DERIVATIVES · RISK · SIMULATION

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USD/ILS · SPOT DEMO FEED

3.0264 +0.12% ▲

1M FWD

3.0198

ATM VOL

8.50%

25Δ RR

−0.60

THE BOARD

16 INSTRUMENTS

{{ g.en }} {{ g.he }}

{{ tool.code }}

{{ tool.title }}

{{ tool.sub }}

BS

{{ L.bsH2 }}

EUROPEAN OPTION PRICING MODEL

{{ contextText }}

{{ L.bsModeStd }} {{ L.bsModeFx }}

{{ L.bsInputs }}

{{ L.bsType }} OPTION TYPE

CALL ▲ PUT ▼

{{ f.he }} {{ f.en }}

{{ L.bsNotional }} NOTIONAL

{{ L.bsNotionalHint }}

PAYOFF DIAGRAM {{ L.bsChartSub }} — {{ typeLabel }}

{{ L.bsTheo }} {{ L.bsIntr }} {{ bsChartArrow }}

UNDERLYING PRICE (S) → OPTION VALUE ↑

{{ L.bsPremium }}

{{ premLabel }}

{{ premiumPct }}

{{ L.bsPctHint }}

TOTAL

{{ premiumAmount }}

{{ L.bsAmtHint }}

{{ moneyness }} · {{ L.bsPremWord }} {{ premRaw }}
Delta {{ deltaInterp }}: {{ deltaText }}

{{ L.bsGreeks }}

{{ g.sym }} {{ g.name }} {{ g.val }}

INTERMEDIATES

d₁ = {{ d1 }} · d₂ = {{ d2 }}
N(d₁) = {{ nd1 }} · N(d₂) = {{ nd2 }}

CYLINDER · RISK REVERSAL {{ cylDesc }}

{{ mainType }} · {{ L.cylBought }}

{{ L.cylStrike }}

{{ kDisplay }}

{{ L.cylPrem }}

{{ mainPrem }}

{{ compType }} · {{ L.cylSold }}

{{ L.cylStrike }} ({{ compType }})

