Monte-Carlo Simulation
About 16 min
Monte-Carlo Simulation
Model:BlackSchole
Parameters: today=2024/04/10 spot=1.0717 rate1=0.04 rate2=0.05
numSimulations:1000
numPath:10
Monte-Carlo Simulation
Simuation Statistics
| Ave | Med | Std | Var | Max | Min | Lst |
|---|---|---|---|---|---|---|
| 1.07682 | 1.07617 | 0.00336513 | 1.13241e-05 | 1.08292 | 1.07167 | 1.07584 |
| 1.07744 | 1.07607 | 0.00439518 | 1.93176e-05 | 1.08364 | 1.0717 | 1.08364 |
| 1.07557 | 1.07621 | 0.003214 | 1.03298e-05 | 1.08013 | 1.07014 | 1.07864 |
| 1.06893 | 1.06979 | 0.00273121 | 7.45951e-06 | 1.0718 | 1.06431 | 1.07176 |
| 1.07216 | 1.07204 | 0.00457496 | 2.09303e-05 | 1.07931 | 1.0656 | 1.07084 |
| 1.08309 | 1.086 | 0.00691359 | 4.77977e-05 | 1.09055 | 1.0711 | 1.08864 |
| 1.06123 | 1.05897 | 0.00586355 | 3.43812e-05 | 1.0717 | 1.05401 | 1.05759 |
| 1.08216 | 1.08081 | 0.0098636 | 9.72905e-05 | 1.10183 | 1.07124 | 1.10183 |
| 1.06487 | 1.06517 | 0.00549962 | 3.02458e-05 | 1.07336 | 1.05559 | 1.05559 |
| 1.07611 | 1.076 | 0.00448832 | 2.0145e-05 | 1.08535 | 1.06725 | 1.08535 |
| 1.06418 | 1.06654 | 0.00533734 | 2.84872e-05 | 1.0717 | 1.05502 | 1.05502 |
| 1.07252 | 1.0728 | 0.00432432 | 1.86998e-05 | 1.07923 | 1.0636 | 1.07716 |
| 1.08346 | 1.08577 | 0.00611839 | 3.74347e-05 | 1.0902 | 1.0717 | 1.09019 |
| 1.07151 | 1.0706 | 0.00336159 | 1.13003e-05 | 1.07757 | 1.06776 | 1.06778 |
| 1.08003 | 1.08009 | 0.0045312 | 2.05318e-05 | 1.0875 | 1.0717 | 1.08436 |
| 1.07152 | 1.072 | 0.00344158 | 1.18445e-05 | 1.07735 | 1.06674 | 1.07627 |
| 1.08374 | 1.08577 | 0.0101927 | 0.000103891 | 1.09801 | 1.0685 | 1.09678 |
| 1.07166 | 1.072 | 0.00181147 | 3.28144e-06 | 1.07565 | 1.06914 | 1.07231 |
| 1.07101 | 1.07115 | 0.0025329 | 6.4156e-06 | 1.07732 | 1.0677 | 1.07732 |
| 1.07983 | 1.08164 | 0.00549235 | 3.01659e-05 | 1.08897 | 1.06996 | 1.08897 |
| 1.05559 | 1.05241 | 0.0103963 | 0.000108084 | 1.0717 | 1.04283 | 1.04732 |
| 1.06339 | 1.06273 | 0.00520178 | 2.70585e-05 | 1.0717 | 1.05735 | 1.07149 |
| 1.06527 | 1.06464 | 0.0027382 | 7.49771e-06 | 1.0717 | 1.06229 | 1.06229 |
| 1.05936 | 1.05815 | 0.00591327 | 3.49668e-05 | 1.0717 | 1.05194 | 1.06113 |
| 1.0589 | 1.05918 | 0.00704918 | 4.96909e-05 | 1.0717 | 1.04653 | 1.06548 |
| 1.06484 | 1.06522 | 0.00413806 | 1.71236e-05 | 1.0717 | 1.05862 | 1.06813 |
| 1.07572 | 1.07516 | 0.0041891 | 1.75485e-05 | 1.08491 | 1.06988 | 1.07834 |
| 1.06822 | 1.06836 | 0.0022503 | 5.06383e-06 | 1.0717 | 1.06351 | 1.06351 |
| 1.07754 | 1.07538 | 0.00526979 | 2.77707e-05 | 1.08553 | 1.07132 | 1.08493 |
