Structured products value change analysis.

Sometimes, calculating one or more (ie., Risk Analysis) prices isn’t enough, you may need to explain precisely the difference between two prices to clients. Such investigation can be tricky. Whether you need a punctual analysis or regular reports explaining product P&L, LexiFi Apropos Value Change Analysis will answer your needs.

The Value change Analysis Tool
Contracts evolve over time due to several factors (time value, coupon detachment, fixings, option exercises or alike) but also different pricing models may be used. The Value Change Analysis quantifies and compares the contribution of such factors to the change in the value of a contract between two dates.

Absolute and relative factor contributions are shown for comparison and classification. The tool provides separate charts for both the most important positive and negative effects allow for an immediate intuitive understanding of realized gains or losses.

Powerful drill-down capacities allow exploring each factor change up to any individual market data modification, for full transparency. The Analysis function may be applied to previously archived pricing results or pricing operations executed on the fly.

Value Change Analysis Reporting

  • Results can be exported into an Excel file in a snap, for further analysis or to simply share the file.
  • An interactive report is available, where users select the contract(s) as well as the analysis' time period. Reports may be downloaded as PDF documents.

alt text Figure 1: Value Change Analysis detects factors affecting the price modification of a product

Video 1: Performing a value change analysis