Simulating Simple Pdt

8/4/2019 Simulating Simple Pdt

1/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 14.69 0.5 -47.902337 3.567195 -44.335 -1.4433552.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 14.89 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 15.09 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 15.29 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 15.49 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 15.69 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 15.89 0.5 -47.902337 3.567195 -44.335 -1.44335

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 16.09 0.5 -38.729549 3.567195 -35.162 -1.35162

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 16.29 0.5 -18.345576 3.567195 -14.778 -1.14778

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 16.49 0.5 2.03839733 3.567195 5.6056 -0.94394

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 16.69 0.5 22.4223706 3.567195 25.99 -0.740152.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 16.89 0.5 42.806344 3.567195 46.374 -0.53626

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 17.09 0.5 63.1903173 3.567195 66.758 -0.33242

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 17.29 0.5 83.5742906 3.567195 87.141 -0.12859

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 17.49 0.5 103.958264 3.567195 107.53 0.075255

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 17.69 0.5 124.342237 3.567195 127.91 0.279094

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 17.89 0.5 144.726211 3.567195 148.29 0.482934

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 18.09 0.5 165.110184 3.567195 168.68 0.686774

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 18.29 0.5 185.494157 3.567195 189.06 0.890614

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 18.49 0.5 205.87813 3.567195 209.45 1.094453

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 18.69 0.5 226.262104 3.567195 229.83 1.29829352.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 18.89 0.5 246.646077 3.567195 250.21 1.502133

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 19.09 0.5 267.03005 3.567195 270.6 1.705972

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 19.29 0.5 287.414024 3.567195 290.98 1.909812

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 19.49 0.5 307.797997 3.567195 311.37 2.113652

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 19.69 0.5 328.18197 3.567195 331.75 2.317492

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 19.89 0.5 348.565944 3.567195 352.13 2.521331

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 20.09 0.5 368.949917 -4.586394 364.36 2.643635

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 20.29 0.5 389.33389 -14.77838 374.56 2.745555

52.097663 6 0.115 101.92 50.9599 0.47 0.07 16 20 14.69 20.49 0.5 409.717864 -24.97037 384.75 2.847475


2/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 14.69 0.75 -47.902337 5.350793 -42.552 -1.4255252.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 14.89 0.75 -47.902337 5.350793 -42.552 -1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 15.09 0.75 -47.902337 5.350793 -42.552 -1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 15.29 0.75 -47.902337 5.350793 -42.552 -1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 15.49 0.75 -47.902337 5 .350793 -42.552 - 1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 15.69 0.75 -47.902337 5.350793 -42.552 -1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 15.89 0.75 -47.902337 5.350793 -42.552 -1.42552

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 16.09 0.75 -38.729549 5.350793 -33.379 -1.33379

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 16.29 0.75 -18.345576 5.350793 -12.995 -1.12995

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 16.49 0.75 2.03839733 5.350793 7.3892 -0.92611

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 16.69 0.75 22.4223706 5.350793 27.773 -0.7222752.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 16.89 0.75 42.806344 5.350793 48.157 -0.51843

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 17.09 0.75 63.1903173 5.350793 68.541 -0.31459

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 17.29 0.75 83.5742906 5.350793 88.925 -0.11075

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 17.49 0.75 103.958264 5 .350793 109.31 0.093091

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 17.69 0.75 124.342237 5.350793 129.69 0.29693

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 17.89 0.75 144.726211 5.350793 150.08 0.50077

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 18.09 0.75 165.110184 5.350793 170.46 0.70461

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 18.29 0.75 185.494157 5.350793 190.84 0.90845

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 18.49 0.75 205.87813 5.350793 211.23 1.112289

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 18.69 0.75 226.262104 5.350793 231.61 1.31612952.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 18.89 0.75 246.646077 5.350793 252 1.519969

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 19.09 0.75 267.03005 5.350793 272.38 1.723808

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 19.29 0.75 287.414024 5.350793 292.76 1.927648

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 19.49 0.75 307.797997 5 .350793 313.15 2.131488

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 19.69 0.75 328.18197 5.350793 333.53 2.335328

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 19.89 0.75 348.565944 5.350793 353.92 2.539167

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 20.09 0.75 368.949917 -6.879591 362.07 2.620703

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 20.29 0.75 389.33389 -22.16757 367.17 2.671663

52.097663 6 0.115 101.92 76.4399 0.47 0.07 16 20 14.69 20.49 0.75 409.717864 -37.45555 372.26 2.722623