| 1.07434 | 1.07298 | 0.00358853 | 1.28775e-05 | 1.0815 | 1.07044 | 1.07432 |
| 1.06919 | 1.06998 | 0.00367416 | 1.34995e-05 | 1.07534 | 1.06279 | 1.07028 |
| 1.07505 | 1.07455 | 0.00338339 | 1.14474e-05 | 1.08223 | 1.07065 | 1.08223 |
| 1.0827 | 1.08335 | 0.00567521 | 3.2208e-05 | 1.08931 | 1.0717 | 1.07623 |
| 1.07171 | 1.07173 | 0.00287566 | 8.26939e-06 | 1.07574 | 1.06623 | 1.07129 |
| 1.05984 | 1.05929 | 0.00585757 | 3.43111e-05 | 1.0717 | 1.05143 | 1.05973 |
| 1.06269 | 1.06231 | 0.00331578 | 1.09944e-05 | 1.0717 | 1.05945 | 1.06001 |
| 1.06429 | 1.06378 | 0.00464573 | 2.15828e-05 | 1.0717 | 1.057 | 1.057 |
| 1.07662 | 1.07644 | 0.00340288 | 1.15796e-05 | 1.08361 | 1.0717 | 1.08361 |
| 1.07686 | 1.07537 | 0.00544936 | 2.96956e-05 | 1.08657 | 1.07059 | 1.0721 |
| 1.07125 | 1.07158 | 0.00324782 | 1.05484e-05 | 1.078 | 1.06574 | 1.07107 |
| 1.08129 | 1.08232 | 0.00571455 | 3.26561e-05 | 1.09 | 1.0717 | 1.08443 |
| 1.06609 | 1.06828 | 0.00522532 | 2.7304e-05 | 1.07281 | 1.05734 | 1.05734 |
| 1.07743 | 1.07655 | 0.00407204 | 1.65815e-05 | 1.08475 | 1.0717 | 1.08475 |
| 1.08346 | 1.08206 | 0.00830297 | 6.89393e-05 | 1.09822 | 1.0717 | 1.09822 |
| 1.07102 | 1.0717 | 0.00139604 | 1.94892e-06 | 1.0727 | 1.06851 | 1.06922 |
| 1.07211 | 1.07147 | 0.00155168 | 2.40772e-06 | 1.07497 | 1.07046 | 1.0712 |
| 1.06994 | 1.06991 | 0.00243317 | 5.92034e-06 | 1.07417 | 1.06677 | 1.06677 |
| 1.08255 | 1.08291 | 0.00512205 | 2.62353e-05 | 1.09076 | 1.0717 | 1.07692 |
| 1.06837 | 1.07 | 0.00371025 | 1.3766e-05 | 1.07302 | 1.06233 | 1.06233 |
| 1.07509 | 1.07552 | 0.00332304 | 1.10426e-05 | 1.07902 | 1.0695 | 1.07821 |
| 1.07153 | 1.07154 | 0.00367657 | 1.35172e-05 | 1.07881 | 1.067 | 1.07468 |
| 1.06984 | 1.07109 | 0.00369105 | 1.36238e-05 | 1.07614 | 1.0632 | 1.07173 |
| 1.06901 | 1.06964 | 0.00242133 | 5.86284e-06 | 1.07186 | 1.06504 | 1.07021 |
| 1.07286 | 1.07269 | 0.00244423 | 5.97425e-06 | 1.07829 | 1.06818 | 1.07202 |
| 1.07161 | 1.07067 | 0.00327116 | 1.07005e-05 | 1.07707 | 1.06689 | 1.06933 |
| 1.08329 | 1.08517 | 0.00478689 | 2.29143e-05 | 1.08874 | 1.0717 | 1.08634 |
| 1.07153 | 1.07217 | 0.00518151 | 2.6848e-05 | 1.07828 | 1.0629 | 1.07758 |
| 1.07726 | 1.07753 | 0.00326713 | 1.06741e-05 | 1.08459 | 1.0717 | 1.07751 |
| 1.06621 | 1.06633 | 0.00362074 | 1.31097e-05 | 1.0717 | 1.06 | 1.06083 |
| 1.07708 | 1.07794 | 0.00262621 | 6.89699e-06 | 1.08066 | 1.0717 | 1.07872 |
| 1.06624 | 1.06616 | 0.00373247 | 1.39313e-05 | 1.0717 | 1.05933 | 1.06543 |
| 1.06817 | 1.06862 | 0.00377589 | 1.42573e-05 | 1.0735 | 1.06095 | 1.06412 |
| 1.06955 | 1.07062 | 0.00281178 | 7.9061e-06 | 1.07293 | 1.06462 | 1.06492 |
| 1.08272 | 1.08446 | 0.00485262 | 2.3548e-05 | 1.08774 | 1.0717 | 1.08465 |
| 1.06468 | 1.06469 | 0.00573992 | 3.29466e-05 | 1.07348 | 1.05697 | 1.06691 |
| 1.07336 | 1.07176 | 0.00511882 | 2.62024e-05 | 1.08118 | 1.06506 | 1.06506 |
| 1.073 | 1.07121 | 0.00514388 | 2.64595e-05 | 1.08365 | 1.06696 | 1.08365 |
| 1.06432 | 1.0631 | 0.00383325 | 1.46938e-05 | 1.0717 | 1.06039 | 1.06089 |
| 1.0732 | 1.07207 | 0.00537772 | 2.89199e-05 | 1.08363 | 1.06661 | 1.07305 |
| 1.07398 | 1.07349 | 0.00420426 | 1.76758e-05 | 1.08114 | 1.06847 | 1.08114 |
| 1.07947 | 1.0791 | 0.00353061 | 1.24652e-05 | 1.08519 | 1.0717 | 1.07735 |
| 1.06146 | 1.0618 | 0.00747344 | 5.58523e-05 | 1.0717 | 1.04929 | 1.05964 |
| 1.06766 | 1.06839 | 0.00442878 | 1.96141e-05 | 1.07396 | 1.06203 | 1.06203 |
| 1.07221 | 1.07235 | 0.00271451 | 7.36856e-06 | 1.07674 | 1.06788 | 1.07674 |
| 1.06957 | 1.06899 | 0.00226505 | 5.13043e-06 | 1.07404 | 1.06653 | 1.07064 |
| 1.07584 | 1.07764 | 0.0026266 | 6.89903e-06 | 1.07833 | 1.0717 | 1.07176 |
| 1.06336 | 1.06417 | 0.00704342 | 4.96098e-05 | 1.072 | 1.05154 | 1.05154 |
| 1.08005 | 1.07985 | 0.00596 | 3.55216e-05 | 1.08907 | 1.0717 | 1.08411 |
| 1.08035 | 1.08146 | 0.00366923 | 1.34632e-05 | 1.08443 | 1.0717 | 1.08443 |
| 1.08107 | 1.08095 | 0.00439901 | 1.93513e-05 | 1.08799 | 1.0717 | 1.08145 |
| 1.07397 | 1.07378 | 0.00250792 | 6.28967e-06 | 1.07862 | 1.06968 | 1.07862 |
| 1.0741 | 1.07584 | 0.00477903 | 2.28391e-05 | 1.07951 | 1.06381 | 1.06381 |
| 1.06197 | 1.06111 | 0.00450832 | 2.03249e-05 | 1.0717 | 1.05641 | 1.05995 |
| 1.07729 | 1.07755 | 0.00347324 | 1.20634e-05 | 1.08203 | 1.0717 | 1.08203 |
| 1.0753 | 1.07668 | 0.00485066 | 2.35289e-05 | 1.08307 | 1.06646 | 1.06646 |
| 1.07798 | 1.074 | 0.00764005 | 5.83704e-05 | 1.09205 | 1.07051 | 1.09205 |
| 1.06513 | 1.06543 | 0.00571742 | 3.26889e-05 | 1.07314 | 1.05695 | 1.05695 |
| 1.05733 | 1.05775 | 0.0079385 | 6.30198e-05 | 1.0717 | 1.04573 | 1.04573 |
| 1.07241 | 1.07158 | 0.00267273 | 7.14351e-06 | 1.07658 | 1.06792 | 1.07618 |
| 1.07684 | 1.07692 | 0.00307559 | 9.45925e-06 | 1.08213 | 1.0717 | 1.07386 |
| 1.07368 | 1.07266 | 0.00346589 | 1.20124e-05 | 1.07982 | 1.06834 | 1.06834 |
| 1.06542 | 1.06526 | 0.00417698 | 1.74472e-05 | 1.0717 | 1.05683 | 1.06385 |
| 1.08591 | 1.08231 | 0.0128589 | 0.000165352 | 1.10755 | 1.07134 | 1.10655 |
| 1.06994 | 1.07153 | 0.00402205 | 1.61769e-05 | 1.07676 | 1.06277 | 1.0702 |
