Simulating Simple Pdt
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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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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
-
8/4/2019 Simulating Simple Pdt
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