3/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 14.69 1 -47.902337 7.134391 -40.768 -1.4076852.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 14.89 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 15.09 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 15.29 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 15.49 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 15.69 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 15.89 1 -47.902337 7.134391 -40.768 -1.40768

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 16.09 1 -38.729549 7.134391 -31.595 -1.31595

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 16.29 1 -18.345576 7.134391 -11.211 -1.11211

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 16.49 1 2.03839733 7.134391 9.1728 -0.90827

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 16.69 1 22.4223706 7.134391 29.557 -0.7044352.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 16.89 1 42.806344 7.134391 49.941 -0.50059

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 17.09 1 63.1903173 7.134391 70.325 -0.29675

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 17.29 1 83.5742906 7.134391 90.709 -0.09291

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 17.49 1 103.958264 7.134391 111.09 0.110927

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 17.69 1 124.342237 7.134391 131.48 0.314766

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 17.89 1 144.726211 7.134391 151.86 0.518606

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 18.09 1 165.110184 7.134391 172.24 0.722446

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 18.29 1 185.494157 7.134391 192.63 0.926285

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 18.49 1 205.87813 7.134391 213.01 1.130125

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 18.69 1 226.262104 7.134391 233.4 1.33396552.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 18.89 1 246.646077 7.134391 253.78 1.537805

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 19.09 1 267.03005 7.134391 274.16 1.741644

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 19.29 1 287.414024 7.134391 294.55 1.945484

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 19.49 1 307.797997 7.134391 314.93 2.149324

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 19.69 1 328.18197 7.134391 335.32 2.353164

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 19.89 1 348.565944 7.134391 355.7 2.557003

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 20.09 1 368.949917 -9.172788 359.78 2.597771

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 20.29 1 389.33389 -29.55676 359.78 2.597771

52.097663 6 0.115 101.92 101.92 0.47 0.07 16 20 14.69 20.49 1 409.717864 -49.94073 359.78 2.597771


4/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 14.69 1.25 -47.902337 8.917988 -38.984 -1.3898452.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 14.89 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 15.09 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 15.29 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 15.49 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 15.69 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 15.89 1.25 -47.902337 8.917988 -38.984 -1.38984

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 16.09 1.25 -38.729549 8.917988 -29.812 -1.29812

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 16.29 1.25 -18.345576 8.917988 -9.4276 -1.09428

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 16.49 1.25 2.03839733 8.917988 10.956 -0.89044

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 16.69 1.25 22.4223706 8.917988 31.34 -0.686652.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 16.89 1.25 4 2.806344 8.917988 51.724 -0.48276

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 17.09 1.25 63.1903173 8.917988 72.108 -0.27892

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 17.29 1.25 83.5742906 8.917988 92.492 -0.07508

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 17.49 1.25 103.958264 8.917988 112.88 0.128763

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 17.69 1.25 124.342237 8.917988 133.26 0.332602

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 17.89 1.25 144.726211 8.917988 153.64 0.536442

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 18.09 1.25 165.110184 8.917988 174.03 0.740282

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 18.29 1.25 185.494157 8.917988 194.41 0.944121

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 18.49 1.25 205.87813 8.917988 214.8 1.147961

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 18.69 1.25 226.262104 8.917988 235.18 1.35180152.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 18.89 1.25 246.646077 8.917988 255.56 1.555641

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 19.09 1.25 267.03005 8.917988 275.95 1.75948

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 19.29 1.25 287.414024 8.917988 296.33 1.96332

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 19.49 1.25 307.797997 8.917988 316.72 2.16716

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 19.69 1.25 328.18197 8.917988 337.1 2.371

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 19.89 1.25 348.565944 8.917988 357.48 2.574839

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 20.09 1.25 368.949917 -11.46598 357.48 2.574839

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 20.29 1.25 389.33389 -36.94595 352.39 2.523879

52.097663 6 0.115 101.92 127.4 0.47 0.07 16 20 14.69 20.49 1.25 409.717864 -62.42592 347.29 2.472919


5/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 14.69 1.5 -47.902337 10.70159 -37.201 -1.3720152.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 14.89 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 15.09 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 15.29 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 15.49 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 15.69 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 15.89 1.5 -47.902337 10.70159 -37.201 -1.37201

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 16.09 1.5 -38.729549 10.70159 -28.028 -1.28028

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 16.29 1.5 -18.345576 10.70159 -7.644 -1.07644

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 16.49 1.5 2.03839733 10.70159 12.74 -0.8726

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 16.69 1.5 22.4223706 10.70159 33.124 -0.6687652.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 16.89 1.5 42.806344 10.70159 53.508 -0.46492

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 17.09 1.5 63.1903173 10.70159 73.892 -0.26108

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 17.29 1.5 83.5742906 10.70159 94.276 -0.05724

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 17.49 1.5 103.958264 10.70159 114.66 0.146598

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 17.69 1.5 124.342237 10.70159 135.04 0.350438

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 17.89 1.5 144.726211 10.70159 155.43 0.554278

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 18.09 1.5 165.110184 10.70159 175.81 0.758118

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 18.29 1.5 185.494157 10.70159 196.2 0.961957

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 18.49 1.5 205.87813 10.70159 216.58 1.165797

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 18.69 1.5 226.262104 10.70159 236.96 1.36963752.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 18.89 1.5 246.646077 10.70159 257.35 1.573477

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 19.09 1.5 267.03005 10.70159 277.73 1.777316

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 19.29 1.5 287.414024 10.70159 298.12 1.981156

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 19.49 1.5 307.797997 10.70159 318.5 2.184996

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 19.69 1.5 328.18197 10.70159 338.88 2.388836

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 19.89 1.5 348.565944 10.70159 359.27 2.592675

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 20.09 1.5 368.949917 -13.75918 355.19 2.551907

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 20.29 1.5 389.33389 -44.33514 345 2.449987

52.097663 6 0.115 101.92 152.88 0.47 0.07 16 20 14.69 20.49 1.5 409.717864 -74.9111 334.81 2.348068


6/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 14.69 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 14.89 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 15.09 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 15.29 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 15.49 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 15.69 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 15.89 1.75 -47.902337 12.48518 -35.417 -1.35417

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 16.09 1.75 -38.729549 12.48518 -26.244 -1.26244

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 16.29 1.75 -18.345576 12.48518 -5.8604 -1.0586

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 16.49 1.75 2.03839733 12.48518 14.524 -0.85476

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 16.69 1.75 22.4223706 12.48518 34.908 -0.65092

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 16.89 1.75 42.806344 12.48518 55.292 -0.44708

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 17.09 1.75 63.1903173 12.48518 75.676 -0.24324

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 17.29 1.75 83.5742906 12.48518 96.059 -0.03941

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 17.49 1.75 103.958264 12.48518 116.44 0.164434

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 17.69 1.75 124.342237 12.48518 136.83 0.368274

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 17.89 1.75 144.726211 12.48518 157.21 0.572114

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 18.09 1.75 165.110184 12.48518 177.6 0.775954

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 18.29 1.75 185.494157 12.48518 197.98 0.979793

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 18.49 1.75 205.87813 12.48518 218.36 1.183633

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 18.69 1.75 226.262104 12.48518 238.75 1.387473

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 18.89 1.75 246.646077 12.48518 259.13 1.591313

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 19.09 1.75 267.03005 12.48518 279.52 1.795152

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 19.29 1.75 287.414024 12.48518 299.9 1.998992

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 19.49 1.75 307.797997 12.48518 320.28 2.202832

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 19.69 1.75 328.18197 12.48518 340.67 2.406672

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 19.89 1.75 348.565944 12.48518 361.05 2.610511

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 20.09 1.75 368.949917 -16.05238 352.9 2.528975

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 20.29 1.75 389.33389 -51.72433 337.61 2.376096

52.097663 6 0.115 101.92 178.36 0.47 0.07 16 20 14.69 20.49 1.75 409.717864 -87.39629 322.32 2.223216


7/11

cost of ZCB

Duration

of bond

Yield

of

bond

Number

of long

option

Number

of short

option

cost of

long

option

cost of

short

option

strike of

long

option

strike of

short

option

Initial

asset

price

current

asset

price

long to

short

options

Gain/loss

long option

Gain/loss

short

option

Overall

gain Yield

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 14.69 2 -47.902337 14.26878 -33.634 -1.3363452.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 14.89 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 15.09 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 15.29 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 15.49 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 15.69 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 15.89 2 -47.902337 14.26878 -33.634 -1.33634

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 16.09 2 -38.729549 14.26878 -24.461 -1.24461

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 16.29 2 -18.345576 14.26878 -4.0768 -1.04077

