excel yield curve_current yield是什么_yield curve(3)

I will illustrate the calculations on the example below. The parameters are in cells A44 (underlying price), B44 (strike price), 4 (volatility), D44 (interest rate), E44 (dividend yield), and G44 (time to expiration as % of year).

Note: It is row 44, because I am using theBlack-Scholes Calculator for screenshots. You can of course start in row 1 or arrange your calculations in a column.

When you have the cells with parameters ready, the next step is to calculate d1 and d2, because these terms then enter all the calculations of call and put option prices and Greeks. The formulas for d1 and d2 are:

All the operations in these formulas are relatively mathematics. The only things that may be unfamiliar to some less savvy Excel users are the natural logarithm (LN Excel function) and square root (SQRT Excel function).

The hardest on the d1 formula is making sure you put the brackets in the right places. This is why you may want to calculate individual parts of the formula in separate cells, as I do in the example below:

First I calculate the natural logarithm of the ratio of underlying price and strike price in cell H44:

=LN(A44/B44)

Then I calculate the rest of the numerator of the d1 formula in cell I44:

=(D44-E44+POWER(4,2)/2)*G44

Then I calculate the denominator of the d1 formula in cell J44. It is useful to calculate it separately like this, because this term will also enter the formula for d2:

=4*SQRT(G44)

Now I have all the three parts of the d1 formula and I can combine them in cell K44 to get d1:

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