DERIVATIVES <GO>
DESK PRICER
VANILLA | DIGITAL | SHARKFIN | FCN / DCN | PHOENIX | SNOWBALL
ONLINE // SITES
CONTRACT // SNOWBALL
FAIR ANNUAL COUPON4.3466%
PRODUCTSNOWBALL
ENGINESNOWBALL-MC
SPOT100.0000
PV-1.380357
VOL15.00%
RF / Q1.80% / 3.80%
KO PROB86.69%
KI & SURVIVE5.61%
KO OBS11
ZERO-COUPON PV-1.4473
PV vs UNDERLYING
CLEAN OPTION PV
SCENARIO ANALYSIS
| SCENARIO | UNDERLYING | MOVE | PV | P&L |
|---|---|---|---|---|
| DOWN 20% | 80.0000 | -20.00% | -17.865265 | -16.484908 |
| DOWN 10% | 90.0000 | -10.00% | -6.533508 | -5.153150 |
| SPOT | 100.0000 | 0.00% | -1.380357 | 0.000000 |
| UP 10% | 110.0000 | 10.00% | -0.155775 | 1.224582 |
| UP 20% | 120.0000 | 20.00% | -0.011612 | 1.368745 |
GREEKS (SPOT)
- DELTA
- 0.276568
- GAMMA
- -0.078953
- VEGA (1 VOL PT)
- -0.370763
- THETA (1D)
- 0.000000
- RHO (1 BP)
- 0.000526
PV BY MATURITY
-0.013M
-0.276M
-0.899M
-1.3812M
FAIR ANNUAL COUPON4.3466%
UNIT PRICE0.000000
ENGINESNOWBALL-MC
KO PROB86.69%
KI & SURVIVE5.61%
KO OBS11
ZERO-COUPON PV-1.4473
QUOTE BASIS: DESK OPTION LEG / ZERO PV · DAILY KI · MONTHLY KO AFTER LOCK-UP · 245 TRADING DAYS