DerivaGem Software
DerivaGem 3.00 incorporates a number of new features for readers of Options, Futures, and Other Derivatives, 9th edition. European options can be valued using the CEV, Merton mixed jump–diffusion, and variance-gamma models, which are discussed in Chapter 27. Monte Carlo experiments can be run. LIBOR and OIS zero curves can be calculated from market data. Swaps and bonds can be valued. When swaps, caps, and swaptions are valued, either OIS or LIBOR discounting can be used.
Getting Started
The most difficult part of using any software is getting started. Here is a step-by-step guide to getting started with DerivaGem 3.00.
Use the access card that comes with this book to load DG300.xls, DG300 functions.xls, and DG300 applications.xls ...
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