Monte-Carlo Simulation
About 14 min
Monte-Carlo Simulation
Model:BlackSchole
Parameters: today=2024/04/10 spot=1.0717 rate1=0.04 rate2=0.05
numSimulations:1000
numPath:8
Monte-Carlo Simulation
Simuation Statistics
| Ave | Med | Std | Var | Max | Min | Lst |
|---|---|---|---|---|---|---|
| 1.07699 | 1.07728 | 0.00373984 | 1.39864e-05 | 1.08292 | 1.07167 | 1.07592 |
| 1.07595 | 1.07552 | 0.00360556 | 1.3e-05 | 1.08207 | 1.0717 | 1.08098 |
| 1.07461 | 1.07508 | 0.00286667 | 8.21781e-06 | 1.07904 | 1.07014 | 1.07904 |
| 1.0685 | 1.06979 | 0.00284517 | 8.095e-06 | 1.0718 | 1.06431 | 1.07 |
| 1.07311 | 1.07262 | 0.00449142 | 2.01729e-05 | 1.07931 | 1.0656 | 1.06826 |
| 1.0818 | 1.08404 | 0.00716257 | 5.13025e-05 | 1.09055 | 1.0711 | 1.08507 |
| 1.06138 | 1.05897 | 0.00636659 | 4.05335e-05 | 1.0717 | 1.05401 | 1.05936 |
| 1.07829 | 1.07603 | 0.00651862 | 4.24923e-05 | 1.08891 | 1.07124 | 1.08891 |
| 1.06658 | 1.06715 | 0.00466025 | 2.17179e-05 | 1.07336 | 1.05816 | 1.05816 |
| 1.07469 | 1.07566 | 0.00345373 | 1.19283e-05 | 1.07885 | 1.06725 | 1.07784 |
| 1.06635 | 1.06726 | 0.00344136 | 1.1843e-05 | 1.0717 | 1.06025 | 1.06025 |
| 1.07169 | 1.07148 | 0.00441842 | 1.95224e-05 | 1.07923 | 1.0636 | 1.07126 |
| 1.08215 | 1.08451 | 0.00613445 | 3.76315e-05 | 1.0902 | 1.0717 | 1.0902 |
| 1.07244 | 1.07139 | 0.00312372 | 9.75764e-06 | 1.07757 | 1.06815 | 1.06992 |
| 1.07855 | 1.07872 | 0.00376328 | 1.41623e-05 | 1.08376 | 1.0717 | 1.08254 |
| 1.0702 | 1.07041 | 0.00244968 | 6.00095e-06 | 1.0735 | 1.06674 | 1.0726 |
| 1.08032 | 1.08116 | 0.00845432 | 7.14755e-05 | 1.09412 | 1.0685 | 1.09412 |
| 1.07143 | 1.07119 | 0.00194889 | 3.79817e-06 | 1.07565 | 1.06914 | 1.06997 |
| 1.07021 | 1.07028 | 0.00154847 | 2.39776e-06 | 1.07195 | 1.0677 | 1.06907 |
| 1.07818 | 1.0802 | 0.00474166 | 2.24833e-05 | 1.08268 | 1.06996 | 1.08109 |
| 1.05821 | 1.05503 | 0.00996576 | 9.93164e-05 | 1.0717 | 1.04391 | 1.04391 |
| 1.06188 | 1.06058 | 0.0046232 | 2.1374e-05 | 1.0717 | 1.05735 | 1.06507 |
| 1.06592 | 1.0648 | 0.00268306 | 7.19882e-06 | 1.0717 | 1.06233 | 1.06233 |
| 1.05944 | 1.05751 | 0.00652404 | 4.25631e-05 | 1.0717 | 1.05194 | 1.05562 |
| 1.05805 | 1.05818 | 0.00748237 | 5.59858e-05 | 1.0717 | 1.04653 | 1.05316 |
| 1.06411 | 1.06424 | 0.00432467 | 1.87028e-05 | 1.0717 | 1.05862 | 1.06845 |
| 1.07424 | 1.07402 | 0.00288475 | 8.3218e-06 | 1.07848 | 1.06988 | 1.07826 |
| 1.06886 | 1.06859 | 0.00176652 | 3.12059e-06 | 1.0717 | 1.06638 | 1.06863 |
