.1674 3.0671
0.1694 3.0834
0.1714 3.0996
0.1735 3.1157
0.1755 3.1317
0.1776 3.1476
0.1796 3.1633
0.1817 3.1789
0.1837 3.1944
0.1857 3.2098
0.1878 3.2251
0.1898 3.2403
0.1919 3.2553
0.1939 3.2703
0.1960 3.2852
0.1980 3.2999
0.2001 3.3146
0.2021 3.3291
0.2041 3.3436
0.2062 3.3579
0.2082 3.3722
0.2103 3.3864
0.2123 3.4005
0.2144 3.4144
0.2164 3.4283
0.2184 3.4422
0.2205 3.4559
0.2225 3.4695
0.2246 3.4831
0.2266 3.4966
0.2287 3.5099
0.2307 3.5232
0.2327 3.5365
0.2348 3.5496
0.2368 3.5627
0.2389 3.5757
0.2409 3.5886
0.2430 3.6014
0.2450 3.6142
0.2471 3.6269
0.2491 3.6395
0.2511 3.6521
0.2532 3.6646
0.2552 3.6770
0.2573 3.6893
0.2593 3.7016
0.2614 3.7138
0.2634 3.7259
0.2654 3.7380
0.2675 3.7500
0.2695 3.7620
0.2716 3.7738
0.2736 3.7856
0.2757 3.7974
0.2777 3.8091
0.2797 3.8207
0.2818 3.8323
0.2838 3.8438
0.2859 3.8553
0.2879 3.8667
0.2900 3.8780
0.2920 3.8893
0.2941 3.9005
0.2961 3.9117
0.2981 3.9228
0.3002 3.9339
0.3022 3.9449
0.3043 3.9558
0.3063 3.9667
0.3084 3.9776
0.3104 3.9883
0.3124 3.9991
0.3145 4.0098
0.3165 4.0204
0.3186 4.0310
0.3206 4.0416
0.3227 4.0520
0.3247 4.0625
0.3268 4.0729
0.3288 4.0832
0.3308 4.0935
0.3329 4.1038
0.3349 4.1140
0.3370 4.1242
0.3390 4.1343
0.3411 4.1443
0.3431 4.1544
0.3451 4.1644
0.3472 4.1743
0.3492 4.1842
0.3513 4.1940
0.3533 4.2038
0.3554 4.2136
0.3574 4.2233
0.3594 4.2330
0.3615 4.2427
0.3635 4.2523
0.3656 4.2618
0.3676 4.2713
0.3697 4.2808
0.3717 4.2902
0.3738 4.2996
0.3758 4.3090
0.3778 4.3183
0.3799 4.3276
0.3819 4.3369
0.3840 4.3461
0.3860 4.3552
0.3881 4.3644
0.3901 4.3735
0.3921 4.3825
0.3942 4.3915
0.3962 4.4005
0.3983 4.4095
0.4003 4.4184
0.4024 4.4273
0.4044 4.4361
0.4064 4.4449
0.4085 4.4537
0.4105 4.4624
0.4126 4.4711
0.4146 4.4798
0.4167 4.4885

Page 4
 Alternative_Models

Underlying Type: Chart: Progress: 100.00%

Equity
Stock Price:
Risk-Free Rate (% per year):
47.00
2.00%
Vertical (Y) Axis:

Horizontal (X) Axis:

Implied Volatility
Strike Price
48.0000
48.1206
48.2412
Implied Volatility
0.9251
0.9249
0.9246
Dividend Yield (% per yer): 0.00%

Minimum X value:
Life (Years) 48
48.3618
48.4824
48.6030
0.9244
0.9242
0.9239

Put
European Option: Maximum X value: 72 48.7236 0.9237
Life (Years): 1.0000 Number of X Values: 200 48.8442 0.9235
Strike Price:

Model Type:
60.00

Call 48.9648
49.0854
49.2060
0.9232
0.9230
0.9228

CEV
Vol. Parameter 2.000
49.3266
49.4472
49.5678
0.9226
0.9223
0.9221
Alpha: 0.800 49.6884 0.9219
0.9300 49.8090 0.9217
49.9296 0.9214
50.0503 0.9212

