Pricing tools provide detailed insights into price, risk and P&L calculations:
- The Monte Carlo simulation inspector enables users to explore the details of a Monte Carlo pricing result by inspecting each trajectory and numerous aggregates.
- Greeks.
- Value-at-Risk and tail VaR.
- In addition to price, models return information such as the standard deviation in a Monte Carlo simulation, zero-coupons for payment dates and forward asset values.
- The contract variations analysis measures the impact on price of changes in product parameters.
- The solver analysis calculate the value(s) of one or more product parameter(s) and/or market data item(s) that match a user-entered contract price.
- The market data sensitivity analysis calculates the impact on price of instantaneous changes in market data.
- The value change analysis quantifies the contribution of key factors—i.e., the occurrence of contract events, the passage of time and changes in market data—to the change in value of a contract between two dates. When applicable, the analysis further breaks down the value of the contract into that of a theoretical zero coupon bond and that of an option.
Value change analysis
Quantify the contribution of key factors to the change in value of a contract between two dates.
Click image to enlarge.