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<HTML> <HEAD> <META HTTP-EQUIV="Content-Type" CONTENT="text/html; charset=windows-1252"> <META NAME="Generator" CONTENT="Microsoft Word 97"> <TITLE>Values returned by ValueCalc 3.0</TITLE> <META NAME="Template" CONTENT="C:\PROGRAM FILES\MICROSOFT OFFICE\OFFICE\html.dot"> </HEAD> <BODY TEXT="#000080" LINK="#0000ff" VLINK="#000080" ALINK="#ff0000"> <H3>Values returned by ValueCalc 3.0 screens and add-in functions</H3> <P>To see a full-size image of any of the screens, click on the small "thumbnail" image at the left. </P> <P><HR></P> <H3>Cash/Forwards</H3> <TABLE CELLSPACING=0 BORDER=0 WIDTH=623> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="coupbond.gif"><IMG SRC="coupbond.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="11%" VALIGN="MIDDLE"> <B><P>Coupon Bond</B> </TD> <TD WIDTH="43%" VALIGN="MIDDLE"> <P>Value; Accrued Interest; Price; Delta; Gamma; Theta </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="cbondyld.gif"><IMG SRC="cbondyld.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="11%" VALIGN="MIDDLE"> <B><P>Coupon Bond Yield</B> </TD> <TD WIDTH="43%" VALIGN="MIDDLE"> <P>Continuously Compounded and Semiannually Compounded Yields to Maturity; Market and Model Values of Bond </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="forward.gif"><IMG SRC="forward.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="11%" VALIGN="MIDDLE"> <B><P>Forward Contract</B> </TD> <TD WIDTH="43%" VALIGN="MIDDLE"> <P>Value; Delta; Theta; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="frwardpr.gif"><IMG SRC="frwardpr.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="11%" VALIGN="MIDDLE"> <B><P>Forward Price</B> </TD> <TD WIDTH="43%" VALIGN="MIDDLE"> <P>Delivery Price </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="zerobond.gif"><IMG SRC="zerobond.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="11%" VALIGN="MIDDLE"> <B><P>Zero-Coupon Bond</B> </TD> <TD WIDTH="43%" VALIGN="MIDDLE"> <P>Value; Continuously Compounded Yield; Delta; Gamma; Theta </TD> </TR> </TABLE> <P><HR></P> <H3>Swaps</H3> <TABLE CELLSPACING=0 BORDER=0> <TR><TD VALIGN="MIDDLE"> <P><A HREF="a_swap.gif"><IMG SRC="a_swap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Amortizing Swap</B> </TD> <TD VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="a_swprt.gif"><IMG SRC="a_swprt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Amortizing Swap Rate</B> </TD> <TD VALIGN="MIDDLE"> <P>Equilibrium Fixed Swap Rate; Market and Model Values of Swap </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="ffcrswap.gif"><IMG SRC="ffcrswap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Fixed for Fixed Currency Swap</B> </TD> <TD VALIGN="MIDDLE"> <P>Value; Delta and Gamma of Yield in each currency; Delta of each FX; Theta </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="ffcrsprt.gif"><IMG SRC="ffcrsprt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Fixed for Fixed Currency Swap Rate</B> </TD> <TD VALIGN="MIDDLE"> <P>Equilibrium Fixed Swap Rate; Market and Model Values of Swap </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="flcrswap.gif"><IMG SRC="flcrswap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Fixed for Floating Currency Swap</B> </TD> <TD VALIGN="MIDDLE"> <P>Value; Delta and Gamma of Yield in each currency; Delta of each FX; Theta </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="flcrsprt.gif"><IMG SRC="flcrsprt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Fixed for Floating Currency Swap Rate</B> </TD> <TD VALIGN="MIDDLE"> <P>Equilibrium Fixed Swap Rate; Market and Model Values of Swap </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="f_swap.gif"><IMG SRC="f_swap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Forward Swap</B> </TD> <TD VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="f_swprt.gif"><IMG SRC="f_swprt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Forward Swap Rate</B> </TD> <TD VALIGN="MIDDLE"> <P>Equilibrium Fixed Swap Rate; Market and Model Values of Swap </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="swap.gif"><IMG SRC="swap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Swap</B> </TD> <TD VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="swaprate.gif"><IMG SRC="swaprate.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Swap Rate</B> </TD> <TD VALIGN="MIDDLE"> <P>Equilibrium Fixed Swap Rate; Market and Model Values of Swap </TD> </TR> </TABLE> <P><HR></P> <H3>Equity/Commodity/FX Options</H3> <TABLE CELLSPACING=0 BORDER=0> <TR><TD VALIGN="MIDDLE"> <P><A HREF="ameropt.gif"><IMG SRC="ameropt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>American Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="euroopt.gif"><IMG SRC="euroopt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>European Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="volamer.gif"><IMG SRC="volamer.