Implied Volatility
0.9200
Results: 50.1709 0.9210
Price: 24.8907379 50.2915 0.9208
Delta (per $): -0.4541398 50.4121 0.9206
0.9100
Gamma (per $ per $): 0.00881855 50.5327 0.9203
Vega (per %): 0.08315609 50.6533 0.9201
Theta (per day): -0.0203574 0.9000 50.7739 0.9199
Rho (per %): -0.4424588 50.8945 0.9197
51.0151 0.9195
0.8900 51.1357 0.9192
51.2563 0.9190
51.3769 0.9188
0.8800
51.4975 0.9186
51.6181 0.9184
51.7387 0.9182
0.8700
51.8593 0.9179
51.9799 0.9177
0.8600 52.1005 0.9175
48.0000 53.0000 52.2211
58.0000 0.9173 63.0000 68.0000
52.3417
Strike Price 0.9171
52.4623 0.9169
52.5829 0.9167
52.7035 0.9165
52.8241 0.9162
52.9447 0.9160
53.0653 0.9158
53.1859 0.9156
53.3065 0.9154
53.4271 0.9152
53.5477 0.9150
53.6683 0.9148
53.7889 0.9146
53.9095 0.9144
54.0302 0.9142
54.1508 0.9140
54.2714 0.9138
54.3920 0.9135
54.5126 0.9133
54.6332 0.9131
54.7538 0.9129
54.8744 0.9127
54.9950 0.9125
55.1156 0.9123
55.2362 0.9121
55.3568 0.9119
55.4774 0.9117
55.5980 0.9115
55.7186 0.9113
55.8392 0.9111
55.9598 0.9109
56.0804 0.9107
56.2010 0.9105
56.3216 0.9103
56.4422 0.9101
56.5628 0.9100
56.6834 0.9098
56.8040 0.9096
56.9246 0.9094
57.0452 0.9092
57.1658 0.9090
57.2864 0.9088
57.4070 0.9086
57.5276 0.9084
57.6482 0.9082
57.7688 0.9080
57.8894 0.9078
58.0101 0.9076
58.1307 0.9074
58.2513 0.9073
58.3719 0.9071
58.4925 0.9069
58.6131 0.9067
58.7337 0.9065
58.8543 0.9063
58.9749 0.9061
59.0955 0.9059
59.2161 0.9058
59.3367 0.9056
59.4573 0.9054
59.5779 0.9052
59.6985 0.9050
59.8191 0.9048
59.9397 0.9046
60.0603 0.9045
60.1809 0.9043
60.3015 0.9041
60.4221 0.9039
60.5427 0.9037
60.6633 0.9036
60.7839 0.9034
60.9045 0.9032
61.0251 0.9030
61.1457 0.9028
61.2663 0.9026
61.3869 0.9025
61.5075 0.9023
61.6281 0.9021
61.7487 0.9019
61.8693 0.9018
61.9899 0.9016
62.1106 0.9014
62.2312 0.9012
62.3518 0.9010
62.4724 0.9009
62.5930 0.9007
62.7136 0.9005
62.8342 0.9003
62.9548 0.9002
63.0754 0.9000
63.1960 0.8998
63.3166 0.8996
63.4372 0.8995
63.5578 0.8993
63.6784 0.8991
63.7990 0.8990
63.9196 0.8988
64.0402 0.8986
64.1608 0.8984
64.2814 0.8983
64.4020 0.8981
64.5226 0.8979
64.6432 0.8978
64.7638 0.8976
64.8844 0.8974
65.0050 0.8973
65.1256 0.8971
65.2462 0.8969
65.3668 0.8968
65.4874 0.8966
65.6080 0.8964
65.7286 0.8963
65.8492 0.8961
65.9698 0.8959
66.0905 0.8958
66.2111 0.8956
66.3317 0.8954
66.4523 0.8953
66.5729 0.8951
66.6935 0.8949
66.8141 0.8948
66.9347 0.8946
67.0553 0.8944
67.1759 0.8943
67.2965 0.8941
67.4171 0.8940
67.5377 0.8938
67.6583 0.8936
67.7789 0.8935
67.8995 0.8933
68.0201 0.8931
68.1407 0.8930
68.2613 0.8928
68.3819 0.8927
68.5025 0.8925
68.6231 0.8923
68.7437 0.8922
68.8643 0.8920
68.9849 0.8919
69.1055 0.8917
69.2261 0.8916
69.3467 0.8914
69.4673 0.8912
69.5879 0.8911
69.7085 0.8909
69.8291 0.8908
69.9497 0.8906
70.0704 0.8905
70.1910 0.8903
70.3116 0.8901
70.4322 0.8900
70.5528 0.8898
70.6734 0.8897
70.7940 0.8895
70.9146 0.8894
71.0352 0.8892
71.1558 0.8891
71.2764 0.8889
71.3970 0.8888
71.5176 0.8886
71.6382 0.8885
71.7588 0.8883
71.8794 0.8882
72.0000 0.8880

Page 5
 Monte_Carlo

Underlying Type: Option Type:

Futures European
140.000 First Two Simulation Trials

Futures Price:
Put 100.00 Life (Years): 1.0000

Stock Price
Call
120.000

Risk-Free Rate (% per year): 5.00% Strike Price: 100.00
100.000

80.000

Variance Gamma
Model Type:
Simulation Data:
Number of Time Steps: 200 60.000
Number of Simulations: 10 Volatility (% per year):

Do Antithetic
Random Seed: 0 Variance Rate (%):
40.000
Theta:

20.000

Price: 12.2287182 0.000

Standard Error: 3.78029192 0.000 0.100 0.200 0.300 0.400 0.500 0.600 0.700 0.800 0.900 1.000
Time

Results Based on First 10 Simulation Paths

Price: 12.228718
Standard Error: 3.7802919

Avg. Value of Antithetic Pairs: 0.000 23.555 10.687 12.308 14.594

Path Value: 0.000 0.000 0.000 47.111 21.373 0.000 0.000 24.616 0.000 29.188

Time Simulated Prices:

