Precision and Speed are the two pillars of the calculation of Greeks in LexiFi Apropos…
LexiFi Apropos can compute on the fly the main Greeks such as Delta, Gamma, Vega, Volga, Vanna, Theta and Rho.
They can be computed using different pricing models and methods. A default method is automatically chosen, or the user can choose an explicit one among:
Calculate cross-Greeks as well, such as cross Gamma, cross Volga, and cross Vanna, in multi-underlying products.
Figure 1: Greeks and cross-Greeks can be calculated using different pricing models
We have imagined the architecture of LexiFi Apropos so that functionalities can easily be accessed from different pages. Greeks for each contract can be computed in the Greek page or in the specific Contract Information page, and in other pages, such as Reporting. Position Greeks on several contracts can be computed in the Position Greeks page.
Figure 2: Position Greeks computation