{{ L.cylPrem }}

{{ compPrem }}

⚡ ZERO-COST STRIKE

{{ L.cylNet }}

{{ netCost }}

{{ L.cylRange }}

{{ cylRange }}

FORMULAS

{{ formulaD1 }}
d₂ = d₁ − σ·√T

{{ formulaCall }}
{{ formulaPut }}

{{ modelNote }}

{{ L.bsLearn }} {{ L.bsLearnSub }}

{{ pedagogyArrow }}

{{ p.h }}

{{ p.t }}

{{ p.h }}

{{ p.t }}

FWD

{{ fwH2 }}

FORWARD PRICING · COST OF CARRY

{{ fwContext }}

{{ fwTabStd }} {{ fwTabFx }}

{{ L.bsInputs }}

{{ fwDirLabel }} DIRECTION

{{ fwLongLbl }} {{ fwShortLbl }}

{{ f.he }} {{ f.en }}

{{ f.hint }}

{{ fwCompLabel }} COMPOUNDING

SIMPLE CONTINUOUS

{{ fwResults }}

FORWARD PRICE

{{ fwPrice }}

{{ fwSpotLbl }} {{ fwSpotDisp }}

{{ fwPremLbl }} {{ fwPremDisp }}

{{ fwInterp }}

FORMULA

F = S₀ · e^((r−q)·T)
F = S₀ · (1 + r − q)^T

P&L AT EXPIRY {{ fwChartTitle }}

{{ fwChartArrow }}

PRICE AT EXPIRY (Sᴛ) → P&L ↑

{{ fwTabStd }} {{ fwTabFx }}

{{ L.bsInputs }}

{{ fwDirLabel }} DIRECTION

{{ fwLongLbl }} {{ fwShortLbl }}

{{ fxPairLbl }} CURRENCY PAIR

{{ f.he }} {{ f.en }}

{{ f.hint }}

{{ fwCompLabel }} COMPOUNDING

SIMPLE CONTINUOUS

{{ fxArbLbl }} MARKET FWD

{{ fxArbMsg }}

{{ fwResults }}

FORWARD RATE · {{ fxPair }}

{{ fxRate }}

{{ fwSpotLbl }} {{ fxSpotDisp }}

{{ fxPipsLbl }} {{ fxPips }}

{{ fwPremLbl }} {{ fxPremDisp }}

{{ fxInterp }}

FORMULA · CIP

F = S₀ · e^((r_d − r_f)·T)
F = S₀ · (1+r_d)^T / (1+r_f)^T

P&L AT EXPIRY {{ fwChartTitle }}

{{ fxChartArrow }}

RATE AT EXPIRY (Sᴛ) → P&L ↑

{{ L.bsLearn }} {{ fwPedTitle }}

{{ fwPedArrow }}

{{ p.h }}

{{ p.t }}

IRD

{{ irH2 }}

INTEREST RATE DERIVATIVES · FRA · IRS

FRA IRS

{{ irCurveTitle }}

{{ t.key }} %

{{ irFraSetup }}

{{ irStartLbl }}

{{ o }}

{{ irEndLbl }}

{{ o }}

{{ irConvLbl }}

ACT/360 ACT/365

{{ irFraRateLbl }}

{{ irFraRate }}

{{ irFraDesc }}

{{ irQuickLbl }}

{{ q.label }}

SPOT YIELD CURVE {{ irChartSub }}

FRA IRS

{{ irCurveTitle }}

{{ t.key }} %

{{ p.label }}

{{ irsSetup }}

{{ irsNotionalLbl }}

{{ irsMatLbl }}

1Y2Y3Y4Y5Y

{{ irsFreqLbl }}

{{ irsFreqM }}{{ irsFreqQ }}{{ irsFreqS }}{{ irsFreqA }}

{{ irsSideLbl }}

PayerReceiver

{{ irsContractLbl }}

{{ irsParLbl }}

{{ irsParRate }}

NPV {{ irsNpv }}

DV01 {{ irsDv01 }}

ZERO vs PAR SWAP

ZERO PAR

CASHFLOWS {{ irsCfTitle }}

{{ h }} {{ r.i }} {{ r.t }} {{ r.df }} {{ r.fwd }} {{ r.fixed }} {{ r.float }} {{ r.net }} {{ r.pv }}

BIN

{{ bmH2 }}

COX–ROSS–RUBINSTEIN · RISK-NEUTRAL PRICING

{{ bmStep1Lbl }} {{ bmStep2Lbl }}

CALL PUT

{{ bmParams }}

{{ s.label }} {{ s.display }}

{{ s.hint }}

{{ bmArbWarn }}

{{ bmTreeNote }}

OUTPUT

{{ bmPriceLbl }}

{{ bmPrice }}

{{ bmPLbl }} {{ bmP }}

1 − p {{ bmQ }}

{{ bmDeltaLbl }} {{ bmDelta }}

RISK-NEUTRAL VALUATION

{{ bmEqP }}
{{ bmEqV }}

{{ bmTreeTitle }}

S V

PRT

{{ opH2 }}

{{ opSub }}

{{ k.lbl }}

{{ k.val }}

{{ opAddTitle }}

CALL PUT

{{ opLongLbl }} {{ opShortLbl }}

{{ f.lbl }}

{{ opAddBtn }}

{{ opPosTitle }} {{ opCount }}

↺ RESET

{{ opEmptyTxt }}

{{ h }} {{ r.type }} {{ r.dir }} {{ r.qty }} {{ r.k }} {{ r.prem }} {{ r.cf }} ✕

NET P&L AT EXPIRY {{ opChartTitle }}

{{ opLegProfit }} {{ opLegLoss }} {{ opLegSpot }}

SCENARIOS {{ opScenTitle }}

↓ CSV

{{ h }} {{ r.price }} {{ r.fixed }} {{ r.expiry }} {{ r.pnl }}

EXO

{{ exH2 }}

EXOTIC OPTIONS — KNOCK-OUT SIMULATOR · USD/ILS

KO · BARRIER ↓ 3.05 RKO · BARRIER ↑ 3.50

{{ exPanelTitle }}

{{ exSpotLbl }} {{ exSpotDisp }}

2.903.303.70

{{ exPremLbl }}

₪0.045

450,000 ₪ · 10M$

{{ exPnlLbl }}

{{ exPnl }}

{{ exPnlUnit }}

{{ exStatusLbl }}

{{ exStatus }}

{{ exFormTitle }}

{{ exFormName }}

Strike = 3.30 · Barrier = {{ exBarrier }} · Premium = ₪0.045/$
{{ exPayoffEq }}

PAYOFF AT EXPIRY

BARRIER SPOT

PCP

{{ pcpH2 }}

{{ pcpSub }}

{{ pcpTase }} ↗

{{ f.lbl }}

{{ pcpTab0 }}

{{ pcpEditHint }}

{{ h }} {{ r.impl }} {{ r.dev }} {{ r.act }}

FORMULA

C + K/(1 + r_ILS·T) = P + S₀/(1 + r_USD·T)
S_implied = [ C − P + K/(1 + r_ILS·T) ] · (1 + r_USD·T)

{{ pcpNote }}

GRK

{{ grkH2 }}

DELTA · GAMMA · THETA · USD/ILS · GARMAN–KOHLHAGEN

CALL PUT

{{ m.lbl }}

{{ m.val }}

{{ grkParamsTitle }}

{{ f.lbl }} {{ f.en }}

{{ grkShiftLbl }} {{ grkEffSpot }} ({{ grkShiftPct }})