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Implied Volatility for American Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Implied Volatility; Market and Model Values of Option </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="voleuro.gif"><IMG SRC="voleuro.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Implied Volatility for European Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Implied Volatility; Market and Model Values of Option </TD> </TR> </TABLE> <P><HR></P> <H3>Exotic Options</H3> <TABLE CELLSPACING=0 BORDER=0 WIDTH=623> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="avgopt.gif"><IMG SRC="avgopt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Average Price Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="barrier.gif"><IMG SRC="barrier.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Barrier Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta; Vega; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="binary.gif"><IMG SRC="binary.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Binary Barrier Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta; Vega; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="binstrik.gif"><IMG SRC="binstrik.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Binary Strike Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta; Vega; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="compound.gif"><IMG SRC="compound.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Compound Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta; Vega; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="xchngopt.gif"><IMG SRC="xchngopt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Exchange Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta and Gamma of spot market value of each asset exchanged; Theta; Vega; Rho; Lambda </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="lookback.gif"><IMG SRC="lookback.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Lookback Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call </TD> </TR> <TR><TD WIDTH="46%" VALIGN="MIDDLE"> <P><A HREF="quanto.gif"><IMG SRC="quanto.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD WIDTH="12%" VALIGN="MIDDLE"> <B><P>Quanto Option</B> </TD> <TD WIDTH="42%" VALIGN="MIDDLE"> <P>Value; Delta; Gamma; Theta; Vega; Rho; Lambda; Vega FX; Lambda FX </TD> </TR> </TABLE> <P><HR></P> <H3>Interest Rate Options: Analytical Valuation</H3> <TABLE CELLSPACING=0 BORDER=0> <TR><TD VALIGN="MIDDLE"> <P><A HREF="a_cap.gif"><IMG SRC="a_cap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Amortizing Caps and Floors</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="capfloor.gif"><IMG SRC="capfloor.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Caps and Floors</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="caplet.gif"><IMG SRC="caplet.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Caplets and Floorlets</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Caplet and Floorlet </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="zboptana.gif"><IMG SRC="zboptana.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>European Zero-Coupon Bond Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="f_cap.gif"><IMG SRC="f_cap.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Forward Caps and Floors</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="volcapfl.gif"><IMG SRC="volcapfl.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Implied Volatility for Caps and Floors</B> </TD> <TD VALIGN="MIDDLE"> <P>Implied Standard Deviation of Short Interest Rate; Market and Model Values of Contract </TD> </TR> </TABLE> <P><HR></P> <H3>Interest Rate Options: Numerical Valuation</H3> <TABLE CELLSPACING=0 BORDER=0> <TR><TD VALIGN="MIDDLE"> <P><A HREF="cboptame.gif"><IMG SRC="cboptame.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>American Coupon Bond Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="zbopt.gif"><IMG SRC="zbopt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>American Zero-Coupon Bond Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="bmudaopt.gif"><IMG SRC="bmudaopt.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Bermudan Coupon Bond Option</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Put and Call </TD> </TR> <TR><TD VALIGN="MIDDLE"> <P><A HREF="swaption.gif"><IMG SRC="swaption.jpg" BORDER=0 WIDTH=287 HEIGHT=96></A></TD> <TD VALIGN="MIDDLE"> <B><P>Swaption</B> </TD> <TD VALIGN="MIDDLE"> <P>Value, Delta, Gamma, Theta, and Vega computed for both Pay Fixed and Receive Fixed swaptions </TD> </TR> </TABLE> <P><HR></P> <P ALIGN="CENTER"><A HREF="mailto:[email protected]">[email protected]</A></P></BODY> </HTML>