| 1.07169 | 1.07249 | 0.00565876 | 3.20216e-05 | 1.07966 | 1.06377 | 1.06421 |
| 1.06363 | 1.06585 | 0.00734315 | 5.39219e-05 | 1.07185 | 1.05145 | 1.05145 |
| 1.07281 | 1.07302 | 0.00220252 | 4.85109e-06 | 1.07737 | 1.06957 | 1.07737 |
| 1.07084 | 1.0719 | 0.00287273 | 8.25255e-06 | 1.07542 | 1.06614 | 1.06614 |
| 1.07013 | 1.07039 | 0.00307979 | 9.4851e-06 | 1.0746 | 1.0655 | 1.07315 |
| 1.08192 | 1.08412 | 0.00511528 | 2.61661e-05 | 1.08734 | 1.0717 | 1.08718 |
| 1.08212 | 1.08438 | 0.00714456 | 5.10447e-05 | 1.09469 | 1.0717 | 1.08947 |
| 1.07653 | 1.07602 | 0.00760806 | 5.78826e-05 | 1.09055 | 1.06447 | 1.09055 |
| 1.0739 | 1.07406 | 0.00282087 | 7.95729e-06 | 1.07797 | 1.06827 | 1.07462 |
| 1.07054 | 1.07091 | 0.00259434 | 6.73062e-06 | 1.07406 | 1.06425 | 1.07191 |
| 1.05959 | 1.05734 | 0.00960231 | 9.22043e-05 | 1.07334 | 1.04496 | 1.04496 |
| 1.07597 | 1.07565 | 0.00379737 | 1.442e-05 | 1.08246 | 1.07113 | 1.08246 |
| 1.06495 | 1.06518 | 0.00387966 | 1.50518e-05 | 1.0717 | 1.0589 | 1.06885 |
| 1.07139 | 1.0705 | 0.0046685 | 2.17949e-05 | 1.07749 | 1.06541 | 1.07749 |
| 1.0791 | 1.07987 | 0.00468688 | 2.19668e-05 | 1.08495 | 1.0717 | 1.08442 |
| 1.06388 | 1.06083 | 0.00551649 | 3.04317e-05 | 1.07174 | 1.05744 | 1.06076 |
| 1.067 | 1.06778 | 0.00451558 | 2.03905e-05 | 1.07326 | 1.05611 | 1.05611 |
| 1.06826 | 1.06831 | 0.00361855 | 1.30939e-05 | 1.07411 | 1.06177 | 1.06819 |
| 1.07112 | 1.07316 | 0.00490957 | 2.41039e-05 | 1.0784 | 1.06114 | 1.06114 |
| 1.06289 | 1.0626 | 0.00725896 | 5.26925e-05 | 1.07285 | 1.05021 | 1.05021 |
| 1.06141 | 1.06084 | 0.00497541 | 2.47547e-05 | 1.0717 | 1.05564 | 1.06127 |
| 1.06278 | 1.06205 | 0.00391367 | 1.53168e-05 | 1.0717 | 1.05807 | 1.06101 |
| 1.06321 | 1.0624 | 0.00341987 | 1.16955e-05 | 1.0717 | 1.05922 | 1.06237 |
| 1.06381 | 1.06318 | 0.0053639 | 2.87714e-05 | 1.0717 | 1.05602 | 1.0626 |
| 1.06129 | 1.05873 | 0.0054285 | 2.94686e-05 | 1.0717 | 1.05616 | 1.05898 |
| 1.07132 | 1.07218 | 0.00438259 | 1.92071e-05 | 1.07753 | 1.06359 | 1.0641 |
| 1.07163 | 1.07137 | 0.00255277 | 6.51662e-06 | 1.07552 | 1.06695 | 1.06695 |
| 1.07424 | 1.07498 | 0.00294411 | 8.6678e-06 | 1.07868 | 1.06981 | 1.0701 |
| 1.08277 | 1.08287 | 0.00583904 | 3.40944e-05 | 1.09307 | 1.0717 | 1.08133 |
| 1.07362 | 1.07453 | 0.00261089 | 6.81673e-06 | 1.07782 | 1.06945 | 1.07508 |
| 1.07454 | 1.07404 | 0.0060991 | 3.71991e-05 | 1.08424 | 1.06308 | 1.07985 |
| 1.07202 | 1.07242 | 0.00258302 | 6.67198e-06 | 1.07571 | 1.06622 | 1.07571 |
| 1.07034 | 1.07079 | 0.00432688 | 1.87219e-05 | 1.07908 | 1.06433 | 1.06807 |
