Diagramas pay off

Numero de
Compra o Venta Tipo de Titulo Strike Indice
Titulos
1 + C 85.00 1
1 - C 95.00 2
1 - C 105.00 3
1 + C 115.00 4
1 + C 98.00 5
2 - C 102.00 6

Costo Inicial del portafolio 1.65

Diagrama de Gana
30.0000

20.0000

10.0000
Ganancia o Perdida

-
75 80 85 90 95

-10.0000

-20.0000

-30.0000

Precio del Sub

Precio N(d1) N(d2) d1 d2 Indice

16.9119 0.9076 0.8819 1.3260 1.1845 1

9.2511 0.7052 0.6547 0.5395 0.3981 1
4.1783 0.4332 0.3784 -0.1682 -0.3096 1
1.5593 0.2085 0.1703 -0.8115 -0.9529 1
7.4397 0.6254 0.5707 0.3196 0.1782 1
5.4133 0.5147 0.4583 0.0368 -0.1047 1
 Tipo de Titulo Descripción
Parámetros
C Call Precio Spot (S) 100
P Put Volatilidad (σ) 20%
S Long subyacente Rf 3%
B Bono Plazo (T) 0.5
EF Exposición a futuro
F Forward Parámetros del gráfico
Rango de ST 1

Diagrama de Ganancias y Pérdidas (En amarillo el resultado del portafolio)

95 100 105 110 115 120

Precio del Subyacente en t=T

 Subyacente Subyacente a
Bono Valor
comprado en comprarse en
Call Put t=0 y vendido Nominal igual a t=T a precio Forward
Strike
en t=T spot
16.9119 0.6464 100.0000 83.7345 0 0
9.2511 2.8367 100.0000 93.5856 0 0
4.1783 7.6151 100.0000 103.4368 0 0
1.5593 14.8472 100.0000 113.2879 0 0
7.4397 3.9806 100.0000 96.5410 0 0
5.4133 5.8947 100.0000 100.4814 0 0
 Subir para incrementar el rango

120 125
Pago en t=0

16.9119
-9.2511
-4.1783
1.5593
7.4397
-10.8266
Resultados
S(T) +1C -1C -1C +1C +1C -2C TOTAL
1 80.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
2 81.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
3 82.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
4 83.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
5 84.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
6 85.00 -16.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -1.6548
7 86.00 -15.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 -0.6548
8 87.00 -14.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 0.3452
9 88.00 -13.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 1.3452
10 89.00 -12.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 2.3452
11 90.00 -11.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 3.3452
12 91.00 -10.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 4.3452
13 92.00 -9.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 5.3452
14 93.00 -8.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 6.3452
15 94.00 -7.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 7.3452
16 95.00 -6.9119 9.2511 4.1783 -1.5593 -7.4397 10.8266 8.3452
17 96.00 -5.9119 8.2511 4.1783 -1.5593 -7.4397 10.8266 8.3452
18 97.00 -4.9119 7.2511 4.1783 -1.5593 -7.4397 10.8266 8.3452
19 98.00 -3.9119 6.2511 4.1783 -1.5593 -7.4397 10.8266 8.3452
20 99.00 -2.9119 5.2511 4.1783 -1.5593 -6.4397 10.8266 9.3452
21 100.00 -1.9119 4.2511 4.1783 -1.5593 -5.4397 10.8266 10.3452
22 101.00 -0.9119 3.2511 4.1783 -1.5593 -4.4397 10.8266 11.3452
23 102.00 0.0881 2.2511 4.1783 -1.5593 -3.4397 10.8266 12.3452
24 103.00 1.0881 1.2511 4.1783 -1.5593 -2.4397 8.8266 11.3452
25 104.00 2.0881 0.2511 4.1783 -1.5593 -1.4397 6.8266 10.3452
26 105.00 3.0881 -0.7489 4.1783 -1.5593 -0.4397 4.8266 9.3452
27 106.00 4.0881 -1.7489 3.1783 -1.5593 0.5603 2.8266 7.3452
28 107.00 5.0881 -2.7489 2.1783 -1.5593 1.5603 0.8266 5.3452
29 108.00 6.0881 -3.7489 1.1783 -1.5593 2.5603 -1.1734 3.3452
30 109.00 7.0881 -4.7489 0.1783 -1.5593 3.5603 -3.1734 1.3452
31 110.00 8.0881 -5.7489 -0.8217 -1.5593 4.5603 -5.1734 -0.6548
32 111.00 9.0881 -6.7489 -1.8217 -1.5593 5.5603 -7.1734 -2.6548
33 112.00 10.0881 -7.7489 -2.8217 -1.5593 6.5603 -9.1734 -4.6548
34 113.00 11.0881 -8.7489 -3.8217 -1.5593 7.5603 -11.1734 -6.6548
35 114.00 12.0881 -9.7489 -4.8217 -1.5593 8.5603 -13.1734 -8.6548
36 115.00 13.0881 -10.7489 -5.8217 -1.5593 9.5603 -15.1734 -10.6548
37 116.00 14.0881 -11.7489 -6.8217 -0.5593 10.5603 -17.1734 -11.6548
38 117.00 15.0881 -12.7489 -7.8217 0.4407 11.5603 -19.1734 -12.6548
39 118.00 16.0881 -13.7489 -8.8217 1.4407 12.5603 -21.1734 -13.6548
40 119.00 17.0881 -14.7489 -9.8217 2.4407 13.5603 -23.1734 -14.6548
41 120.00 18.0881 -15.7489 -10.8217 3.4407 14.5603 -25.1734 -15.6548