Greeks

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:

  • Market data finite difference: the derivatives are computed using finite difference, shocking the market data.
  • Model finite difference: the derivatives are computed using finite difference, where the shocks are directly applied on the model in order to gain precision and speed.
  • Malliavin: all Greeks are computed at a linear cost. This method, despite being mathematically complex, returns the desired results quickly and it is the best except when fixings are too close to each other or when the first fixing is too close to the valuation date.

Calculate cross-Greeks as well, such as cross Gamma, cross Volga, and cross Vanna, in multi-underlying products.

Video 1: Greeks and cross-Greeks for a contract

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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.

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Figure 2: Position Greeks computation

Video 2: Greeks and cross-Greeks for a position

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