| 1.07562 | 1.07483 | 0.00402968 | 1.62383e-05 | 1.0837 | 1.07132 | 1.0837 |
| 1.07345 | 1.07203 | 0.00298295 | 8.89799e-06 | 1.07985 | 1.07044 | 1.07985 |
| 1.06908 | 1.06998 | 0.00408782 | 1.67103e-05 | 1.07534 | 1.06279 | 1.07534 |
| 1.07363 | 1.07347 | 0.00191114 | 3.65246e-06 | 1.076 | 1.07065 | 1.076 |
| 1.08293 | 1.08335 | 0.00567814 | 3.22412e-05 | 1.08931 | 1.0717 | 1.08416 |
| 1.07153 | 1.07173 | 0.0031366 | 9.83824e-06 | 1.07574 | 1.06623 | 1.06961 |
| 1.06006 | 1.05939 | 0.00652087 | 4.25217e-05 | 1.0717 | 1.05143 | 1.05143 |
| 1.06289 | 1.06231 | 0.0035604 | 1.26765e-05 | 1.0717 | 1.05945 | 1.06202 |
| 1.06558 | 1.06582 | 0.00418143 | 1.74843e-05 | 1.0717 | 1.05899 | 1.06664 |
| 1.07526 | 1.07533 | 0.00215412 | 4.64023e-06 | 1.07794 | 1.0717 | 1.07794 |
| 1.07798 | 1.07704 | 0.00554576 | 3.07554e-05 | 1.08657 | 1.07059 | 1.07482 |
| 1.07111 | 1.07158 | 0.00359581 | 1.29299e-05 | 1.078 | 1.06574 | 1.07099 |
| 1.0802 | 1.07953 | 0.00587353 | 3.44984e-05 | 1.09 | 1.0717 | 1.09 |
| 1.068 | 1.06883 | 0.00394953 | 1.55988e-05 | 1.07281 | 1.05969 | 1.05969 |
| 1.0759 | 1.07579 | 0.0029377 | 8.63009e-06 | 1.08139 | 1.0717 | 1.07707 |
| 1.08021 | 1.07963 | 0.00571656 | 3.26791e-05 | 1.0898 | 1.0717 | 1.0898 |
| 1.07112 | 1.0717 | 0.00137972 | 1.90362e-06 | 1.0727 | 1.06851 | 1.06851 |
| 1.07243 | 1.07159 | 0.00157083 | 2.46751e-06 | 1.07497 | 1.07077 | 1.07149 |
| 1.0707 | 1.07087 | 0.00213052 | 4.53911e-06 | 1.07417 | 1.06762 | 1.07005 |
| 1.08334 | 1.08396 | 0.00530462 | 2.8139e-05 | 1.09076 | 1.0717 | 1.08102 |
| 1.06971 | 1.07004 | 0.00284959 | 8.12014e-06 | 1.07302 | 1.06477 | 1.06555 |
| 1.07469 | 1.07467 | 0.00352478 | 1.24241e-05 | 1.07902 | 1.0695 | 1.07828 |
| 1.07067 | 1.07034 | 0.00362262 | 1.31234e-05 | 1.07881 | 1.067 | 1.07881 |
| 1.06926 | 1.06971 | 0.00390482 | 1.52476e-05 | 1.07614 | 1.0632 | 1.07614 |
| 1.06857 | 1.06911 | 0.00250555 | 6.27777e-06 | 1.07186 | 1.06504 | 1.06536 |
| 1.07316 | 1.07315 | 0.00264445 | 6.99313e-06 | 1.07829 | 1.06818 | 1.06818 |
| 1.07248 | 1.07173 | 0.00302855 | 9.17213e-06 | 1.07707 | 1.06895 | 1.07434 |
| 1.08258 | 1.08414 | 0.00511248 | 2.61375e-05 | 1.08874 | 1.0717 | 1.08538 |
| 1.07088 | 1.07217 | 0.00533682 | 2.84816e-05 | 1.07828 | 1.0629 | 1.0629 |
| 1.07632 | 1.07691 | 0.0023914 | 5.7188e-06 | 1.07971 | 1.0717 | 1.07799 |
| 1.06766 | 1.06778 | 0.00241593 | 5.83674e-06 | 1.0717 | 1.06373 | 1.06653 |