| 1.07215 | 1.07186 | 0.00435326 | 1.89509e-05 | 1.07982 | 1.06477 | 1.07982 |
| 1.07419 | 1.07425 | 0.00515669 | 2.65915e-05 | 1.08233 | 1.06573 | 1.06573 |
| 1.08665 | 1.08689 | 0.00683879 | 4.6769e-05 | 1.09692 | 1.0717 | 1.09692 |
| 1.07088 | 1.06917 | 0.00424949 | 1.80582e-05 | 1.07775 | 1.06562 | 1.07775 |
| 1.06184 | 1.06046 | 0.00495445 | 2.45466e-05 | 1.0717 | 1.05461 | 1.05719 |
| 1.07685 | 1.07865 | 0.00410507 | 1.68516e-05 | 1.08268 | 1.06913 | 1.08268 |
| 1.07056 | 1.07126 | 0.00242442 | 5.8778e-06 | 1.0738 | 1.06501 | 1.0738 |
| 1.06361 | 1.06127 | 0.00532946 | 2.84032e-05 | 1.07174 | 1.05842 | 1.05931 |
| 1.06701 | 1.06745 | 0.00287845 | 8.28548e-06 | 1.0717 | 1.06231 | 1.06745 |
| 1.07026 | 1.07063 | 0.00359244 | 1.29056e-05 | 1.07656 | 1.06535 | 1.07365 |
| 1.06993 | 1.07059 | 0.00207007 | 4.28521e-06 | 1.07237 | 1.06614 | 1.07191 |
| 1.07122 | 1.07151 | 0.0048629 | 2.36477e-05 | 1.0773 | 1.06232 | 1.06232 |
| 1.07891 | 1.0784 | 0.00468115 | 2.19132e-05 | 1.08755 | 1.0717 | 1.07462 |
| 1.08221 | 1.08214 | 0.00561033 | 3.14758e-05 | 1.09156 | 1.0717 | 1.09133 |
| 1.07624 | 1.07613 | 0.00577761 | 3.33808e-05 | 1.08549 | 1.06628 | 1.07942 |
| 1.07036 | 1.07053 | 0.0028864 | 8.3313e-06 | 1.07569 | 1.06564 | 1.06841 |
| 1.08632 | 1.08951 | 0.00813057 | 6.61062e-05 | 1.0974 | 1.0717 | 1.09103 |
| 1.07269 | 1.07243 | 0.00336851 | 1.13469e-05 | 1.078 | 1.06679 | 1.07316 |
| 1.07774 | 1.07686 | 0.00558609 | 3.12044e-05 | 1.08839 | 1.07053 | 1.08212 |
| 1.06704 | 1.06718 | 0.00281808 | 7.9416e-06 | 1.0717 | 1.06142 | 1.06393 |
| 1.06704 | 1.06561 | 0.0062318 | 3.88354e-05 | 1.07836 | 1.05939 | 1.05939 |
| 1.08116 | 1.08321 | 0.00597636 | 3.57169e-05 | 1.08891 | 1.0717 | 1.08891 |
| 1.07497 | 1.07301 | 0.00554617 | 3.076e-05 | 1.08566 | 1.06793 | 1.08566 |
| 1.07421 | 1.0745 | 0.0022631 | 5.12164e-06 | 1.07701 | 1.0696 | 1.07283 |
| 1.07445 | 1.07328 | 0.00282983 | 8.00795e-06 | 1.0789 | 1.07097 | 1.07257 |
| 1.0623 | 1.06342 | 0.00593675 | 3.5245e-05 | 1.0717 | 1.05224 | 1.05224 |
| 1.07653 | 1.0761 | 0.00327654 | 1.07357e-05 | 1.08452 | 1.0717 | 1.08452 |
| 1.06966 | 1.06973 | 0.00429964 | 1.84869e-05 | 1.0783 | 1.06372 | 1.0783 |
| 1.08403 | 1.08602 | 0.0105544 | 0.000111396 | 1.0973 | 1.06647 | 1.09194 |
| 1.06328 | 1.06213 | 0.00343178 | 1.17771e-05 | 1.0717 | 1.05988 | 1.06102 |
| 1.07949 | 1.07833 | 0.00501067 | 2.51068e-05 | 1.08897 | 1.0717 | 1.08897 |
| 1.07873 | 1.07932 | 0.00407384 | 1.65962e-05 | 1.08553 | 1.0717 | 1.07754 |