0.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000
0.005 101.907 98.469 103.547 96.816 100.680 99.685 101.190 99.148 103.259 97.075
0.010 103.190 97.566 100.743 99.737 92.228 104.895 101.017 99.680 104.647 96.106
0.015 103.562 97.569 101.584 99.263 91.029 106.640 101.622 99.446 101.559 99.265
0.020 104.336 97.196 102.250 98.974 84.721 112.128 103.491 97.987 103.914 97.310
0.025 103.806 98.035 102.072 99.508 84.235 113.155 104.833 97.054 100.468 100.868
0.030 106.559 95.702 104.822 97.102 81.605 117.090 104.941 97.308 97.501 104.186
0.035 111.350 91.406 106.246 96.120 79.345 120.703 100.648 101.224 101.084 100.682
0.040 111.930 91.263 106.148 96.559 79.226 121.325 101.920 100.292 102.861 99.283
0.045 114.512 89.486 107.445 95.708 76.847 125.382 101.826 100.750 101.650 100.806
0.050 119.614 85.500 108.061 95.507 75.463 128.129 103.643 99.324 103.263 99.568
0.055 124.051 82.548 107.407 96.408 76.085 127.539 102.097 101.177 103.173 100.018
0.060 118.026 86.463 106.216 97.817 76.147 127.898 99.773 103.743 105.970 97.584
0.065 116.414 87.960 105.614 98.709 75.927 128.735 100.001 103.884 104.304 99.487
0.070 111.973 91.347 108.257 96.492 80.417 109.267 100.797 103.435 105.044 99.144
0.075 110.934 92.507 108.885 96.284 79.248 111.262 103.612 100.843 103.588 100.882
0.080 112.549 91.487 107.509 97.848 80.359 110.091 102.348 102.435 102.917 101.869
0.085 112.238 92.073 105.871 99.705 71.911 115.952 102.270 102.886 102.671 102.484
0.090 112.851 91.906 103.818 102.001 72.943 114.696 103.884 101.632 104.115 101.401
0.095 115.680 89.838 104.610 101.595 72.820 115.307 104.831 101.055 101.972 103.803
0.100 117.048 89.080 104.955 101.630 73.992 113.866 111.678 82.158 116.963 72.218
0.105 115.797 90.345 104.730 102.219 72.464 116.568 81.399 90.341 113.001 74.879
0.110 112.044 93.605 105.969 101.355 72.311 117.240 79.387 92.829 109.232 77.623
0.115 111.271 94.560 107.026 100.677 75.685 111.810 78.515 94.175 110.263 77.152
0.120 108.624 97.067 108.574 99.576 76.831 110.513 79.485 93.333 108.877 78.400
0.125 110.808 95.485 107.542 100.865 77.661 109.688 78.740 94.529 113.094 75.361
0.130 108.502 97.759 106.878 101.826 78.844 108.408 78.583 95.062 116.199 73.504
0.135 102.064 102.701 107.747 101.369 78.584 109.160 77.363 96.896 115.581 74.153
0.140 102.655 102.481 109.315 100.251 75.186 113.856 72.711 101.814 116.672 73.704
0.145 104.594 100.929 108.399 101.430 78.370 108.997 73.190 101.516 119.347 72.286
0.150 106.036 99.890 108.424 101.776 78.247 109.565 72.820 102.390 124.969 68.854
0.155 103.539 102.510 106.812 103.669 80.463 106.781 70.643 105.799 122.919 70.246
0.160 98.767 107.267 108.294 102.592 79.268 108.765 69.306 108.206 120.688 71.795
0.165 98.018 108.438 106.799 104.385 79.757 108.490 71.149 105.624 123.767 70.151
0.170 96.729 110.258 103.968 107.468 81.509 106.530 71.636 105.286 124.423 70.035
0.175 100.313 106.465 103.357 108.466 79.243 109.829 73.034 103.629 122.842 71.178
0.180 101.736 105.328 102.926 109.314 78.097 111.825 71.629 106.006 122.360 71.717
0.185 100.933 106.513 103.743 108.844 79.164 110.686 69.939 108.792 121.904 72.246
0.190 103.116 104.622 101.675 111.383 80.698 108.958 70.423 108.436 118.976 74.179
0.195 104.933 103.165 102.387 111.008 81.580 108.131 71.112 107.733 118.006 75.034
0.200 107.022 101.502 102.858 110.903 83.376 106.173 71.381 107.718 116.500 76.263
0.205 104.098 104.592 102.637 111.546 80.961 109.599 72.093 106.998 111.180 79.763
0.210 105.540 103.508 102.322 112.294 81.279 109.567 69.775 110.829 112.602 79.017
0.215 105.102 104.314 98.004 116.987 81.378 109.834 72.069 107.559 112.928 79.076
0.220 105.360 104.438 99.791 115.287 80.341 111.630 70.756 109.939 113.743 78.794
0.225 105.724 104.459 97.516 118.216 79.287 113.501 70.810 110.255 116.085 77.473
0.230 108.222 102.319 101.069 114.339 79.025 114.290 70.510 111.125 113.934 79.213
0.235 110.444 100.610 100.956 114.883 79.930 113.365 70.304 111.854 111.259 81.286
0.240 110.708 100.737 100.889 115.378 79.485 114.389 70.674 111.674 112.164 80.920
0.245 109.312 102.370 103.170 113.224 81.101 112.501 70.399 112.516 114.061 79.846
0.250 106.978 104.839 105.008 111.625 83.506 109.506 70.013 113.524 112.335 81.354
0.255 110.592 101.659 105.283 111.739 83.288 110.191 70.306 113.462 115.022 79.646
0.260 110.031 102.536 103.039 114.432 83.973 109.684 67.495 117.912 117.104 78.499
0.265 108.799 104.046 103.943 113.831 80.743 113.921 69.597 114.614 118.524 77.814
0.270 107.695 105.463 105.569 112.457 85.065 101.240 68.822 116.295 114.731 80.588
0.275 110.632 102.882 105.551 112.886 84.693 102.051 68.697 116.930 109.170 84.407
0.280 110.851 103.054 89.467 119.587 85.434 101.517 69.076 116.711 111.415 82.994
0.285 111.872 102.457 89.554 119.906 81.052 106.412 69.439 116.524 109.265 84.901
0.290 112.780 101.999 90.560 118.962 82.829 104.495 67.855 119.486 111.194 83.714
0.295 111.745 103.284 93.113 115.952 80.948 107.138 67.748 120.111 111.111 84.082
0.300 109.247 105.857 93.499 115.894 83.188 104.478 67.932 120.222 108.151 86.577
0.305 109.039 106.445 90.645 119.835 83.308 104.708 68.510 119.628 110.745 84.750
0.310 107.900 107.928 92.215 118.197 82.937 105.556 67.272 122.257 111.575 84.423
0.315 104.924 111.245 93.929 116.442 86.168 101.403 68.748 120.052 109.279 86.423
0.320 106.895 109.571 95.138 115.344 86.978 100.793 70.697 116.997 108.322 87.474
0.325 104.774 112.121 91.079 120.226 86.688 101.496 72.108 115.106 111.246 85.355