| 1.07654 | 1.0771 | 0.00266354 | 7.09443e-06 | 1.08066 | 1.0717 | 1.08066 |
| 1.0663 | 1.06731 | 0.00416086 | 1.73128e-05 | 1.0717 | 1.05933 | 1.06225 |
| 1.06916 | 1.06928 | 0.0035878 | 1.28723e-05 | 1.0735 | 1.06095 | 1.0735 |
| 1.07075 | 1.07123 | 0.00165156 | 2.72766e-06 | 1.07293 | 1.0673 | 1.0673 |
| 1.08199 | 1.08402 | 0.00515513 | 2.65753e-05 | 1.08774 | 1.0717 | 1.0848 |
| 1.0644 | 1.06265 | 0.00636227 | 4.04785e-05 | 1.07348 | 1.05697 | 1.06068 |
| 1.07464 | 1.07373 | 0.00468987 | 2.19949e-05 | 1.08118 | 1.06833 | 1.07564 |
| 1.07058 | 1.07055 | 0.00192065 | 3.68888e-06 | 1.07315 | 1.06696 | 1.07072 |
| 1.06515 | 1.06413 | 0.00385371 | 1.48511e-05 | 1.0717 | 1.06039 | 1.06259 |
| 1.07399 | 1.07207 | 0.00554362 | 3.07317e-05 | 1.08363 | 1.06661 | 1.06661 |
| 1.07222 | 1.07241 | 0.00256484 | 6.57838e-06 | 1.07649 | 1.06847 | 1.07313 |
| 1.07936 | 1.0791 | 0.0037209 | 1.38451e-05 | 1.08519 | 1.0717 | 1.07843 |
| 1.06318 | 1.06239 | 0.0069701 | 4.85823e-05 | 1.0717 | 1.04929 | 1.04929 |
| 1.06895 | 1.06975 | 0.00401359 | 1.61089e-05 | 1.07396 | 1.0624 | 1.0624 |
| 1.07154 | 1.07119 | 0.00246982 | 6.10003e-06 | 1.07569 | 1.06788 | 1.07419 |
| 1.06964 | 1.06899 | 0.00243439 | 5.92625e-06 | 1.07404 | 1.06653 | 1.06861 |
| 1.07611 | 1.07767 | 0.00245407 | 6.02245e-06 | 1.07833 | 1.0717 | 1.07833 |
| 1.06612 | 1.06786 | 0.0048954 | 2.39649e-05 | 1.072 | 1.05851 | 1.05851 |
| 1.07842 | 1.07847 | 0.00543244 | 2.95114e-05 | 1.08804 | 1.0717 | 1.08804 |
| 1.07945 | 1.08013 | 0.00357013 | 1.27458e-05 | 1.0836 | 1.0717 | 1.08185 |
| 1.08016 | 1.08 | 0.00416684 | 1.73626e-05 | 1.08457 | 1.0717 | 1.08457 |
| 1.07305 | 1.07353 | 0.00184129 | 3.39033e-06 | 1.07545 | 1.06968 | 1.07545 |
| 1.07594 | 1.07736 | 0.00307444 | 9.45221e-06 | 1.07951 | 1.07063 | 1.07063 |
| 1.06288 | 1.06241 | 0.00455024 | 2.07046e-05 | 1.0717 | 1.05641 | 1.0632 |
| 1.07648 | 1.07635 | 0.00335212 | 1.12367e-05 | 1.08188 | 1.0717 | 1.07815 |
| 1.07698 | 1.07801 | 0.00377558 | 1.4255e-05 | 1.08307 | 1.07116 | 1.07791 |
| 1.07465 | 1.07307 | 0.00416776 | 1.73703e-05 | 1.08353 | 1.07051 | 1.08353 |
| 1.06684 | 1.06832 | 0.00508222 | 2.5829e-05 | 1.07314 | 1.05767 | 1.05767 |
| 1.06015 | 1.05923 | 0.00624864 | 3.90455e-05 | 1.0717 | 1.05128 | 1.05128 |
| 1.07142 | 1.07138 | 0.00199941 | 3.99764e-06 | 1.07562 | 1.06792 | 1.07562 |
| 1.07722 | 1.07704 | 0.00325042 | 1.05652e-05 | 1.08213 | 1.0717 | 1.07709 |
| 1.07457 | 1.07402 | 0.00320583 | 1.02773e-05 | 1.07982 | 1.06998 | 1.07982 |