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 16.49 2 2.03839733 14.26878 16.307 -0.83693

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 16.69 2 22.4223706 14.26878 36.691 -0.6330952.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 16.89 2 42.806344 14.26878 57.075 -0.42925

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 17.09 2 63.1903173 14.26878 77.459 -0.22541

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 17.29 2 83.5742906 14.26878 97.843 -0.02157

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 17.49 2 103.958264 14.26878 118.23 0.18227

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 17.69 2 124.342237 14.26878 138.61 0.38611

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 17.89 2 144.726211 14.26878 158.99 0.58995

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 18.09 2 165.110184 14.26878 179.38 0.79379

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 18.29 2 185.494157 14.26878 199.76 0.997629

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 18.49 2 205.87813 14.26878 220.15 1.201469

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 18.69 2 226.262104 14.26878 240.53 1.40530952.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 18.89 2 246.646077 14.26878 260.91 1.609149

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 19.09 2 267.03005 14.26878 281.3 1.812988

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 19.29 2 287.414024 14.26878 301.68 2.016828

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 19.49 2 307.797997 14.26878 322.07 2.220668

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 19.69 2 328.18197 14.26878 342.45 2.424508

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 19.89 2 348.565944 14.26878 362.83 2.628347

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 20.09 2 368.949917 -18.34558 350.6 2.506043

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 20.29 2 389.33389 -59.11352 330.22 2.302204

52.097663 6 0.115 101.92 203.84 0.47 0.07 16 20 14.69 20.49 2 409.717864 -99.88147 309.84 2.098364


8/11

yield/mix 0.5 0.75 1 1.25 1.5 1.75 2

14.69 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

14.89 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

15.09 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

15.29 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

15.49 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

15.69 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

15.89 -1.44335 -1.42552 -1.40768 -1.38984 -1.37201 -1.35417 -1.33634

16.09 -1.35162 -1.33379 -1.31595 -1.29812 -1.28028 -1.26244 -1.24461

16.29 -1.14778 -1.12995 -1.11211 -1.09428 -1.07644 -1.0586 -1.04077

16.49 -0.94394 -0.92611 -0.90827 -0.89044 -0.8726 -0.85476 -0.83693

16.69 -0.7401 -0.72227 -0.70443 -0.6866 -0.66876 -0.65092 -0.63309

16.89 -0.53626 -0.51843 -0.50059 -0.48276 -0.46492 -0.44708 -0.42925

17.09 -0.33242 -0.31459 -0.29675 -0.27892 -0.26108 -0.24324 -0.22541

17.29 -0.12859 -0.11075 -0.09291 -0.07508 -0.05724 -0.03941 -0.02157

17.49 0.075255 0.093091 0.110927 0.128763 0.146598 0.164434 0.18227

17.69 0.279094 0.29693 0.314766 0.332602 0.350438 0.368274 0.38611

17.89 0.482934 0.50077 0.518606 0.536442 0.554278 0.572114 0.58995

18.09 0.686774 0.70461 0.722446 0.740282 0.758118 0.775954 0.79379

18.29 0.890614 0.90845 0.926285 0.944121 0.961957 0.979793 0.997629

18.49 1.094453 1.112289 1.130125 1.147961 1.165797 1.183633 1.201469

18.69 1.298293 1.316129 1.333965 1.351801 1.369637 1.387473 1.405309

18.89 1.502133 1.519969 1.537805 1.555641 1.573477 1.591313 1.609149

19.09 1.705972 1.723808 1.741644 1.75948 1.777316 1.795152 1.812988

19.29 1.909812 1.927648 1.945484 1.96332 1.981156 1.998992 2.016828

19.49 2.113652 2.131488 2.149324 2.16716 2.184996 2.202832 2.220668

19.69 2.317492 2.335328 2.353164 2.371 2.388836 2.406672 2.424508

19.89 2.521331 2.539167 2.557003 2.574839 2.592675 2.610511 2.628347

20.09 2.643635 2.620703 2.597771 2.574839 2.551907 2.528975 2.506043

20.29 2.745555 2.671663 2.597771 2.523879 2.449987 2.376096 2.302204

20.49 2.847475 2.722623 2.597771 2.472919 2.348068 2.223216 2.098364


9/11

0.5

1.25

2

-2

-1

0

1

2

3

14.

69

15.

09

15.

49

15.

89

16.

29

16.

69

17.

09

17.

49

17.

89

18.

