Derivatives Portfolio Pricer

Underlyings

Manage underlying assets by creating entries or editing existing ones with symbols, names and historical price data. Browse underlyings, explore details with tables and interactive charts. Predefined underlyings are updated daily and cannot be edited.

Create / Edit Underlying

Existing Underlyings

Predefined Underlyings

ID	Symbol	Name	Historical Prices	Actions

User Underlyings

ID	Symbol	Name	Historical Prices	Actions

Detailed Information

Symbol	Date	Price

Derivatives

Define and manage derivative contracts with configurable strike, expiration, option style and underlying asset. Review existing contracts in a table with edit and delete actions available when permitted.

Create / Edit Derivative

Symbol

Name

Strike Price

Expiration Date (UTC)

Option Style (1:European,2:Asian,3:Digital,4:Barrier,5:Lookback,6:Range)

Is Call

Underlying ID

Option Type

Existing Derivatives

ID	Symbol	Name	Strike	Expiration	OptionStyle	IsCall	Underlying	Actions

Trades

Record and manage trades by associating instruments with quantities, dates and prices. Create or update positions for underlyings and derivatives. Review trades in a table with sorting and edit options.

Create / Edit Trade

Existing Trades

ID	Instrument ID	Instrument Symbol	Instrument Name	Quantity	Trade Date	Price	Actions

Rates

Manage yield curves by creating, renaming and loading rate curves. Edit rate points in a grid, view curves list and inspect detailed information through tables and charts for comprehensive analysis. Predefined rates are updated daily and cannot be edited.

Manage Rate Curves

Load Curves

Curve ID

Existing Rate Curves

Predefined Rate Curves

ID	Name	Rate Points	Actions

User Rate Curves

ID	Name	Rate Points	Actions

Detailed Information

Name	Tenor	Rate

Valuation

Select trades to value and set parameters for Monte Carlo simulations. Set steps, simulations, variance options and choose a rate curve. View each trade’s result and the portfolio value with risk metrics.

Select Trades

Select	ID	Instrument Symbol	Instrument Name	Quantity	Trade Date	Price

Valuation Parameters

Steps

Simulations

Antithetic

Control Variate

Multithreaded

Use VDC Sequence

Rate Curve

Base 1

Base 2

Valuation Results

Trade ID	Instrument Symbol	Instrument Name	Value	StdErr	Delta	Gamma	Vega	Theta	Rho	Underlying Volatility	Market Interest Rate

Overview

Learn about the Derivatives Portfolio Pricer project: its purpose, architecture and capabilities.

Project Overview

TODO...

Underlyings

Create / Edit Underlying

Existing Underlyings

Predefined Underlyings

User Underlyings

Detailed Information

Derivatives

Create / Edit Derivative

Existing Derivatives

Trades

Create / Edit Trade

Existing Trades

Rates

Manage Rate Curves

Create Curve

Rename Curve

Load Curves

Rate Points Editor

Existing Rate Curves

Predefined Rate Curves

User Rate Curves

Detailed Information

Valuation

Select Trades

Valuation Parameters

Valuation Results

Overview

Project Overview