| 1.06565 | 1.06584 | 0.00463078 | 2.14441e-05 | 1.0717 | 1.05683 | 1.06247 |
| 1.08062 | 1.07885 | 0.00817994 | 6.69114e-05 | 1.09705 | 1.07134 | 1.09705 |
| 1.06973 | 1.0718 | 0.00446316 | 1.99198e-05 | 1.07676 | 1.06277 | 1.07225 |
| 1.07361 | 1.07354 | 0.00463839 | 2.15146e-05 | 1.07966 | 1.0654 | 1.0738 |
| 1.06642 | 1.06667 | 0.00532577 | 2.83639e-05 | 1.07185 | 1.05514 | 1.05514 |
| 1.07213 | 1.07232 | 0.00170758 | 2.91582e-06 | 1.07456 | 1.06957 | 1.07456 |
| 1.07187 | 1.07226 | 0.00222331 | 4.94309e-06 | 1.07542 | 1.06724 | 1.0721 |
| 1.06958 | 1.06918 | 0.00318962 | 1.01737e-05 | 1.0746 | 1.0655 | 1.06929 |
| 1.08058 | 1.08169 | 0.00487762 | 2.37912e-05 | 1.08562 | 1.0717 | 1.0833 |
| 1.07963 | 1.08062 | 0.00557582 | 3.10897e-05 | 1.08579 | 1.0717 | 1.08579 |
| 1.07385 | 1.07391 | 0.0058103 | 3.37596e-05 | 1.0838 | 1.06447 | 1.0838 |
| 1.07407 | 1.07413 | 0.00305177 | 9.31332e-06 | 1.07797 | 1.06827 | 1.07351 |
| 1.06992 | 1.06987 | 0.00249986 | 6.24932e-06 | 1.07318 | 1.06425 | 1.06919 |
| 1.06279 | 1.06196 | 0.00794628 | 6.31433e-05 | 1.07334 | 1.05119 | 1.05687 |
| 1.07456 | 1.07469 | 0.00281292 | 7.91251e-06 | 1.07934 | 1.07113 | 1.07934 |
| 1.06438 | 1.06381 | 0.00406558 | 1.65289e-05 | 1.0717 | 1.0589 | 1.05972 |
| 1.06987 | 1.06926 | 0.00395312 | 1.56272e-05 | 1.07588 | 1.06541 | 1.07564 |
| 1.07858 | 1.07987 | 0.00484658 | 2.34893e-05 | 1.08495 | 1.0717 | 1.08495 |
| 1.06474 | 1.06505 | 0.0058583 | 3.43197e-05 | 1.07174 | 1.05744 | 1.05945 |
| 1.06881 | 1.06843 | 0.00241034 | 5.80973e-06 | 1.07326 | 1.06537 | 1.06823 |
| 1.068 | 1.06791 | 0.00396414 | 1.57144e-05 | 1.07411 | 1.06177 | 1.07411 |
| 1.07321 | 1.07347 | 0.00276172 | 7.62712e-06 | 1.0784 | 1.06773 | 1.06773 |
| 1.06549 | 1.06557 | 0.00555739 | 3.08846e-05 | 1.07285 | 1.05683 | 1.05683 |
| 1.06206 | 1.06089 | 0.0052242 | 2.72922e-05 | 1.0717 | 1.05564 | 1.0566 |
| 1.06292 | 1.06205 | 0.00432181 | 1.8678e-05 | 1.0717 | 1.05807 | 1.05842 |
| 1.06333 | 1.06221 | 0.00380984 | 1.45149e-05 | 1.0717 | 1.05922 | 1.05959 |
| 1.06467 | 1.06539 | 0.00557372 | 3.10663e-05 | 1.0717 | 1.05602 | 1.0614 |
| 1.06198 | 1.05889 | 0.00586373 | 3.43833e-05 | 1.0717 | 1.05616 | 1.05669 |
| 1.07318 | 1.07331 | 0.00255892 | 6.54805e-06 | 1.07753 | 1.06841 | 1.07265 |
| 1.07198 | 1.07137 | 0.00220322 | 4.85416e-06 | 1.07552 | 1.0689 | 1.06974 |
| 1.0753 | 1.07585 | 0.00226074 | 5.11092e-06 | 1.07868 | 1.0717 | 1.0723 |