0.330 108.071 108.953 89.259 123.033 88.035 100.282 72.943 114.162 114.867 82.860
0.335 105.892 111.508 92.240 119.344 89.855 98.594 73.879 113.088 115.634 82.609
0.340 106.754 111.007 88.295 124.412 88.298 100.682 74.510 112.527 112.089 85.430
0.345 104.811 113.462 87.788 125.553 88.601 100.705 73.915 113.803 113.943 84.326
0.350 117.171 81.209 92.286 117.219 86.902 103.010 75.987 110.940 117.417 82.019
0.355 118.302 80.696 92.117 117.861 87.696 102.424 74.925 112.898 122.893 78.222
0.360 118.666 80.741 91.580 118.951 86.736 103.906 74.355 114.133 120.407 80.059
0.365 118.646 81.050 89.945 121.538 85.991 105.150 74.174 114.829 119.056 81.240
0.370 116.281 82.940 89.069 123.140 90.115 99.852 73.787 115.832 122.957 78.850
0.375 115.040 84.115 89.806 122.568 93.045 96.936 72.545 118.226 130.488 66.046
0.380 109.722 88.032 89.448 123.503 95.123 95.151 70.935 121.150 133.185 64.934
0.385 110.791 87.466 90.457 122.525 92.549 98.020 71.809 120.070 138.212 62.584
0.390 108.501 89.542 91.505 121.518 90.111 100.897 72.117 119.992 142.383 60.889
0.395 105.906 91.928 97.132 101.617 89.388 102.046 72.227 120.247 143.914 60.437
0.400 107.156 91.154 99.211 99.836 91.256 100.305 73.803 118.092 141.821 61.540
0.405 105.798 92.638 97.652 101.781 91.056 100.891 69.974 123.806 140.030 62.540
0.410 105.340 93.377 98.695 101.033 90.598 101.757 69.394 125.250 135.118 64.873
0.415 104.331 94.593 99.896 100.146 93.372 98.961 68.363 127.578 134.909 65.210
0.420 105.042 94.293 100.144 100.263 93.863 98.802 66.888 130.670 135.868 64.984
0.425 104.022 95.535 105.262 93.782 95.183 97.757 68.036 128.906 137.591 64.383
0.430 104.843 95.129 107.576 92.086 96.439 96.805 67.179 130.995 141.368 62.797
0.435 103.462 96.728 111.406 89.143 93.856 99.694 69.372 127.156 143.078 62.250
0.440 102.635 97.826 109.142 91.241 92.303 101.724 70.192 126.084 147.935 60.353
0.445 106.558 94.166 109.310 91.434 90.026 104.520 71.877 123.415 148.504 60.341
0.450 109.574 91.773 111.493 89.955 91.248 103.464 73.070 121.815 146.298 61.462
0.455 106.205 94.917 118.539 74.345 91.746 103.277 74.843 119.182 143.861 62.722
0.460 110.376 91.112 122.631 72.041 90.881 104.606 74.797 119.689 144.229 62.790
0.465 110.998 90.930 123.981 71.489 92.764 102.839 75.283 119.348 142.954 63.559
0.470 112.973 89.648 125.660 70.769 93.346 102.569 75.443 119.530 148.232 61.393
0.475 111.037 91.530 123.324 72.363 94.344 101.814 77.934 115.987 146.270 62.429
0.480 110.105 92.607 123.384 72.592 97.064 99.179 77.178 117.512 146.796 62.433
0.485 105.258 96.677 128.188 69.741 94.414 102.196 76.615 118.760 144.500 63.644
0.490 107.204 95.249 130.824 68.574 92.332 104.707 76.552 119.291 143.857 64.160
0.495 105.638 96.995 128.258 70.161 93.124 104.182 76.476 119.844 144.839 63.955
0.500 107.334 95.787 126.950 71.121 93.528 104.110 74.749 122.859 147.782 62.900
0.505 105.505 97.788 130.317 69.427 93.131 104.931 75.714 121.695 151.619 61.435
0.510 102.370 101.025 129.429 70.129 91.227 107.408 76.352 121.108 152.106 61.461
0.515 100.269 103.414 130.570 69.757 93.139 105.571 76.513 121.294 156.693 59.797
0.520 101.482 102.514 128.178 71.308 87.847 110.831 77.203 120.619 160.728 58.416
0.525 102.755 101.579 129.214 70.992 89.750 108.861 78.200 119.477 159.406 59.093
0.530 103.048 101.660 131.832 69.825 92.632 105.723 78.158 119.977 153.668 61.319
0.535 104.302 100.768 99.208 75.526 90.631 108.287 77.178 121.914 153.144 61.751
0.540 109.533 94.929 103.646 72.151 92.574 106.385 74.710 126.257 152.341 62.293
0.545 112.535 92.594 100.586 74.524 92.742 106.580 74.887 126.417 152.172 62.589
0.550 113.846 91.828 97.574 77.010 87.562 111.861 74.381 127.688 156.753 60.898
0.555 116.856 89.649 98.390 76.643 82.365 117.516 75.783 125.759 160.442 59.661
0.560 113.597 92.434 99.133 76.344 80.553 120.398 76.160 125.592 161.921 59.315
0.565 111.629 94.393 95.953 79.071 83.656 115.796 75.061 127.869 159.920 60.261
0.570 111.373 94.954 95.593 79.656 84.215 115.445 74.713 128.925 163.842 58.935
0.575 107.784 98.361 109.266 55.632 82.258 118.434 76.613 125.984 163.971 59.103
0.580 109.390 97.244 108.721 56.108 81.012 120.671 76.085 127.267 163.445 59.508
0.585 110.450 96.625 109.899 55.687 81.877 119.785 79.084 122.150 167.809 58.082
0.590 111.534 95.995 114.964 53.135 81.775 120.370 78.505 123.452 169.264 57.784
0.595 107.010 99.819 114.847 53.383 84.607 116.628 78.055 124.582 170.700 57.501
0.600 107.421 99.800 114.782 53.607 85.340 116.031 78.320 124.614 163.523 59.893
0.605 107.708 99.897 123.519 41.063 66.978 124.020 75.783 129.110 162.170 60.591
0.610 104.774 102.928 121.930 41.739 68.254 122.123 59.223 138.046 168.970 58.026
0.615 103.977 104.056 125.313 40.700 70.921 117.285 59.678 137.490 165.499 59.399
0.620 103.613 104.799 126.461 40.467 63.309 123.541 61.296 134.143 168.313 58.606
0.625 103.574 105.220 124.488 41.251 63.097 124.405 63.077 130.644 161.532 60.921
0.630 105.237 103.910 123.563 41.694 65.304 120.498 63.617 129.991 157.789 62.494
0.635 109.262 100.014 126.880 40.690 66.518 118.707 60.778 135.797 158.326 62.510
0.640 110.119 99.594 125.990 41.110 64.839 122.046 65.065 105.489 155.805 63.741
0.645 111.821 98.410 127.292 40.821 65.780 120.705 64.983 106.007 153.115 65.088
0.650 100.457 103.633 127.772 40.816 65.879 120.962 65.983 104.753 154.754 64.608
0.655 98.658 105.892 122.216 42.583 67.566 118.182 64.970 106.755 158.033 63.489
0.660 98.656 106.281 127.604 40.704 70.098 113.990 66.210 105.119 157.758 63.830
0.665 99.796 105.411 125.927 41.387 71.640 111.927 66.708 104.711 158.464 63.777
