Value Change Analysis

Sometimes, calculating one or more (ie., Risk Analysis) prices isn’t enough. One may want to explain precisely the difference between two prices. Seems easy? Isn’t typically, as one has to be careful about the details. Fortunately, LexiFi Apropos provides the right tool.

Pricing may have been done at far different dates with completely different market data, the contract may have evolved between these dates (coupon detachment, fixings, option exercises or alike) and even different models may have been used.

The Value Change Analysis quantifies and compares rigorously the contribution of all factors like contract events, passage of time (“time value”), choice of model and changes in market data to the change in the value of a contract between two dates.

The Analysis function may be applied to previously archived pricing results or pricings executed on the fly.

The Value Change Analysis exposes all different factors that explain the difference of two prices of a contract. Absolute and relative factor contributions are shown, for comparison and classification. Powerful drill-down capacities allow the business to explore each factor change, up to any individual market data modification, for full transparency.

Separate charts for both the most important positive and negative effects allow for immediate intuitive understanding of realized gains or losses.

Export into an Excel file in a snap, for further analysis or for simply sending the Excel file to a client!

alt text

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

Video 1: Performing and inspecting a value change analysis

LexiFi • 892 rue Yves Kermen • F-92100 Boulogne-Billancourt • France