| 1.08249 | 1.08287 | 0.00637166 | 4.05981e-05 | 1.09307 | 1.0717 | 1.08693 |
| 1.07325 | 1.07332 | 0.00279441 | 7.80871e-06 | 1.07782 | 1.06945 | 1.07593 |
| 1.07365 | 1.07122 | 0.00646169 | 4.17535e-05 | 1.08424 | 1.06308 | 1.0783 |
| 1.07143 | 1.07176 | 0.00248217 | 6.16118e-06 | 1.07427 | 1.06622 | 1.07349 |
| 1.07068 | 1.07213 | 0.00475582 | 2.26178e-05 | 1.07908 | 1.06433 | 1.07355 |
| 1.07084 | 1.0714 | 0.00369476 | 1.36512e-05 | 1.07579 | 1.06477 | 1.07111 |
| 1.07605 | 1.07675 | 0.00394364 | 1.55523e-05 | 1.08233 | 1.07038 | 1.07038 |
| 1.0845 | 1.08563 | 0.0058858 | 3.46427e-05 | 1.09172 | 1.0717 | 1.09172 |
| 1.06924 | 1.06827 | 0.00301257 | 9.07558e-06 | 1.07577 | 1.06562 | 1.07577 |
| 1.06333 | 1.06199 | 0.0043851 | 1.92291e-05 | 1.0717 | 1.05772 | 1.05966 |
| 1.07709 | 1.07865 | 0.00305168 | 9.31276e-06 | 1.08018 | 1.0717 | 1.07412 |
| 1.06988 | 1.0712 | 0.0022274 | 4.9613e-06 | 1.0717 | 1.06501 | 1.07123 |
| 1.06465 | 1.06305 | 0.00548151 | 3.0047e-05 | 1.07174 | 1.05842 | 1.05842 |
| 1.06681 | 1.06677 | 0.0031819 | 1.01245e-05 | 1.0717 | 1.06231 | 1.07012 |
| 1.06905 | 1.06948 | 0.00287755 | 8.28032e-06 | 1.07362 | 1.06535 | 1.07362 |
| 1.06965 | 1.07017 | 0.00218692 | 4.78263e-06 | 1.07237 | 1.06614 | 1.06932 |
| 1.07281 | 1.07274 | 0.00391343 | 1.5315e-05 | 1.0773 | 1.06701 | 1.06701 |
| 1.07972 | 1.08051 | 0.00487735 | 2.37886e-05 | 1.08755 | 1.0717 | 1.07669 |
| 1.07991 | 1.08062 | 0.00356367 | 1.26997e-05 | 1.08307 | 1.0717 | 1.08307 |
| 1.07559 | 1.07373 | 0.00628846 | 3.95448e-05 | 1.08549 | 1.06628 | 1.08549 |
| 1.07036 | 1.07053 | 0.00307443 | 9.45212e-06 | 1.07569 | 1.06564 | 1.06841 |
| 1.08521 | 1.08545 | 0.00874252 | 7.64317e-05 | 1.0974 | 1.0717 | 1.0961 |
| 1.07276 | 1.07349 | 0.00374196 | 1.40023e-05 | 1.078 | 1.06679 | 1.07531 |
| 1.07647 | 1.07631 | 0.0055458 | 3.07559e-05 | 1.08839 | 1.07053 | 1.08839 |
| 1.06767 | 1.068 | 0.00280138 | 7.84774e-06 | 1.0717 | 1.06142 | 1.06866 |
| 1.06863 | 1.06949 | 0.00596222 | 3.55481e-05 | 1.07836 | 1.06099 | 1.06099 |
| 1.07962 | 1.08176 | 0.00566891 | 3.21366e-05 | 1.08602 | 1.0717 | 1.08602 |
| 1.07261 | 1.07235 | 0.00321264 | 1.0321e-05 | 1.07967 | 1.06793 | 1.07967 |
| 1.07403 | 1.0745 | 0.00227084 | 5.15671e-06 | 1.07695 | 1.0696 | 1.07567 |
| 1.07438 | 1.07327 | 0.00296905 | 8.81528e-06 | 1.0789 | 1.07097 | 1.07399 |
| 1.0645 | 1.06486 | 0.00441987 | 1.95352e-05 | 1.0717 | 1.05612 | 1.05612 |