0.670 101.405 104.091 124.652 41.950 72.398 111.115 64.844 107.971 155.610 65.175
0.675 103.851 101.869 125.395 41.853 75.174 106.921 62.837 111.693 151.565 67.062
0.680 101.617 104.335 123.895 42.503 73.632 109.450 65.123 108.046 154.277 66.110
0.685 102.050 104.271 123.111 42.913 74.101 109.152 64.653 109.183 154.079 66.436
0.690 105.482 101.122 122.591 43.251 75.287 107.797 62.798 112.673 157.097 65.386
0.695 106.096 100.903 119.135 44.609 75.447 107.962 61.972 114.565 155.341 66.347
0.700 108.137 99.341 117.599 45.346 77.633 105.154 65.100 107.794 153.086 67.557
0.705 108.314 99.541 118.302 45.240 80.862 100.733 64.775 108.716 148.468 69.827
0.710 102.898 104.303 116.438 46.124 77.229 105.268 62.917 112.189 147.263 70.628
0.715 103.180 104.397 118.255 45.569 77.378 105.449 64.902 109.012 149.387 69.858
0.720 104.666 103.261 115.268 46.851 77.837 105.208 64.339 110.329 146.924 71.277
0.725 107.147 101.131 110.045 48.982 77.508 106.037 66.812 106.137 140.654 74.295
0.730 106.871 101.761 110.357 49.022 80.173 102.763 66.194 107.483 138.839 75.523
0.735 105.202 103.734 109.871 49.416 80.044 103.303 66.582 107.244 139.094 75.659
0.740 103.041 106.188 110.298 49.404 79.062 104.942 67.359 106.355 135.336 77.937
0.745 103.609 105.991 112.663 48.537 78.927 105.503 69.752 102.963 108.162 83.175
0.750 100.132 109.883 110.933 49.464 77.241 108.048 71.226 101.185 108.248 83.411
0.755 101.932 108.314 110.694 49.751 77.824 107.627 71.234 101.542 111.473 81.181
0.760 93.969 113.946 108.568 50.891 74.250 112.599 72.043 100.730 112.087 81.030
0.765 91.504 117.276 109.691 50.533 75.156 111.608 70.347 103.372 114.690 79.429
0.770 91.471 117.746 110.622 50.285 75.093 112.109 71.380 102.219 115.525 79.140
0.775 89.203 120.999 110.331 50.601 75.610 111.746 73.306 99.743 118.358 77.398
0.780 91.998 117.596 110.251 50.822 76.278 111.150 74.766 98.136 120.115 76.523
0.785 91.602 118.530 114.027 49.259 78.169 108.678 77.363 95.076 122.556 75.260
0.790 94.230 115.478 115.757 48.687 77.509 109.963 79.053 93.369 121.806 75.974
0.795 97.007 112.424 114.128 49.552 75.014 113.905 80.895 91.512 103.729 80.425
0.800 97.273 112.526 114.890 49.401 75.232 113.989 80.936 91.799 105.774 79.144
0.805 90.988 118.276 117.193 48.599 74.188 115.991 85.742 77.801 102.480 81.890
0.810 92.857 116.299 121.137 47.131 72.724 118.683 84.631 79.091 101.925 82.619
0.815 89.280 120.794 120.826 47.423 74.186 116.749 82.988 80.912 103.770 81.429
0.820 87.904 123.110 123.466 46.572 71.211 121.336 83.330 80.874 107.311 78.935
0.825 90.297 120.102 125.192 46.084 70.643 122.711 83.415 81.087 107.987 78.726
0.830 90.912 119.722 128.550 44.974 70.997 122.545 84.066 80.749 103.123 82.281
0.835 89.518 122.006 130.199 44.552 72.801 119.750 84.789 80.342 104.434 81.516
0.840 91.831 119.177 134.852 43.122 74.782 116.825 86.484 79.041 103.112 82.843
0.845 93.939 116.880 130.756 44.581 75.650 115.863 85.617 80.108 106.457 80.430
0.850 94.178 117.009 132.011 44.303 77.626 113.147 82.912 82.927 108.251 79.368
0.855 82.219 123.356 134.955 43.488 76.548 115.134 82.235 83.884 106.130 81.204
0.860 84.065 121.071 130.168 45.117 77.605 113.945 84.964 81.384 104.969 82.377
0.865 85.821 119.007 128.616 45.816 73.607 119.447 86.089 80.588 105.969 81.869
0.870 88.289 115.935 124.950 47.271 70.873 123.999 83.040 83.605 105.401 82.594
0.875 89.050 115.348 126.878 46.710 71.262 123.772 83.371 83.577 104.340 83.713
0.880 88.696 116.227 128.180 46.385 70.192 126.092 84.203 83.018 103.746 84.477
0.885 93.049 109.922 130.470 45.728 71.565 124.102 81.362 86.073 106.288 82.619
0.890 93.374 109.937 131.023 45.701 72.983 122.115 83.984 83.582 110.333 79.563
0.895 95.322 108.067 133.275 45.082 70.653 126.456 84.304 83.569 105.214 83.284
0.900 94.546 109.311 135.757 44.411 70.144 127.787 82.371 85.704 106.002 82.963
0.905 93.982 110.333 136.662 44.277 70.570 127.477 79.766 88.723 108.994 80.862
0.910 94.266 110.402 137.730 44.092 71.676 125.936 82.558 85.935 109.816 80.547
0.915 97.709 106.753 136.074 44.780 74.273 121.839 84.792 83.848 110.090 80.639
0.920 98.894 105.822 136.983 44.645 74.737 121.522 85.493 83.459 113.630 78.312
0.925 99.245 105.832 133.299 45.982 73.389 124.188 89.031 79.965 112.661 79.245
0.930 96.340 109.282 132.744 46.341 71.660 127.447 89.953 79.401 115.003 77.902
0.935 96.374 109.643 133.277 46.324 72.941 125.639 91.784 78.088 117.457 76.541
0.940 98.704 107.290 130.673 47.394 74.527 123.397 90.459 79.505 116.470 77.443
0.945 99.639 106.635 135.015 45.980 75.372 122.413 88.035 81.879 115.639 78.252
0.950 102.187 104.188 138.470 44.925 76.381 121.197 87.504 82.649 117.735 77.124
0.955 102.614 104.133 140.515 44.420 75.804 122.517 91.601 78.807 119.570 76.198
0.960 106.806 99.820 140.558 44.568 74.642 124.856 90.504 80.032 120.709 75.728
0.965 108.246 98.820 132.568 46.789 75.928 123.161 93.299 77.814 117.959 77.650
0.970 106.915 100.390 132.576 46.957 76.378 122.881 95.563 76.131 115.881 79.319
0.975 109.559 98.162 130.601 47.832 77.400 121.662 95.420 76.522 122.339 68.667
0.980 109.214 98.829 131.736 47.585 77.571 121.837 95.468 76.763 119.616 70.371
0.985 105.924 102.145 130.874 48.053 77.620 122.203 97.074 75.751 121.608 69.454
0.990 104.940 103.445 126.785 49.725 79.106 120.323 96.798 76.243 119.678 70.819
0.995 107.372 101.410 126.060 50.180 78.325 121.927 98.762 74.987 120.717 70.455
1.000 108.874 100.346 125.782 50.474 77.531 123.588 100.251 74.122 123.126 69.316

Page 6
 Zero_Curve

Input Market Data for Zero Curve Construction LIBOR Zeroes OIS Zeroes
All Rates are Actual/Actual Time Zero Time Zero
0.000 3.0880% 0.000 2.9888% 4.5000%
LIBOR Deposit Data: OIS Swaps (< 1 Year): 0.250 3.0880% 0.250 2.9888%

LIBOR Zero Rate

Life (Yrs) Rate (%) Life (Yrs) Rate (%) 0.500 3.2731% 0.500 3.1747% 4.0000%
0.25 3.1000% 0.25 3.0000% 0.750 3.3574% 0.750 3.2598%
0.5 3.3000% 0.5 3.2000% 1.000 3.4516% 1.000 3.3731% 3.5000%
0.75 3.4000% 0.75 3.3000% 2.000 3.5711% 2.000 3.4725%
3.000 3.6721% 3.000 3.5737% 3.0000%
5.000 3.7741% 4.000 3.6243%
7.000 3.8692% 5.000 3.6759% 2.5000%
10.000 3.9668% 7.000 3.7819%
2.0000%
15.000 4.0441% 10.000 3.8907%
LIBOR Swap Data: OIS Swap Data: 20.000 4.1042% 15.000 3.9426%
1.5000%
Settlement Frequency: Coupon Frequency: 30.000 4.2502% 20.000 4.0036%
30.000 4.1506% 1.0000%
Semi-Annual Semi-Annual
Life (Yrs) Rate (%) Life (Yrs) Rate (%) 0.5000%
1 3.4800% 1 3.4000%
2 3.6000% 2 3.5000% 0.0000%
3 3.7000% 3 3.6000% 0.000 5.000 10.000 15.000 20.000 25.000 30.000
Time
5 3.8000% 4 3.6500%
7 3.8900% 5 3.7000%
10 3.9800% 7 3.8000%
15 4.0500% 10 3.9000%
20 4.1000% 15 3.9500%
30 4.2000% 20 4.0000%
30 4.1000%

Use OIS Discounting

Page 7
 LIBOR Zeroes: OIS Zeroes:
Underlying Type: Time (Yrs) Rate (%) Time (Yrs) Rate (%)
1 1.000% 1 0.500%
Swap
2 2.000% 2 1.500%
Notional: 100 3 3.000% 3 2.500%
Swap End (Years): 5.00 4 4.000% 4 3.500%
Swap Rate (%): 5.00% 5 5.000% 6 4.500%
Last Reset (%):

Rec. Fixed Pay Fixed

Settlement Frequency:

