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THE DERIVATIVES
LABORATORY

The WWW's Original Webulators

All the calculators below require a forms capable browser


Calculators: Option | Multi-Option | Convertible Bond | Warrant

Calculator Descriptions

OPTIONS
Analyses European options, and calculates: implied volatility or fair value, delta, gamma, theta, vega and rho. An explanation of these indicators is given with each calculation, with appropriate examples. Finally, a share price table is computed to illustrate the changes in option value for a range of share prices. One of the more difficult areas of option valuation concerns volatility, and so we have a brief discussion of option volatility. Output is formatted using tables, so browsers must be <table> compatible.
MULTI-OPTION
This is similar to the Option Calculation above, and the same option valuation algorithm is used. However, the Multi-Option Calculator allows 5 options to be calculated simultaneously. This is vey useful for comparing different options, or for studying the effect of changes on one particular parameter on the option value. In addition, the calculations are output in pre-formatted text, not requiring a web browser to support the 'tables' facility.
CONVERTIBLE BONDS
The calculator analyses: share convertibility (looking at the CB in terms of convertibility into shares); income differential (comparing the CB income with that from shares); downside risk (identifying the minimum value of the CB); and option evaluation (applying option theory to analyse the bonds). The calculations are output in pre-formatted text, not requiring a web browser to support the 'tables' facility.
WARRANTS
This calculates 12 different indicators to analyse warrants. This includes calculation of premium, gearing, CFP, parity ratio and break-even rate. In addition a share price growth matrix is computed, to compare profitability between share and warrant. Finally, a mini-observations box assesses - according to certain criteria - the technical attractiveness of the warrant. Output is formatted using tables, so browsers must be <table> compatible.


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