| 1.07517 | 1.07541 | 0.00160903 | 2.58897e-06 | 1.07707 | 1.0717 | 1.07595 |
| 1.06795 | 1.068 | 0.00277505 | 7.70091e-06 | 1.0717 | 1.06372 | 1.06936 |
| 1.08138 | 1.08247 | 0.0101182 | 0.000102379 | 1.09507 | 1.06647 | 1.09507 |
| 1.06365 | 1.06217 | 0.00372593 | 1.38826e-05 | 1.0717 | 1.05988 | 1.06481 |
| 1.0777 | 1.07754 | 0.00375659 | 1.4112e-05 | 1.08553 | 1.0717 | 1.08553 |
| 1.07937 | 1.07963 | 0.00426728 | 1.82097e-05 | 1.08553 | 1.0717 | 1.07983 |
| 1.07343 | 1.07193 | 0.00352961 | 1.24581e-05 | 1.07922 | 1.06994 | 1.07709 |
| 1.06245 | 1.05968 | 0.0076724 | 5.88657e-05 | 1.07296 | 1.05242 | 1.05611 |
| 1.0769 | 1.07699 | 0.00344984 | 1.19014e-05 | 1.0815 | 1.0717 | 1.0806 |
| 1.06232 | 1.06203 | 0.00607385 | 3.68917e-05 | 1.0717 | 1.05445 | 1.05925 |
| 1.05832 | 1.05653 | 0.00661938 | 4.38162e-05 | 1.0717 | 1.05124 | 1.0576 |
| 1.06177 | 1.06055 | 0.00594314 | 3.53209e-05 | 1.0717 | 1.05344 | 1.05573 |
| 1.07578 | 1.07694 | 0.00306863 | 9.41649e-06 | 1.08007 | 1.07114 | 1.08007 |
| 1.07809 | 1.07501 | 0.00582735 | 3.39581e-05 | 1.08799 | 1.0717 | 1.08799 |
| 1.06645 | 1.06607 | 0.00381951 | 1.45887e-05 | 1.07272 | 1.06071 | 1.06071 |
| 1.08159 | 1.0811 | 0.00722765 | 5.22389e-05 | 1.09481 | 1.0717 | 1.09481 |
| 1.0732 | 1.07208 | 0.00452617 | 2.04862e-05 | 1.07906 | 1.06641 | 1.07075 |
| 1.08113 | 1.08292 | 0.00527153 | 2.7789e-05 | 1.08639 | 1.0717 | 1.08172 |
| 1.07195 | 1.07159 | 0.00261391 | 6.83252e-06 | 1.07594 | 1.06806 | 1.07127 |
| 1.07406 | 1.07353 | 0.00319056 | 1.01797e-05 | 1.07797 | 1.06908 | 1.07518 |
| 1.06733 | 1.06846 | 0.00636229 | 4.04787e-05 | 1.07432 | 1.05458 | 1.05458 |
| 1.07366 | 1.0735 | 0.00314273 | 9.87678e-06 | 1.07904 | 1.0696 | 1.07002 |
| 1.07517 | 1.07505 | 0.00419819 | 1.76248e-05 | 1.08253 | 1.06946 | 1.08253 |
| 1.07554 | 1.0743 | 0.00401671 | 1.6134e-05 | 1.08366 | 1.07071 | 1.08366 |
| 1.06939 | 1.06827 | 0.00488449 | 2.38583e-05 | 1.07692 | 1.06304 | 1.07692 |
| 1.07622 | 1.07579 | 0.00300161 | 9.00968e-06 | 1.0817 | 1.0717 | 1.07993 |
| 1.06834 | 1.06958 | 0.00426069 | 1.81535e-05 | 1.07376 | 1.06116 | 1.06116 |
| 1.08603 | 1.087 | 0.00776003 | 6.0218e-05 | 1.09617 | 1.0717 | 1.09409 |
| 1.07069 | 1.07138 | 0.00257899 | 6.65121e-06 | 1.07561 | 1.06682 | 1.06748 |
| 1.0681 | 1.07076 | 0.00764852 | 5.84999e-05 | 1.0766 | 1.05487 | 1.05487 |
| 1.07071 | 1.0703 | 0.00243135 | 5.91146e-06 | 1.07458 | 1.06716 | 1.06716 |
| 1.07505 | 1.07493 | 0.00354227 | 1.25476e-05 | 1.08134 | 1.07008 | 1.08134 |
| 1.08178 | 1.08355 | 0.00681257 | 4.6411e-05 | 1.08901 | 1.07058 | 1.08855 |
| 1.08163 | 1.08174 | 0.00550295 | 3.02825e-05 | 1.09003 | 1.0717 | 1.078 |
| 1.08007 | 1.08189 | 0.00440795 | 1.94301e-05 | 1.08519 | 1.0717 | 1.08266 |
| 1.07422 | 1.07451 | 0.00301137 | 9.06834e-06 | 1.07779 | 1.06818 | 1.07779 |
| 1.06335 | 1.06406 | 0.00573495 | 3.28897e-05 | 1.0717 | 1.05482 | 1.05621 |
| 1.06869 | 1.0707 | 0.00609646 | 3.71668e-05 | 1.07523 | 1.05619 | 1.05619 |
| 1.07512 | 1.07357 | 0.00337974 | 1.14227e-05 | 1.08288 | 1.0717 | 1.08288 |
| 1.06251 | 1.06155 | 0.00420122 | 1.76502e-05 | 1.0717 | 1.05774 | 1.06203 |
| 1.07575 | 1.0723 | 0.00595292 | 3.54373e-05 | 1.0864 | 1.07023 | 1.08404 |
| 1.06674 | 1.06539 | 0.00508615 | 2.58689e-05 | 1.07315 | 1.05794 | 1.0629 |
| 1.07118 | 1.0717 | 0.00425427 | 1.80988e-05 | 1.07762 | 1.06426 | 1.07762 |
| 1.07515 | 1.07503 | 0.00329052 | 1.08275e-05 | 1.08065 | 1.07088 | 1.07886 |
| 1.06868 | 1.06805 | 0.0022053 | 4.86337e-06 | 1.0717 | 1.06572 | 1.07154 |
| 1.06965 | 1.06897 | 0.00353792 | 1.25169e-05 | 1.07611 | 1.06556 | 1.07611 |
| 1.06945 | 1.06869 | 0.00327728 | 1.07406e-05 | 1.07612 | 1.06479 | 1.06479 |
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 |
| 2024/04/15 | N=N+1 if (Spot()<=LowerBarrier) then yield = LowYield M1=M1+1 endIf if(Spot()<=UpperBarrier) and (Spot()>LowerBarrier) then yield = MidYield M = M+1 endIf if(Spot()>UpperBarrier) then yield =HighYield M2=M2+1 endIf |
| 2024/04/17 | opt pays Notional*yield* 0.019 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 |
| 2024/04/15 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.0055 | 1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.004 | 1 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.004 | 1 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 2024/04/17 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.0055 | 1 | 0 | 0 | 1 | 3135 | 1 | 0 | 0 | 1 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.004 | 1 | 1 | 0 | 0 | 2280 | 1 | 1 | 0 | 0 | 1.0287 | 1.075 | 0.0055 | 0.004 | 0 | 3e+07 | 0.004 | 1 | 1 | 0 | 0 | 2280 | 1 | 1 | 0 | 0 |
Result
| Name | Value |
|---|---|
| LOWERBARRIER | 1.0287 |
| UPPERBARRIER | 1.075 |
| HIGHYIELD | 0.0055 |
| MIDYIELD | 0.004 |
| LOWYIELD | 0 |
| NOTIONAL | 3e+07 |
| YIELD | 0.0045385 |
| N | 1 |
| M | 0.641 |
| M1 | 0 |
| M2 | 0.359 |
| OPT | 2586.95 |
| DF | 1 |
| RATIO_IN | 0.641 |
| RATIO1 | 0 |
| RATIO2 | 0.359 |