| 1.07537 | 1.07462 | 0.00504309 | 2.54328e-05 | 1.08455 | 1.06994 | 1.08173 |
| 1.06017 | 1.05743 | 0.00829949 | 6.88815e-05 | 1.07296 | 1.04879 | 1.04879 |
| 1.07727 | 1.07806 | 0.00317313 | 1.00687e-05 | 1.0815 | 1.0717 | 1.07855 |
| 1.06134 | 1.05914 | 0.00582196 | 3.38953e-05 | 1.0717 | 1.05445 | 1.05579 |
| 1.05802 | 1.05685 | 0.00595273 | 3.5435e-05 | 1.0717 | 1.05124 | 1.05728 |
| 1.05999 | 1.05929 | 0.0064121 | 4.1115e-05 | 1.0717 | 1.05202 | 1.05202 |
| 1.07674 | 1.07777 | 0.00336349 | 1.13131e-05 | 1.08121 | 1.07114 | 1.08121 |
| 1.0792 | 1.07911 | 0.00566356 | 3.20759e-05 | 1.08799 | 1.0717 | 1.08358 |
| 1.06405 | 1.06593 | 0.00604438 | 3.65345e-05 | 1.07272 | 1.05143 | 1.05143 |
| 1.08306 | 1.08373 | 0.00711205 | 5.05812e-05 | 1.09481 | 1.0717 | 1.08975 |
| 1.07149 | 1.07122 | 0.00548928 | 3.01322e-05 | 1.07906 | 1.06146 | 1.06146 |
| 1.08117 | 1.08261 | 0.00481314 | 2.31663e-05 | 1.08639 | 1.0717 | 1.08349 |
| 1.07275 | 1.07288 | 0.00296372 | 8.78362e-06 | 1.07788 | 1.06806 | 1.07788 |
| 1.07443 | 1.0752 | 0.00296462 | 8.78897e-06 | 1.07797 | 1.06908 | 1.07522 |
| 1.06457 | 1.0671 | 0.00795109 | 6.32198e-05 | 1.07432 | 1.05257 | 1.05257 |
| 1.07316 | 1.07288 | 0.00303141 | 9.18943e-06 | 1.07904 | 1.0696 | 1.07235 |
| 1.07634 | 1.07601 | 0.00443944 | 1.97087e-05 | 1.08253 | 1.06946 | 1.08161 |
| 1.07561 | 1.07434 | 0.00375092 | 1.40694e-05 | 1.08366 | 1.07071 | 1.07353 |
| 1.07119 | 1.06999 | 0.0056678 | 3.2124e-05 | 1.07899 | 1.06304 | 1.07779 |
| 1.07757 | 1.07604 | 0.00396877 | 1.57512e-05 | 1.08549 | 1.0717 | 1.08043 |
| 1.06653 | 1.06694 | 0.00560552 | 3.14219e-05 | 1.07376 | 1.05492 | 1.05492 |
| 1.08828 | 1.08989 | 0.00831211 | 6.90912e-05 | 1.09925 | 1.0717 | 1.09525 |
| 1.06886 | 1.07047 | 0.00484553 | 2.34792e-05 | 1.07561 | 1.05665 | 1.05665 |
| 1.06554 | 1.06746 | 0.00855315 | 7.31564e-05 | 1.0766 | 1.05457 | 1.05603 |
| 1.07022 | 1.06979 | 0.00239157 | 5.7196e-06 | 1.07458 | 1.06716 | 1.06858 |
| 1.07738 | 1.07652 | 0.00576125 | 3.31921e-05 | 1.08934 | 1.07008 | 1.08934 |
| 1.08289 | 1.08576 | 0.00653561 | 4.27142e-05 | 1.08916 | 1.07058 | 1.08548 |
| 1.08128 | 1.08034 | 0.00498343 | 2.48346e-05 | 1.09003 | 1.0717 | 1.0807 |
| 1.08134 | 1.08296 | 0.00470289 | 2.21172e-05 | 1.08714 | 1.0717 | 1.08714 |
| 1.0759 | 1.07601 | 0.00436184 | 1.90257e-05 | 1.08412 | 1.06818 | 1.08412 |
| 1.06145 | 1.06146 | 0.0063926 | 4.08653e-05 | 1.0717 | 1.0535 | 1.05415 |
| 1.06722 | 1.06956 | 0.00622426 | 3.87414e-05 | 1.07523 | 1.05619 | 1.06275 |
| 1.07824 | 1.07413 | 0.00706803 | 4.9957e-05 | 1.09384 | 1.0717 | 1.09384 |
