期权计算器DerivaGem_Version_2.01

lt Rate Data Time (Yrs) Hazard Rate Life (Years) 51 0.0038 Recovery Rate 0.45 0.0038 Number of Names 125 10 0.0038 No. of Integration Points 10 25 0.0038 Payment Frequency: Attachment Point (%) Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr 0.00% 3.00% 500.00 10.340% 0.1625 3.00% 6.00% 41.59 0.0803 6.00% 9.00% 11.95 0.1418 9.00% 12.00% 5.60 0.1855 12.00% 22.00% 2.00 0.2360 Quarterly Calculate Upfront Imply Corr. Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront Term Structure Time (Yrs) Rate (%) 1 5.000% 2 5.000% 3 5.000% 4 5.000% 5 5.000% ExpLoss PVPmts Base Corr. 28.700% 3.6718 0.1625 1.819% 4.3737 0.2621 0.525% 4.3898 0.3323 0.245% 4.3932 0.3925 0.088% 4.3952 0.5807 Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront