You can:
Change the default definition of the DV01, gamma and/or vega Greeks. See Changing the Default Definition of the DV01, Gamma and/or Vega Greeks.
Choose to display the pure DV01 result for a European swaption. See Displaying the Pure DV01 Result for European Swaptions.
Changing the Default Definition of the DV01, Gamma and/or Vega Greeks
By default the system uses the market convention for the following risks as follows:
The DV01 value displays the change in the portfolio’s market value for a 1 basis point change in the yield curve.
The Gamma value displays the change in the DV01 for a 10 basis point change in the yield curve.
The Vega amount shows the percentage change in the portfolio’s market value for a 1% change in the volatility surface.
However, for use in the Risk Matrix, the Gamma Ladder Window and the Vega Buckets Window you can change the underlying definitions of each of these risks as relevant. For example, under the DV01 value you can instruct the system to display the change in the portfolio’s market value for a basis point change in the yield curve other than 1, and under the Dvega/Dvol value you can display the percentage change in the portfolio’s market value for a change in the volatility surface which is other than 1%, etc.
You do this in the Settings window (see Customizing SDX Interest Rates) > Greeks tab.
Once you have made these changes, when you next access the Risk Matrix, the Gamma Ladder window or the Vega Buckets window the system will use the edited definitions for each risk. In the Risk Matrix and in the Vega Buckets window the system will also display the edited definition. So for example, if you set the gamma definition to show the percentage change in the delta for a 3bp change in the yield curve, in the Risk Matrix page you will see “Gamma (+3bp)”.
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Making changes to the DV01, gamma and vega definitions in the Greeks tab does not affect the regular calculations of these results as displayed in the Results area in the pricing page. That is, in the Results area these Greeks are always calculated using the default system definition. |
To customize the default Greeks settings for use in the Risk Matrix tool or the DV01/Gamma Buckets window or the Vega Buckets window:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Settings window click the Greeks tab. |
| 4. | Make any changes to the risk definitions. |
| 5. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 6. | Close the Settings window. The system asks if you want to immediately apply the changes you have made. If you want your changes applied to the current window click Yes. The changes are applied. |
Displaying the Pure DV01 Result for European Swaptions
For a European swaption in either of the pricing pages you can choose to also display the Pure DV01 result in addition to the regular DV01 result.
This feature is not enabled for your user by default. You enable it via the Settings window > Greeks tab.
To customize the display of the Pure DV01 result for your user:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Settings window click the Greeks tab. |
| 4. | Check the Display Pure DV01 for European Swaption checkbox. |
| 5. | If you are in: |
The SD profile you can save this change to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save this change to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save this change to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The change is saved.
| 6. | Close the Settings window. The system asks if you want to immediately apply the change you have made. If you want your change applied to the current window click Yes. The changes are applied. |