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Asset$60.0001234567891011121314151617181920

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Volatility20%Market PriceProbabilityPascal

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IntRate0%0$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.92$76.60$78.32$80.08$81.88$83.72$85.60$87.52$89.49$91.50$93.550.00%10

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Strike$60.771$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.92$76.60$78.32$80.08$81.88$83.72$85.60$87.52$89.490.00%201

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Time25%2$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.92$76.60$78.32$80.08$81.88$83.72$85.600.02%1902

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Steps20.003$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.92$76.60$78.32$80.08$81.880.09%1,1403

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Time per Step0.014$54.90$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.92$76.60$78.320.40%4,8454

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Discount Factor1.005$53.69$54.90$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.67$73.28$74.921.32%15,5045

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temp11.006$52.51$53.69$54.90$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.55$70.09$71.673.38%38,7606

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temp21.007$51.36$52.51$53.69$54.90$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.57$67.05$68.556.91%77,5207

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u1.028$50.23$51.36$52.51$53.69$54.90$56.13$57.39$58.68$60.00$61.35$62.73$64.13$65.5711.48%125,9708

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d0.989$49.13$50.23$51.36$52.51$53.69$54.90$56.13$57.39$58.68$60.00$61.35$62.7315.65%167,9609

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p0.4910$48.05$49.13$50.23$51.36$52.51$53.69$54.90$56.13$57.39$58.68$60.0017.60%184,75610

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11$47.00$48.05$49.13$50.23$51.36$52.51$53.69$54.90$56.13$57.3916.36%167,96011

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Premium$0.77 [1]12$45.96$47.00$48.05$49.13$50.23$51.36$52.51$53.69$54.9012.54%125,97012

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13$44.95$45.96$47.00$48.05$49.13$50.23$51.36$52.517.89%77,52013

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based on a priceless14$43.97$44.95$45.96$47.00$48.05$49.13$50.234.03%38,76014

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deal for retail15$43.00$43.97$44.95$45.96$47.00$48.051.65%15,50415

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Floor$57.2316$42.06$43.00$43.97$44.95$45.960.53%4,84516

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Nominal Discount [2]$2.0017$41.13$42.06$43.00$43.970.13%1,14017

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18$40.23$41.13$42.060.02%19018

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Combined Value($0.10) [3]19$39.34$40.230.00%2019

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20$38.480.00%120

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01234567891011121314151617181920

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Option Payoff

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0($1.09)($1.81)($2.63)($3.58)($4.65)($5.86)($7.19)($8.63)($10.15)($11.74)($13.38)($15.06)($16.78)($18.54)($20.34)($22.18)($24.06)($25.98)($27.95)($29.96)($32.01)

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1($0.38)($1.01)($1.71)($2.53)($3.47)($4.56)($5.78)($7.14)($8.60)($10.14)($11.74)($13.38)($15.06)($16.78)($18.54)($20.34)($22.18)($24.06)($25.98)($27.95)

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2$0.23($0.32)($0.92)($1.60)($2.41)($3.36)($4.46)($5.71)($7.09)($8.57)($10.13)($11.74)($13.38)($15.06)($16.78)($18.54)($20.34)($22.18)($24.06)

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3$0.77$0.27($0.25)($0.82)($1.48)($2.28)($3.23)($4.36)($5.64)($7.05)($8.56)($10.13)($11.74)($13.38)($15.06)($16.78)($18.54)($20.34)

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4$0.77$0.77$0.31($0.17)($0.70)($1.34)($2.13)($3.10)($4.26)($5.58)($7.03)($8.55)($10.13)($11.74)($13.38)($15.06)($16.78)

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5$0.77$0.77$0.77$0.35($0.07)($0.57)($1.18)($1.97)($2.97)($4.17)($5.53)($7.01)($8.55)($10.13)($11.74)($13.38)

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6$0.77$0.77$0.77$0.77$0.41$0.04($0.41)($1.00)($1.80)($2.83)($4.08)($5.51)($7.01)($8.55)($10.13)

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7$0.77$0.77$0.77$0.77$0.77$0.47$0.17($0.22)($0.79)($1.60)($2.69)($4.03)($5.51)($7.01)

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8$0.77$0.77$0.77$0.77$0.77$0.77$0.55$0.33$0.00($0.54)($1.38)($2.59)($4.03)

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9$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.65$0.53$0.29($0.20)($1.19)

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10$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77

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11$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77

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12$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77

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13$0.77$0.77$0.77$0.77$0.77$0.77$0.77$0.77

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14$0.77$0.77$0.77$0.77$0.77$0.77$0.77

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15$0.77$0.77$0.77$0.77$0.77$0.77

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16$0.77$0.77$0.77$0.77$0.77

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17$0.77$0.77$0.77$0.77

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18$0.77$0.77$0.77

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19$0.77$0.77

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20$0.77

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01234567891011121314151617181920

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Basic Hedge Payoffjust a simple forward but with a cap on the loss based on the floor

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0$1.18$2.13$3.20$4.40$5.71$7.10$8.57$10.10$11.67$13.28$14.92$16.60$18.32$20.08$21.88$23.72$25.60$27.52$29.49$31.50$33.55

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1$0.25$1.07$2.03$3.12$4.34$5.67$7.08$8.56$10.09$11.67$13.28$14.92$16.60$18.32$20.08$21.88$23.72$25.60$27.52$29.49

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2($0.55)$0.13$0.96$1.93$3.04$4.29$5.63$7.06$8.56$10.09$11.67$13.28$14.92$16.60$18.32$20.08$21.88$23.72$25.60

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3($1.22)($0.67)$0.01$0.84$1.83$2.97$4.23$5.60$7.05$8.55$10.09$11.67$13.28$14.92$16.60$18.32$20.08$21.88

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4($1.75)($1.34)($0.81)($0.12)$0.72$1.73$2.89$4.19$5.58$7.05$8.55$10.09$11.67$13.28$14.92$16.60$18.32

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5($2.15)($1.87)($1.47)($0.95)($0.26)$0.59$1.63$2.82$4.15$5.57$7.05$8.55$10.09$11.67$13.28$14.92

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6($2.43)($2.25)($1.99)($1.62)($1.10)($0.42)$0.45$1.52$2.76$4.13$5.57$7.05$8.55$10.09$11.67

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7($2.61)($2.51)($2.35)($2.12)($1.77)($1.27)($0.59)$0.31$1.42$2.73$4.13$5.57$7.05$8.55

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8($2.70)($2.66)($2.58)($2.46)($2.26)($1.94)($1.47)($0.79)$0.15$1.35$2.73$4.13$5.57

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9($2.75)($2.73)($2.70)($2.65)($2.56)($2.40)($2.14)($1.70)($1.02)$0.00$1.35$2.73

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10($2.77)($2.76)($2.76)($2.74)($2.71)($2.66)($2.56)($2.37)($2.01)($1.32)$0.00

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11($2.77)($2.77)($2.77)($2.77)($2.77)($2.76)($2.75)($2.73)($2.69)($2.61)

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12($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)

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13($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)

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14($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)

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15($2.77)($2.77)($2.77)($2.77)($2.77)($2.77)

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16($2.77)($2.77)($2.77)($2.77)($2.77)

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17($2.77)($2.77)($2.77)($2.77)

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18($2.77)($2.77)($2.77)

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19($2.77)($2.77)

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20($2.77)

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01234567891011121314151617181920

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Combined Payoff

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0($0.10)$0.22$0.53$0.81$1.05$1.24$1.38$1.47$1.51$1.53$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54

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1($0.40)($0.08)$0.25$0.57$0.86$1.11$1.30$1.42$1.50$1.53$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54

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2($0.72)($0.41)($0.07)$0.28$0.62$0.93$1.17$1.35$1.46$1.52$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54$1.54

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3($1.02)($0.74)($0.41)($0.05)$0.33$0.68$1.00$1.25$1.41$1.50$1.53$1.54$1.54$1.54$1.54$1.54$1.54$1.54

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4($1.30)($1.06)($0.76)($0.41)($0.03)$0.38$0.76$1.08$1.32$1.47$1.53$1.54$1.54$1.54$1.54$1.54$1.54

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5($1.54)($1.35)($1.10)($0.79)($0.42)$0.00$0.44$0.85$1.18$1.41$1.51$1.54$1.54$1.54$1.54$1.54

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6($1.73)($1.60)($1.41)($1.16)($0.83)($0.43)$0.04$0.52$0.97$1.30$1.49$1.54$1.54$1.54$1.54

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7($1.86)($1.78)($1.66)($1.48)($1.22)($0.88)($0.44)$0.08$0.63$1.12$1.44$1.54$1.54$1.54

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8($1.94)($1.90)($1.83)($1.73)($1.56)($1.31)($0.95)($0.45)$0.16$0.81$1.34$1.54$1.54

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9($1.97)($1.97)($1.94)($1.89)($1.81)($1.66)($1.43)($1.05)($0.48)$0.29$1.15$1.54

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10($1.98)($1.99)($1.99)($1.97)($1.94)($1.89)($1.79)($1.60)($1.24)($0.55)$0.77

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11($1.97)($2.00)($2.00)($2.00)($2.00)($1.99)($1.98)($1.96)($1.92)($1.84)

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12($1.93)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)

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13($1.87)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)

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14($1.74)($2.00)($2.00)($2.00)($2.00)($2.00)($2.00)

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15($1.49)($2.00)($2.00)($2.00)($2.00)($2.00)

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16($0.99)($2.00)($2.00)($2.00)($2.00)

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17($2.00)($2.00)($2.00)

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18($2.00)($2.00)($2.00)

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19($2.00)($2.00)

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20($2.00)

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[1] change the premium to target a combined value of 0 --CTCharger Monday, July 09, 2007 1:34:57 PM
[2] this is the discount from the current price the customer is looking for, it will be adjusted for the premium to create the actual floor --CTCharger Monday, July 09, 2007 1:25:47 PM
[3] this is the value of derivatives modeled here --CTCharger Monday, July 09, 2007 1:35:49 PM