From the Single Option page only for the option displayed you can graphically view how its risks respond to changes in the forward rate as the volatility surface remains constant.
You do this via the risk charts which are accessed from the Trader tab, the Sales tab or the Structurer by clicking the Charts button > Risk Chart.
This is shown via the following set of graphs which can be created for any option in the Single Option page:
TV
Delta
Vega
dVega/dVol
Gamma
dVega/dFwd rate
By default for each graph created:
The results are displayed in % ‹currency›.
The instrument’s duration is divided into 6 time slices (creating 6 dates on which the instrument’s position is calculated). You can then manually change the number of time slices by clicking the Time Slices button and selecting a different value.
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b |
The time period itself spans the duration of the instrument. |
The range of the forward rates is +/- 10% from the forward rate for the option defined.
The term structure used in the Single Option page is used.
Once the charts have been created, you can then modify their display. For more information see Modifying the Market Data Chart, Payout Chart & Risk Chart Displays.
To view the risk charts for an option:
| 1. | In the Single Option page click the Risk Chart button. Alternatively click <F7> on the keyboard. The Risk Charts page opens with a set of graphs for the current option. |
| 2. | Change the time slices if necessary. |