DerivaGem
DerivaGem
Embedded Files
Excel-based derivatives valuation software developed by John C. Hull and Alan White.
Excel-based derivatives valuation software developed by John C. Hull and Alan White.
The original DerivaGem 4.00a ZIP file, formerly available from John C. Hull’s Rotman website, is provided here unchanged for non-commercial academic use.
The original DerivaGem 4.00a ZIP file, formerly available from John C. Hull’s Rotman website, is provided here unchanged for non-commercial academic use.
Package contents
Package contents
The DerivaGem 4.00a ZIP file contains the readme.txt file and three Excel workbooks. DG400a.xls is the main DerivaGem valuation program. DG400 Applications.xls contains seven worksheets that can be used as examples for developing additional applications. DG400 functions.xls contains the 48 functions underlying DerivaGem, with the VBA source code fully visible, allowing users to inspect the calculations and develop their own Excel worksheets and applications.
📄 readme.txt (txt)
📄 DG400a.xls (xls)
A. Equity_FX_Indx_Fut_Opts_Calc
B. Alternative_Models
C. Monte_Carlo
D. Zero_Curve
E. Bond_Price
F. Swap_Price
G. Bond_Options
H. Caps_and_Swap_Options
I. CDSs
J. CDOs
📄 DG400 Applications.xls (xls)
A. CRR Convergence
B. Greek Letters
C. Delta Hedge
D. Delta and Gamma Hedge
E. Value at Risk
F. Barrier Replication
G. Trinomial Convergence
📄 DG400 functions.xls (xls)
A. Interest Rates
B. Equity Options
C. Exotic Options
D. Equity Portfolio
E. Alternative Models
F. Caps
G. Swap Options
H. Bond Options
I. CDSs
J. CDOs
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