| 1.0625 | 1.06155 | 0.00381293 | 1.45384e-05 | 1.0717 | 1.05774 | 1.06104 |
| 1.0753 | 1.0723 | 0.00565598 | 3.19902e-05 | 1.0864 | 1.06973 | 1.06973 |
| 1.06682 | 1.06584 | 0.00460334 | 2.11908e-05 | 1.07315 | 1.05794 | 1.06865 |
| 1.07341 | 1.07268 | 0.00598581 | 3.58299e-05 | 1.08495 | 1.06426 | 1.08495 |
| 1.07393 | 1.07326 | 0.00399307 | 1.59446e-05 | 1.08065 | 1.06646 | 1.06646 |
| 1.07085 | 1.06976 | 0.00477932 | 2.28419e-05 | 1.08007 | 1.06572 | 1.07903 |
| 1.07084 | 1.07043 | 0.00398902 | 1.59123e-05 | 1.07649 | 1.06556 | 1.07479 |
| 1.06777 | 1.06787 | 0.00452868 | 2.05089e-05 | 1.07612 | 1.05933 | 1.06274 |
Premium Calculation
Schedule and Events
| Date | Events |
|---|---|
| 2024/04/10 | LowerBarrier=1.0287000000000002 UpperBarrier=1.075 HighYield=0.0055 MidYield=0.004 LowYield=0.0 Notional=30000000.0 yield=0 N=0 M=0 M1=0 M2=0 |
| 2024/04/17 | N=N+1 if (Spot()<=LowerBarrier) then yield = HighYield M2=M2+1 endIf if(Spot()<=UpperBarrier) and (Spot()>LowerBarrier) then yield = MidYield M = M+1 endIf if(Spot()>UpperBarrier) then yield =LowYield M1=M1+1 endIf |
| 2024/04/19 | opt pays Notional*yield* 0.025 df pays N/N ratio_in pays M/N/df ratio1 pays M1/N/df ratio2 pays M2/N/df |
Schedule and selected 3 simulation
| Date | LOWERBARRIER-0 | UPPERBARRIER-0 | HIGHYIELD-0 | MIDYIELD-0 | LOWYIELD-0 | NOTIONAL-0 | YIELD-0 | N-0 | M-0 | M1-0 | M2-0 | OPT-0 | DF-0 | RATIO_IN-0 | RATIO1-0 | RATIO2-0 | LOWERBARRIER-1 | UPPERBARRIER-1 | HIGHYIELD-1 | MIDYIELD-1 | LOWYIELD-1 | NOTIONAL-1 | YIELD-1 | N-1 | M-1 | M1-1 | M2-1 | OPT-1 | DF-1 | RATIO_IN-1 | RATIO1-1 | RATIO2-1 | LOWERBARRIER-2 | UPPERBARRIER-2 | HIGHYIELD-2 | MIDYIELD-2 | LOWYIELD-2 | NOTIONAL-2 | YIELD-2 | N-2 | M-2 | M1-2 | M2-2 | OPT-2 | DF-2 | RATIO_IN-2 | RATIO1-2 | RATIO2-2 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024/04/10 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2024/04/17 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2024/04/19 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 1 | 0 | 1 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 1 | 0 | 1 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0 | 1 | 0 | 1 | 0 | 0 | 1 | 0 | 1 | 0 |
Result
| Name | Value |
|---|---|
| LOWERBARRIER | 1.0287 |
| UPPERBARRIER | 1.075 |
| HIGHYIELD | 0.0055 |
| MIDYIELD | 0.004 |
| LOWYIELD | 0 |
| NOTIONAL | 3e+07 |
| YIELD | 0.002428 |
| N | 1 |
| M | 0.607 |
| M1 | 0.393 |
| M2 | 0 |
| OPT | 1821 |
| DF | 1 |
| RATIO_IN | 0.607 |
| RATIO1 | 0.393 |
| RATIO2 | 0 |