Example Analytical Output

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European Swaption Exposure

European Swaption exposure evolution, expiry in 10 years, final maturity in 20 years, for cash and physical delivery. Simulation with 1000 paths and quarterly time steps

Cap Floor Exposure

The exposure evolutions of several Swaps, caps and floors. The example shown ’Portfolio 1’ consists of a 20y Swap receiving 3% fixed and paying Euribor 6M plus a long 20y Collar with both cap and floor at 4% so that the net exposure corresponds to a Swap paying 1% fixed.The second example in “Portfolio 2” consists of a short Cap, long Floor and a long Collar that exactly offsets the netted Cap and Floor.

Netting Set, Collateral, XVAs, XVA Allocation

Showcases a small netting set consisting of three Swaps in different currencies, with different collateral choices (a) no collateral (b) collateral with threshold (THR) 1m EUR, minimum transfer amount (MTA) 100k EUR, margin period of risk (MPOR) 2 weeks (c) collateral with zero THR and MTA, and MPOR 2w.

Sensitivity Analysis, Stress Testing and Parametric Value-at-Risk

This demonstrates a parametric VaR calculation based on the sensitivity and cross gamma output from the sensitivity analysis (deltas, vegas, gammas, cross gammas) and an external covariance matrix input. The results shown are Delta Gamma Normal VaRs for the 95% and 99% quantile, the holding period is incorporated into the input covariances.

Commodity Derivatives, Pricing, Sensitivity, Exposure

Demonstrates pricing and sensitivity analysis for Commodity Forwards and European Commodity Options using a minimal portfolio of four forwards and two options referencing WTI and Gold..