We hope that you and your family are well! September’s Monthly Focus is about price sensitivities to risk factors, otherwise known as Greeks. We illustrate the importance of results' presentation, then briefly showcase LexiFi Greeks functionality.
For derivatives and structured products, calculating Greeks for trades and portfolios can be Herculean as it is often computationally very intensive. However, that is not the biggest challenge: once calculated, Greeks and cross Greeks results might be cumbersome if not presented in an informative and interactive way.
In fact, in the context of a portfolio, one needs to take into consideration market conditions and assess the risks from different angles.
Open the animated GIF below to see Greeks in context
As a Sales or Structurer, you want to quickly and thoroughly answer a client who asks you if it is a good idea to add/remove a product from a given portfolio.
LexiFi application gives access to interactive reports where you could add/remove products and immediately observe the consequences on the portfolio’s risk metrics.
In the example above, we have sorted a portfolio by industry; then, we have added an autocallable product to observe the impact on the portfolio’s Delta, Gamma and Vega.
The ability to quickly create fully customized reports makes all the difference, especially when markets are tough!
LexiFi users benefit from:
Calculate Greeks and cross Greeks using different computation methods with speed and precision with LexiFi Greeks feature.
A default method is automatically chosen, or you can choose an explicit one among: