For supported instruments, the Solver function lets you calculate what input you need to get the defined result.
What inputs the Solver can calculate and for which specified results depends on the instrument type, and whether you are in the Single Option page or the Portfolio page.
You can also use the Solver in the Portfolio page.
In the Single Option page, the Solver function calculates:
What strike will give a specific market premium for the following instruments:
Vanilla and vanilla-based options (vanilla strategy, vanilla strip, vanilla strip strategy)
Asian and Asian-based options (Asian strategy, Asian strip, Asian strip strategy)
Barriers
European binary instruments (with the exception of the European range bet)
What strike will give a specific Greek for the following instruments:
Vanilla and vanilla-based options (vanilla strategy, vanilla strip, vanilla strip strategy)
Asian and Asian-based options (Asian strategy, Asian strip, Asian strip strategy)
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If you are solving for a strategy, i.e., the instrument has more than one leg, make sure you define the Greek for the leg whose strike you will be solving for. |
What strike will give the defined total premium for the following strategies:
Vanilla strategies (with the exception of the vanilla strangle and the vanilla butterfly)
Vanilla strip strategies
Asian strategies
Asian strip strategies
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To solve for strike 1, you must enter a value in one of the market premium boxes for the first leg; to solve for strike 2, you must enter a value in one of the market premium boxes for the second leg. |
What strike will give the defined price for the following instruments:
Vanilla and vanilla-based options (vanilla strategy, vanilla strip, vanilla strip strategy)
Asian and Asian-based options (Asian strategy, Asian strip, Asian strip strategy)
Barriers
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To solve for strike 1, you must enter a value in one of the price boxes for the first leg; to solve for strike 2, you must enter a value in one of the price boxes for the second leg. |
What strike will give the defined total price for the following strategies:
Vanilla strategies
Asian strategies
For a swap, swap strip, forward and forward strip which traded rate would give you a defined present value.
For a compound Asian strip and a compound Asian strip collar the extension premium (to be paid on the extension date) that will result in a defined market premium.
What strike will give a zero cost strategy after you enter the other strike manually yourself. For more information on this functionality, and for which strategies it is supported, see Creating a Zero Cost Strategy.
To use the Solver to work out the strike that will give a specified market premium/total premium/total price/price/present value/Greek:
| 1. | In the Single Option page enter the instrument. |
| 2. | Click the Solver button. The fields that can be solved for appear underlined. Also when you hover over them with the mouse, the pointer changes to a hand icon and the field name changes to red. |
| 3. | Click the field whose result you want to define. |
| 4. | In the text boxes that appear enter the required result. |
| 5. | Click the Strike field. The selected field is highlighted in pink. |
| 6. | Click Calculate. The required strike is calculated by SDX Commodities & Energy. |