Delta

Vol

86.04
20.14%

81.04
18.64%

Market Curve
61.04
15.64%

76.04
17.14%

Interpolation

Intervals

Particular value

45

Delta
Vol

86.04
20.14%

Boudary conditions
y'(0)
y'(n)
y''(0)
y''(n)

Linear
14.05%

Polynomial
Cubic Spline

83.54
19.52%

81.04
18.64%

78.54
17.81%

76.04
17.14%

24%

0.005
-0.005
-0.001
0.001

22%
20%
18%
16%
14%
12%
100.00 90.00

Delta Values
86.04

K=1

K=2

80.00

K=3

70.00

60.00

K=4

0.20
0.08

81.04

0.19

76.04

0.17

0.08
0.08

0.26
0.19

0.14
61.04

0.16

0.13
0.14

0.14
50.00

0.14

25.00

0.15

10.00

0.16

0.14
0.14

0.14
0.15

0.17
0.11

0.16

0.16
0.23

0.11
0.11

0.17

0.14

0.14
0.14

0.00

0.13
0.14

0.14

5.00

0.11

50.00

Market Curve
50.00
14.28%

25.00
15.04%

10.00
15.74%

5.00
16.44%

0.00
17.14%

Volatility Smile
61.04
55.52
15.64%
14.95%

50.00
14.28%

37.50
14.28%

3
Natural Spline
First derivative
Second derivative
68.54
16.14%

25.00
15.04%

17.50
15.21%

2.00
0.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
2.00
0.25
0.00
0.00
0.00
0.00
0.00
0.00

Implied Volatility

50.00

40.00

K=5

30.00

20.00

K=6

10.00

0.000

K=7

K=8

0.13
0.13
0.14

0.14
0.14

0.14

0.14
0.14

0.15

0.14

10.00
15.74%

7.50
16.10%

5.00
16.44%

2.50
16.68%

0.00
17.14%

0.00
0.50
2.00
0.58
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.75
2.00
0.31
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.42
2.00
0.63
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.69
2.00
0.75
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.38
2.00
0.50
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.25
2.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.50
2.00

Delta
Vol

86.04
20.14%

81.04
18.64%

76.04
17.14%

81.04
18.64%

78.54
17.89%

Market Curve
61.04
50.00
15.64%
14.28%

Interpolation
Intervals

Particular value

Delta
Vol

45

86.04
20.14%
2
Linear
Polynomial
Cubic Spline

14.43%

83.54
19.39%

76.04
17.14%

68.54
16.39%

24%
22%
20%
18%
16%
14%
12%
100.00 90.00

80.00

70.00

60.00

50.00

40.00

30.00

ve
25.00
15.04%

10.00
15.74%

5.00
16.44%

0.00
17.14%

61.04
15.64%

Volatility Smile
55.52
14.96%

50.00
14.28%

37.50
14.66%

Implied Volatility

30.00

20.00

10.00

0.00

25.00
15.04%

17.50
15.39%

10.00
15.74%

7.50
16.09%

5.00
16.44%

2.50
16.79%

0.00
17.14%

Delta
Vol

86.04
20.14%

Intervals
Particular value

2
45

81.04
18.64%

76.04
17.14%

K=1

K=2

Market Curve
61.04
50.00
15.64%
14.28%

13.81%

Delta Values
86.04

0.20

81.04

0.19

K=3

K=4

0.08
0.08
0.08
76.04

0.17

0.26
0.19

0.14
61.04

0.16

50.00

0.14

25.00

0.15

0.14
0.14

0.14

0.16

0.14

0.00

0.17

0.14
0.15

0.17
0.11

0.16

0.14

0.14
0.14

5.00

0.13

0.14
0.14

10.00

0.11
0.13

0.16
0.23

0.11
0.11

Delta
Vol

86.04
20.14%

83.54
19.52%

81.04
18.64%

78.54
17.81%

76.04
17.14%

68.54
16.16%

urve
25.00
15.04%

10.00
15.74%

5.00
16.44%

0.00
17.14%

24%

22%

20%

18%

K=5

K=6

K=7

K=8
16%

14%

0.13
0.13
0.14

12%
100.00

90.00

17.50
15.41%

10.00
15.74%

0.14
0.14

0.14

0.14
0.14

0.14
0.15

61.04
15.64%

Volatility Smile
55.52
50.00
15.01%
14.28%

37.50
13.82%

25.00
15.04%

"Implied Volatility"

80.00

7.50
16.03%

70.00

60.00

5.00
16.44%

50.00

2.50
16.88%

40.00

0.00
17.14%

30.00

20.00

10.00

0.00

-5.00
Delta
Vol

Intervals
Particular value
Boudary conditions
y'(0)
y'(n)
y''(0)
y''(n)

86.04
20.14%

2
45

-5.00

81.04
18.64%

76.04
17.14%

14.04%

0.5
3
0.5 Natural Spline
0 First derivative
0 Second derivative

Delta
Vol

86.04
20.14%

0
1
2
3
4
5
6
7
8

-15.00
Market Curve
61.04
15.64%

83.54
19.40%

81.04
18.64%

0 lamda
mu
-5
0.5
0.5
-5
0.75
0.25
-15 0.42386202 0.57613798
-11.03543 0.69376167 0.30623833
-25
0.375
0.625
-15
0.25
0.75
-5
0.5
0.5
-5
0
0.5
3.33062E-18

2.00
0.50
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
2.00
0.25
0.00
0.00
0.00
0.00
0.00
0.00

78.54
17.85%

76.04
17.14%

p
-3.3306E-18
2
0.0006
1.9375
-5.3556E-05 1.77697885
0.00025581
1.9269531
2.44E-05 1.77498101
0.00028
1.8415476
3.3306E-18 1.93212231
3.3306E-18
2
0

0.50
-0.12956016
0.01824065
-0.00545501
0.00094582
-0.0003187
0.00012337
-3.0842E-05
0

0
0.51824065
-0.0729626
0.02182006
-0.00378327
0.0012748
-0.00049347
0.00012337
0

-11.04

-25.00

-15.00

-5.00

-5.00

Market Curve
50.00
14.28%

25.00
15.04%

0.00
0.50
2.00
0.58
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.75
2.00
0.31
0.00
0.00
0.00
0.00

68.54
16.10%

10.00
15.74%

5.00
16.44%

0.00
17.14%

0.00
0.00
0.00
0.42
2.00
0.63
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.69
2.00
0.75
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.38
2.00
0.50
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.25
2.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.50
2.00

Volatility Smile
61.04
55.52
15.64%
14.95%

50.00
14.28%

37.50
14.25%

25.00
15.04%

17.50
15.25%

0
-9.42371E-05
0.000376948
-0.000173784
0.000181277
-7.7145E-05
0.000174379
-4.35947E-05
0.000174379
-4.35947E-05
0

0.2014
0.1864
0.1714
0.1564
0.1428
0.1504
0.1574
0.1644
0

0.00292147
0.00315706
0.00245028
0.00092655
0.0008852
-0.00041644
-0.0011457
-0.00147266

0
-4.7119E-05
0.00018847
-8.6892E-05
9.0638E-05
-3.8572E-05
8.7189E-05
-2.1797E-05

3.1412E-06
-1.5706E-05
6.1192E-06
-5.3624E-06
1.7228E-06
-2.7947E-06
7.2658E-06
-1.4532E-06

0
-0.013633182
0.05453273
-0.140876219
0.590602715
-0.199007436
0.077035137
-0.019258784
0

0
0.00509919
-0.02039677
0.05269165
-0.22090197
0.61356479
-0.23750895
0.05937724
0

0
-0.00098694
0.00394776
-0.01019838
0.04275522
-0.11875448
0.56209851
-0.14052463
0

0
0.00012337
-0.00049347
0.0012748
-0.0053444
0.01484431
-0.07026231
0.51756558
0

0
-3.0842E-05
0.00012337
-0.0003187
0.0013361
-0.00371108
0.01756558
-0.12939139
0.5

-0.25
-0.38709677
-0.23852958
-0.36003039
-0.21126987
-0.13575538
-0.25878279
0

-1.6653E-18
0.00030968
-0.00013054
0.0001535
-4.0304E-05
0.00016846
-4.3595E-05
0

0
-0.1459252
0.58370082
-0.17456045
0.03026617
-0.01019838
0.00394776
-0.00098694
0

0
0.05680945
-0.22723781
0.58703102
-0.10178241
0.03429625
-0.01327597
0.00331899
0

24%

22%

20%

18%

16%

14%

12%
100.00

10.00
15.74%

7.50
16.07%

0.00323784

8.61405E-06

M
-1.66531E-18
0.000334387
-0.00013755
0.000183928
-7.73701E-05
0.000177027
-6.85265E-05
1.71316E-05
0

90.00

5.00
16.44%

80.00

70.00

60.00

2.50
0.00
16.80%
17.14%
como interpolo en este intervalo

50.00

40.00

30.00

Implied Volatility

30.00

20.00

10.00

0.00