Sensitivity Analysis (Greeks).

Precision and Speed are the two pillars of the calculation of Greeks in LexiFi Apropos.

LexiFi Apropos allows to compute on the fly the main Greeks such as Delta, Gamma, Vega, Volga, Vanna, Theta and Rho.

These 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 to 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.

Functionalities are easily accessible from different pages. Greeks for each contract can be computed on the Greek page or on the specific Contract Information page, as well as on other pages such as Reporting. Position Greeks on several contracts can be computed on the Position Greeks page.