excel yield curve_current yield是什么_yield curve(4)

=(H44+I44)/J44

Finally, I calculate d2 in cell L44:

=K44-J44

The Black-Scholes formulas for call option (C) and put option (P) prices are:

The two formulas are very similar. There are 4 terms in each formula. I will again calculate them in separate cells first and then combine them in the final call and put formulas.

Potentially unfamiliar parts of the formulas are the N(d1), N(d2), N(-d2), and N(-d1) terms. N(x) denotes the standard normal cumulative distribution function for example, N(d1) is the standard normal cumulative distribution function for the d1 that you have calculated in the previous step.

In Excel you can easily calculatethe standard normal cumulative distribution functions using the NORM.DIST function, which has 4 parameters:

NORM.DIST(x, mean, standard_dev, cumulative)

x = link to the cell where you have calculated d1 or d2 (with minus sign for -d1 and -d2)

mean = enter 0, because it is standard normal distribution

standard_dev = enter 1, because it is standard normal distribution

cumulative = enter TRUE, because it is cumulative

For example, I calculate N(d1) in cell M44:

=NORM.DIST(K44,0,1,TRUE)

Note: There is also the NORM.S.DIST function in Excel, which is the same as NORM.DIST with fixed mean = 0 and standard_dev = 1 (therefore you enter only two parameters: x and cumulative). You can use either; I’m just more used to NORM.DIST, which provides greater flexibility.

The exponents (e-qt and e-rt terms) are calculated using the EXP Excel function with -qt or -rt as parameter.

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