29

18.

69

19.

09

19.

49

19.

89

20.

29

2-3

1-2

0-1

-1-0

-2--1

-2

-1

0

1

2

3

14.6915.69

16.69

17.69

18.69

19.69

2-3

1-2

0-1

-1-0

-2--1

0.

5

1.

25

2

-2

0

2

4

2-4

0-2

-2-0

0.5

1

1.5

2 -2

-1

0

1

2

3

14.

69

15.

09

15.

49

15.

89

16.

29

16.

69

17.

09

17.

49

17.

89

18.

29

18.

69

19.

09

19.

49

19.

89

20.

29

2-3

1-2

0-1

-1-0

-2--1


10/11

gain/mix 0.5 0.75 1 1.25 1.5 1.75 2

14.69 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336

14.89 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336 2 earns more than 1 till the short call is in the

15.09 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336 money where it will lose more than 1. Basically

15.29 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336 once the short call is in money, we should

15.49 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336 change the proportion from 2 to 0.5 or as low

15.69 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336 as possible

15.89 -44.3351 -42.5515 -40.7679 -38.9843 -37.2008 -35.4172 -33.6336

16.09 -35.1624 -33.3788 -31.5952 -29.8116 -28.028 -26.2444 -24.4608

16.29 -14.7784 -12.9948 -11.2112 -9.42759 -7.64399 -5.86039 -4.07679

16.49 5.605593 7.38919 9.172788 10.95639 12.73998 14.52358 16.30718

16.69 25.98957 27.77316 29.55676 31.34036 33.12396 34.90755 36.69115

16.89 46.37354 48.15714 49.94073 51.72433 53.50793 55.29153 57.07513

17.09 66.75751 68.54111 70.32471 72.10831 73.8919 75.6755 77.4591

17.29 87.14149 88.92508 90.70868 92.49228 94.27588 96.05947 97.84307

17.49 107.5255 109.3091 111.0927 112.8763 114.6598 116.4434 118.227

17.69 127.9094 129.693 131.4766 133.2602 135.0438 136.8274 138.611

17.89 148.2934 150.077 151.8606 153.6442 155.4278 157.2114 158.995

18.09 168.6774 170.461 172.2446 174.0282 175.8118 177.5954 179.379

18.29 189.0614 190.845 192.6285 194.4121 196.1957 197.9793 199.7629

18.49 209.4453 211.2289 213.0125 214.7961 216.5797 218.3633 220.1469

18.69 229.8293 231.6129 233.3965 235.1801 236.9637 238.7473 240.5309

18.89 250.2133 251.9969 253.7805 255.5641 257.3477 259.1313 260.9149

19.09 270.5972 272.3808 274.1644 275.948 277.7316 279.5152 281.2988

19.29 290.9812 292.7648 294.5484 296.332 298.1156 299.8992 301.6828

19.49 311.3652 313.1488 314.9324 316.716 318.4996 320.2832 322.0668

19.69 331.7492 333.5328 335.3164 337.1 338.8836 340.6672 342.4508

19.89 352.1331 353.9167 355.7003 357.4839 359.2675 361.0511 362.8347

20.09 364.3635 362.0703 359.7771 357.4839 355.1907 352.8975 350.6043

20.29 374.5555 367.1663 359.7771 352.3879 344.9987 337.6096 330.2204

20.49 384.7475 372.2623 359.7771 347.2919 334.8068 322.3216 309.8364


11/11

0.5

1.5

-100

0

100

200

300

400

14.6

9

15.0

9

15.4

9

15.8

9

16.2

9

16.6

9

17.0

9

17.4

9

17.8

9

18.2

9

18.6

9

19.0

9

19.4

9

19.8

9

20.2

9

300-400

200-300

100-200

0-100

-100-0

0.51

1.5

2

-200

0

200

400

14.6915.69

16.6917.69

18.69

19.69

200-400

0-200

-200-0

0

.

5

-100

0

100

200

300

400

14.

69

15.

09

15.

49

15.

89

16.

29

16.

69

17.

09

17.

49

17.

89

18.

29

18.

69

19.

09

19.

49

19.

89

20.

29

300-400

200-300

100-200

0-100

-100-0

0.5

1

1.5

2

-200

0

200

400

14.69

15.

29

15.

89

16.

49

17.

09

17.

69

18.

29

18.

89

19.

49

20.

09

200-400

0-200

-200-0

Documents

Simulating Simple Pdt