Strumenti Utente
en:what-if
Differenze
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| Entrambe le parti precedenti la revisione Revisione precedente Prossima revisione | Revisione precedente | ||
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en:what-if [2017/12/28 16:59] playoptions |
en:what-if [2017/12/29 11:06] (versione attuale) playoptions [Example of What-If] |
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| ===What-If Scenario=== | ===What-If Scenario=== | ||
| - | *Underlying Price | + | *Underlying Price: field where to set the value of the underlying for the simulation; |
| - | *Price Change | + | *Price Change: field where to set the % variation of the underlying for the simulation; |
| - | *Volatility Change | + | *Volatility Change: field where to set the % volatility variation for the simulation; |
| - | *Analysis Date/Time | + | *Analysis Date/Time: field where to choose the date of the simulation; |
| - | *Days from Today | + | *Days from Today: field indicating the difference days of the simulation with respect to today's date. |
| ===Selection=== | ===Selection=== | ||
| Linea 72: | Linea 72: | ||
| ====Example of What-If==== | ====Example of What-If==== | ||
| - | 1. Suppose we have a strangle on FTSE MIB 40 Index with the underlying at 17000, therefore - 1 put 15000 e - 1 call 19000 on expiry 06/2016 | + | 1. Suppose we have a strangle on DJ EURO STOXX 50 Index with the underlying at 3529,22, therefore -put 3500 e -call 3500 on expiry 06/2018. |
| - | |{{ :what_if_1.png?direct&400 |}}||{{ :what_if_2.png?direct&400 |}}|| | + | {{ :what_if_1.png?direct&800 |}} |
| - | 2. Switching on What-If tab we can see that all properties (main strategy and the four possibilities of what-if, are equal). Next to it there is the panel that lets you to set the parameters like future underlying price to see what would happen to the strategy in those conditions | + | 2. Switching on What-If tab we can see that all properties (main strategy and the four possibilities of what-if, are equal).\\ |
| + | \\ | ||
| + | **Note: in the transition from the General tab to the What-If tab the option values are not the same, this difference is due to various factors such as the bid / ask spread and volatility. To have more precise values, acquire the volatility surface. In any case, a difference in the order of 20% can be acceptable as it will be produced throughout the simulation.** | ||
| - | |{{ :what_if_3.png?direct&800 |}}||{{ :what_if_4.png?direct&300 |}}|| | + | {{ :what_if_2.png?direct&800 |}} |
| - | 3. For example whether the price going to 19000 on 20/05/2016. | + | 3. For example whether the price going to 3675 on 15/03/2018? With Iceberg you can answer this question simply by setting the desired parameters in the What-If Scenario menu. |
| - | |{{ :what_if_5.png?direct&800 |}}| | + | {{ :what_if_3.png?direct&800 |}} |
| - | 4. The put 15000 gain 762,50 € while the call 19000 loss 770,00€. At this point you can use the four strategies available to study whats you would do | + | 4. The put 3500 gains 1032,00€ while the call 3500 losses 966,00€. At this point you can use the four strategies available to study whats you would do |
| - | |{{ :what_if_6.png?direct&800 |}}| | + | {{ :what_if_4.png?direct&800 |}} |
| - | |{{ :what_if_7.png?direct&800 |}}| | + | {{ :what_if_5.png?direct&800 |}} |
| - | |{{ :what_if_8.png?direct&800 |}}| | + | {{ :what_if_6.png?direct&800 |}} |
| - | |{{ :what_if_9.png?direct&800 |}}| | + | {{ :what_if_7.png?direct&800 |}} |
| 5. In the upper section of the What-If the properties are displayed for all four possible changes. You can view them individually or simultaneously on the payoff simply by toggling the Strategy from the right mouse menu | 5. In the upper section of the What-If the properties are displayed for all four possible changes. You can view them individually or simultaneously on the payoff simply by toggling the Strategy from the right mouse menu | ||
| - | |{{ :what_if_10.png?direct&800 |}}| | + | {{ :what_if_8.png?direct&800 |}} |
| - | 6. Once you decideded the change of the strategy (we suppose the strategy 3, the yellow one) you have to click on "Apply" button, Now the change is saved and you can procede with a new simulation step. | + | 6. Once you decideded the change of the strategy (we suppose the strategy 2, the magenta one) you have to click on "Apply" button, Now the change is saved and you can procede with a new simulation step. |
| - | |{{ :what_if_10_b.png?direct&800 |}}| | + | {{ :what_if_9.png?direct&800 |}} |
| \\ | \\ | ||
| - | All changes made to the starting strategy are saved in[[what-if_history|What-If History]], dove verrà creata una nuova sezione per ogni nuova sezione di What-If effettuata sulla strategia. \\\ Andrea che vuol dire? | + | All changes made to the starting strategy are saved in[[what-if_history|What-If History]], where a new section will be created for each step (Apply) of What-If performed on the strategy. |
| - | |{{ :what_if_11.png?direct&600 |}}| | + | {{ :what_if_10.png?direct&600 |}} |
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en/what-if.1514476775.txt.gz · Ultima modifica: 2017/12/28 16:59 da playoptions
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Ad eccezione da dove è diversamente indicato, il contenuto di questo wiki è soggetto alla seguente licenza: CC Attribution-Share Alike 3.0 Unported