Semi-Annual

Results:
Price: 0.6532888
Break-Even Swap Rate: 0.0485657 Use OIS Discounting
DV01 (Per basis point): -0.0466524
Gamma (per % per %): -0.0233262
 Term Structure: At each node:
Bond Data: Time (Yrs) Rate (%) Upper value = Cash Bond Price per $100 of Principal
Principal: 1,000 Coupon Frequency: 1 5.000% Middle value = Option Price per $100 of Principal 76.4373308
Bond Life (Years): 5 2 5.500% Lower value = dt-period Rate 0
Coupon Rate (%): 6.000% Semi-Annual 3 5.750% Values in red are a result of early exercise. 14.333%
Quoted Bond Price (/100): 99.78666 4 5.900%
5 6.000% Strike price = 101 78.29342 79.41899 Pu: 14.012%
Pricing Model: Time step, dt = 0.1250 years, 45.63 days 0 0 Pm: 66.350%
12.854% 13.075% Pd: 19.637%
LogNormal - American
Option Data: 80.15223 81.19102 82.2724805 Pu: 14.292%
Strike Price (/100):
Option Life (Years):
101.00
1.25
Imply Volatility 0
11.481%
0
11.726%
0
11.927%
Pm:
Pd:
66.417%
19.292%
Short-Rate Volatility (%):
Reversion Rate (%):
15.00%
5.00%
Quoted Strike 85.05122 82.96117 83.9584 84.994619 Pu: 14.575%
Tree Steps: 10 Call
Put
9.425%
0
10.473%
0
10.697%
0
10.880%
0 Pm:
Pd:
66.475%
18.950%

Results: 86.90319 87.76609 85.63868 86.59347 87.5838248 Pu: 14.862%

Price: 4.984824 0 0 0 0 0 Pm: 66.526%
DV01 (Per basis point): -0.115901 8.608% 8.598% 9.554% 9.758% 9.926% Pd: 18.612%
Gamma01 (Per % Per %): 20.19645
Vega (per %): 0.639894 88.70413 89.52244 90.34893 88.1837 89.09564 90.039917 Pu: 15.153%
0 0 0 0 0 0 Pm: 66.569%
7.862% 7.853% 7.843% 8.716% 8.901% 9.054% Pd: 18.278%

90.45096 91.22698 92.00986 92.79968 90.59652 91.46556 92.3639213 Pu: 15.448%

2.9E-005 0 0 0 0 0 0 Pm: 66.604%
7.181% 7.172% 7.163% 7.155% 7.951% 8.120% 8.260% Pd: 17.948%

95.11688 92.8773 93.61892 94.3663 95.11949 92.87856 93.70497 94.5579135 Pu: 15.747%
0.001882 0.000719 0.000163 0 0 0 0 0 Pm: 66.632%
6.560% 6.551% 6.543% 6.535% 6.527% 7.253% 7.408% 7.535% Pd: 17.622%

96.72917 97.44928 95.17421 95.88151 96.59357 97.31044 95.03215 95.81652 96.6248474 Pu: 16.049%
0.023365 0.014644 0.008024 0.003497 0.000935 0 0 0 0 Pm: 66.651%
5.992% 5.984% 5.976% 5.969% 5.961% 5.954% 6.616% 6.757% 6.874% Pd: 17.299%

98.28613 98.96816 99.65408 97.34392 98.0172 98.69435 99.3754 97.06038 97.80349 98.5681612 Pu: 16.356%
0.135444 0.105273 0.077911 0.053702 0.03311 0.016762 0.005444 0 0 0 Pm: 66.663%
5.473% 5.466% 5.459% 5.452% 5.445% 5.438% 5.432% 6.036% 6.164% 6.270% Pd: 16.981%

99.78666 100.4327 101.0818 101.7341 99.38939 100.0292 100.672 101.3179 98.96698 99.66983 100.392059 Pu: 16.667%
0.498482 0.432133 0.367317 0.304232 0.243408 0.185056 0.129613 0.078009 0.032277 0 0 Pm: 66.667%
5.000% 4.993% 4.986% 4.980% 4.973% 4.967% 4.961% 4.955% 5.506% 5.623% 5.720% Pd: 16.667%

102.4567 103.0735 103.6927 101.3142 101.9212 102.5304 103.1421 100.7562 101.4199 102.10104 Pu: 16.981%
1.145668 1.034493 0.922838 0.809457 0.696221 0.582041 0.465036 0.341851 0.195002 0 Pm: 66.663%
4.555% 4.549% 4.543% 4.537% 4.531% 4.525% 4.520% 5.023% 5.130% 5.218% Pd: 16.356%

104.9469 105.5338 103.1225 103.6974 104.274 104.8524 102.4325 103.0584 103.699896 Pu: 17.299%
2.446873 2.283795 2.12247 1.947379 1.774021 1.602396 1.432504 1.308445 1.19989563 Pm: 66.651%
4.149% 4.144% 4.139% 4.133% 4.128% 4.123% 4.582% 4.680% 4.760% Pd: 16.049%

107.2618 104.8186 105.3624 105.9074 106.4535 104.0009 104.5904 105.193756 Pu: 17.622%
4.011789 3.818557 3.612368 3.407358 3.203524 3.00086 2.840383 2.69375592 Pm: 66.632%
3.780% 3.775% 3.771% 3.766% 3.761% 4.180% 4.269% 4.342% Pd: 15.747%

106.4072 106.9209 107.4353 107.9504 105.4662 106.0207 106.587551 Pu: 17.948%

5.407156 5.170878 4.935293 4.700394 4.466171 4.270703 4.08755073 Pm: 66.604%
3.444% 3.440% 3.435% 3.431% 3.813% 3.894% 3.961% Pd: 15.448%

108.3778 108.8628 109.348 106.8335 107.3546 107.886513 Pu: 18.278%

6.627823 6.362802 6.098039 5.833522 5.604551 5.38651335 Pm: 66.569%
3.138% 3.134% 3.130% 3.478% 3.553% 3.614% Pd: 15.153%

110.1949 110.6516 108.108 108.5971 109.095816 Pu: 18.612%

7.694937 7.401555 7.108049 6.847096 6.59581592 Pm: 66.526%
2.859% 2.855% 3.173% 3.241% 3.296% Pd: 14.862%

