PDE Inspector

Want to explain or better understand the price LexiFi Apropos just returned? LexiFi gives you an in-depth insight into PDE pricing.

Combining access to the contract and to the pricing code, the PDE Inspector is able to provide on demand all relevant information, in an easy to understand form, allowing for drill down discovery of the pricing process up to the last bit. For products that can be priced using PDE models, obtain details of the PDE pricing process. Inspect the price matrix on each relevant date instead of the sole price.

Parameters can be selected for a multi-dimensional PDE model pricing, namely the size of spatial discretisation and time steps. The ‘Pricing script’ section of the page details the steps of PDE resolution derived from the contract. It is a fundamental tool to observe the introduction of path-dependent variables.

LexiFi Apropos provides information and graphs on one-dimension PDE models such as the Garman-Kohlhagen model. Several schemes are also available for two-dimension PDE and a two-dimension representation of price matrix is automatically derived for each value of the underlying and for each variance value (for instance in a Heston model). LexiFi uses efficient numerical methods to solve PDE such as change of variables, interpolation and path-dependant inversion for you to benefit from our know-how.

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Figure 1: Multidimensional PDE pricing is available for different models

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Figure 2: Distribution analysis of price results are displayed graphically

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