The Options Calculator

The Options Calculator enables readers to carry out calculations for European and American calls and puts, exotic options, and interest rate derivatives. Features of the software are

It is Excel-based
It calculates prices, implied volatilities, and the Greeks
It implements normal and lognormal interest rate models to value American-style interest rate options
It displays charts showing the relationships between variables
It displays the binomial/trinomial trees used for valuation
Version 1.51 of the software is an improvement over previous versions in that worksheets are unlocked

IMPORTANT NOTE:

You need both DG151.xls and DG151.dll to run the software. The second of these files should be loaded in the Windows\System or WINNT\System32 directory of your computer. You will be downloading a file named DG151.exe. When you run this, both files will be placed in the same directory. (The default directory is C:\DerivaGem.) It is important that you move the DG151.dll file to Windows\System or Windows\System32 before using the software.

The Applications Builder

The disk accompanying Options, Futures, and Other Derivatives and Fundamentals of Futures and Options Markets contains a third file DGfunctions.xls. This contains a number of functions from which users can build their own applications. It includes a number of sample applications and enables readers to explore the properties of options and numerical procedures more easily.

Bivariate Normal Distribution

To download a function for calculating the cumulative bivariate normal distribution function

Operational Risk Calculator

To download the Excel spreadsheet used to create Figure 14.2 in Risk Management and Financial Institutions