111.866 109.2948 109.7534 110.220605 Pu: 18.950%

8.616001 8.29483 8.00344 7.72060451 Pm: 66.475%
2.605% 2.895% 2.956% 3.007% Pd: 14.575%

110.3988 110.8285 111.26565 Pu: 19.292%

9.398803 9.078467 8.76565015 Pm: 66.417%
2.641% 2.697% 2.743% Pd: 14.292%

111.8271 112.235905 Pu: 19.637%

10.07708 9.73590463 Pm: 66.350%
2.460% 2.502% Pd: 14.012%

113.136006
10.6360059
2.283%
Node Time:
0.000 0.125 0.250 0.375 0.500 0.625 0.750 0.875 1.000 1.125 1.250
Accrual:
0.000 0.750 1.500 2.250 0.000 0.750 1.500 2.250 0.000 0.750 1.500
 Term Structure: Chart: Progress: 100.00%
Bond Data: Time (Yrs) Rate (%) Vertical (Y) Axis: Time to Exercise DV01
Principal: 1,000 Coupon Frequency: 1 5.000% 1.2500 0.2712
DV01
Bond Life (Years): 5 2 5.500% 1.3500 0.2503
Semi-Annual
Coupon Rate (%): 6.000% 3 5.750% Horizontal (X) Axis: 1.4500 0.2337
4 5.900% Time to Exercise 1.5500 0.2568
5 6.000% 1.6500 0.2414
Pricing Model: Minimum X value: 1.25 1.7500 0.2268
Maximum X value: 2.25 1.8500 0.2093
LogNormal - American
Number of X Values: 11 1.9500 0.1952
Option Data: 2.0500 0.2133
Strike Price (/100): 101.00 2.1500 0.2002
Quoted Strike
Option Life (Years): 1.25 2.2500 0.1877
Short-Rate Volatility (%): 15.00%
Reversion Rate (%): 5.00% Call Put
Tree Steps: 10

0.3000

0.2500
DV01

0.2000

0.1500

0.1000

0.0500

0.0000
1.2500 1.3500 1.4500 1.5500 1.6500 1.7500 1.8500 1.9500 2.0500 2.1500 2.2500
Time to Exercise
 LIBOR Zeroes:
Underlying Type: Time (Yrs) Rate (%)
1 4.000%
Swap Option
Settlement Frequency: 2 4.000%
Principal : 1,000 3 4.000%
Semi-Annual
Swap Start (Years): 2.00 4 4.000%
Swap End (Years): 6.00 6 4.000%
Swap Rate (%): 5.63% Imply Breakeven Rate

Pricing Model:

Black - European

Volatility (%): 20.00% Imply Volatility

Rec. Fixed

Pay Fixed

Results:
Price: 2.6679565
DV01 (Per basis point): 0.0518413
Use OIS Discounting
Gamma01 (Per % Per %): 7.2132501
Vega (per %): 0.4658216
 OIS Zeroes:
Time (Yrs) Rate (%)
1 0.500%
2 1.500%
3 2.500%
4 3.500%
6 4.500%

Use OIS Discounting

 Term Structure:
Underlying Type: Time (Yrs) Rate (%)
1 4.000%
Swap Option
Settlement Frequency: 2 4.000%
Principal : 1,000 3 4.000%
Semi-Annual
Swap Start (Years): 2.00 4 4.000%
Swap End (Years): 6.00 6 4.000%
Swap Rate (%): 5.63%

Pricing Model:

Black - European

Volatility (%): 20.00%

Rec. Fixed

Pay Fixed

0.0350

0.0300

0.0250
DV01

0.0200

0.0150

0.0100

0.0050

0.0000
2.0000 2.5000 3.0000 3.5000 4.0000 4.5000 5.0000
Swap Start
 Chart: Progress: 100.00%
Vertical (Y) Axis: Swap Start DV01
2.0000 0.0244
DV01
2.1995 0.0266
Horizontal (X) Axis: 2.3990 0.0284
2.5985 0.0297
Time to Start
2.7980 0.0305
Minimum X value: 2.00 2.9975 0.0310
Maximum X value: 5.99 3.1970 0.0308
Number of X Values: 21 3.3965 0.0304
3.5960 0.0296
3.7955 0.0285
3.9950 0.0272
4.1945 0.0253
4.3940 0.0234
4.5935 0.0212
4.7930 0.0187
4.9925 0.0161
5.1920 0.0132
5.3915 0.0101
5.5910 0.0070
5.7905 0.0036
5.9900 0.0002

4.5000 5.0000 5.5000

 CDS Data Default Rate Data Term Structure
Life(Yrs) Spread (bp) Time (Yrs) Hazard Rate Time (Yrs) Rate (%)
5 700.00 5 0.06974204 1 3.000% Cont. Comp
2 3.000% 0.08
3 3.000%
4 3.000%
0.07
5 3.000%

0.06

0.05

0.04

0.03

0.02

Calculate Spreads 0.01

Recovery Rate 0 Imply Hazard Rates
0
Payment Frequency: Quarterly 0 1 2
 Cont. Compounded Hazard Rates
8

0
0 1 2 3 4 5 6
Time (Yrs)
 CD0 Data Default Rate Data Term Structure
Time (Yrs) Hazard Rate Time (Yrs)
Life (Years) 5 10 0.5 1
Recovery Rate 0 2
Number of Names 250 3
No. of Integration Points 10 4
5
Payment Frequency: Quarterly

Imply Corr.

Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr
0.00% 100.00% 5011.09 0.1000 Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
Calculate Upfront
 Term Structure
Rate (%)
3.000%
3.000%
3.000%
3.000%
3.000%

ExpLoss PVPmts Base Corr.

culate Upfront 87.667% 1.7495
culate Upfront
culate Upfront
culate Upfront
culate Upfront