RMFI Software
RMFI Software
Embedded Files
Excel-based software developed by John C. Hull and Alan White for derivatives valuation and risk analysis, designed to accompany John C. Hull’s Risk Management and Financial Institutions.
Excel-based software developed by John C. Hull and Alan White for derivatives valuation and risk analysis, designed to accompany John C. Hull’s Risk Management and Financial Institutions.
The original RMFI Software 1.00a xls file, formerly available from John C. Hull’s Rotman website, is provided here unchanged for non-commercial academic use.
The original RMFI Software 1.00a xls file, formerly available from John C. Hull’s Rotman website, is provided here unchanged for non-commercial academic use.
Workbook contents
Workbook contents
RMFI Software is supplied as a single Excel workbook. For readers of Risk Management and Financial Institutions, it replaces DerivaGem with software more closely aligned with the material in the book.
📄 A. Options Calculator
The Equity_FX_Indx_Fut_Opts_Calc worksheet provides option valuation, Greek letters, implied volatilities, charts and binomial tree displays. It includes European and American equity options, with support for discrete dividends, as well as Asian and lookback options. American options can be valued using up to 500 time steps; trees with up to 10 time steps can be displayed.
📄 B. CDSs
Calculation of hazard rates from credit default swap spreads and vice versa, using a user-specified term structure of interest rates. The calculations assume that default can occur only at points midway between payment dates.
📄 C. CDOs
Valuation of CDO tranches, including spreads, upfront payments and expected losses. The worksheet can also imply tranche (compound) correlations or base correlations from quotes supplied by the user.
📄 D. Equity Option Functions
Functions for valuing a range of options, which can also be used with the user’s own worksheets to investigate option properties.
📄 E. Value at Risk
Calculation of VaR for a portfolio of options on a single stock, using three approaches: a linear model, a model based on the first three moments, and an analytic approach in which equally likely portfolio values are generated.
📄 Getting started
Open the workbook in MS Excel. To begin valuing options, select the Equity_FX_Indx_Fut_Opts_Calc worksheet, choose the underlying and option types, enter the required inputs, and click Calculate. Use Display Tree to view the binomial tree. Further instructions are provided in the “RMFI Software” section of the book.
Important: The software requires macros to perform its calculations. Enable macros only after verifying that you trust the file and its source.
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