-5%0%+5%

{{ p.label }}

{{ grkChart1Title }}

DELTA GAMMA K

{{ grkChart2Title }}

THETA/DAY

{{ grkNote }}

HDG

{{ hdgH2 }}

HEDGING STRATEGIES SIMULATOR — IMPORTER CASE STUDY

{{ hdgContext }}

{{ hdgSpotLbl }}

{{ hdgSpotDisp }}

2.803.153.50

{{ c.name }}

{{ c.desc }}

{{ hdgCostLbl }}

{{ c.cost }}

{{ c.saving }}

EFFECTIVE RATE vs SPOT {{ hdgChartSub }}

{{ l.name }}

DYN

Dynamic Gamma Hedging

LONG GAMMA · EUR/USD · DELTA-NEUTRAL TRADING

{{ dhBookPill }}

EUR/USD

{{ dhRate }}

{{ dhShockLbl }}

{{ dhShockDisp }}

{{ dhNetDLbl }}

{{ dhNetD }}

TOTAL P&L

{{ dhTotPnl }}

{{ dhMoveLbl }}

-4%0%+4%

{{ s.label }}

{{ dhBtnLabel }}

{{ dhBtnHint }}

HEDGE BOOK ↺ RESET

{{ t.idx }} {{ t.side }} {{ t.amt }} {{ t.rate }}

OPTION P&L

{{ dhOptPnl }}

HEDGE P&L

{{ dhHedgePnl }}

{{ dhTableTitle }}

{{ h }} {{ r.shock }} {{ r.rate }} {{ r.pnl }} {{ r.d }} {{ r.g }} {{ r.v }} {{ r.t }}

{{ dhLegendTxt }}

VAR

{{ vsH2 }}

SIMULATIONS LAB — VaR · MONTE CARLO

{{ vsContext }}

{{ L.bsInputs }}

{{ vsPortLbl }}

{{ s.lbl }} {{ s.disp }}

{{ vsConfLbl }}

90%95%99%

{{ vsNsimLbl }}

1,0005,00010,00050,000

↻ {{ vsRerunLbl }} ⊙ {{ vsPresetLbl }}

{{ vsRefTxt }}

VaR = V × Z_α × σ × √t
= 1,000,000 × 1.645 × 0.02 × √1 ≈ $32,900

{{ c.name }}

{{ c.sub }}

{{ c.val }}

{{ c.pct }}

MONTE CARLO P&L DISTRIBUTION {{ vsChartSub }}

FUT

{{ ftH2 }}

FUTURES · DAILY MARK-TO-MARKET · MARGIN CALL

{{ ftPanelTitle }}

{{ ftPanelSub }}

LONG ▲ SHORT ▼

{{ ftMultLbl }}

{{ ftQtyLbl }}

{{ ftInitLbl }}

{{ ftInitHint }}

{{ ftMaintLbl }}

{{ ftMaintHint }}

{{ ftIdxLbl }} + {{ ftAddLbl }}

{{ p.lbl }} ✕

{{ p.label }}

{{ ftPosBadge }}

{{ s.lbl }}

{{ s.val }}

MARGIN BALANCE {{ ftChartSub }}

MAINT MARGIN CALL

{{ h }} {{ r.day }} {{ r.price }} {{ r.pnl }} {{ r.cum }} {{ r.bal }} {{ r.call }} {{ r.status }}

{{ ftNarrative }}

BFM

{{ bfH2 }}

BARRIER FORWARD WITH MINIMUM · KNOCK-OUT SIMULATION

{{ bfContext }}

USD/ILS PATH · 12H SESSION

STRIKE 4.10 KO 3.80

{{ bfCtrlTitle }}

{{ s.label }}

{{ bfDataTitle }}

{{ bfStartLbl }}3.95

{{ bfStrikeLbl }}4.10

{{ bfBarrierLbl }}3.80

{{ bfLevLbl }}1:2

{{ bfStatus }}

{{ L.bsLearn }} {{ bfPedTitle }}

{{ bfPedArrow }}

{{ p.h }}

{{ p.t }}

SML

{{ smH2 }}

FX OPTIONS · ATM · 25Δ RR · 25Δ BF · TRADER'S VIEW

LIVE PRICING

MARKET QUOTES

{{ s.lbl }} {{ s.disp }}

{{ s.sub }}

{{ s.lo }}{{ s.mid }}{{ s.hi }}

↺ RESET

IMPLIED VOLATILITY CURVE

{{ smChartSub }}

{{ smShapeTag }}

{{ m.lbl }}

{{ m.val }}

{{ smInterp }}

SRF

{{ sfH2 }}

IMPLIED VOLATILITY SURFACE · σ(Δ,T) · ATM · 25Δ RR · 25Δ BF

{{ p.label }}

MARKET QUOTES PER TENOR

ATM %25Δ RR25Δ BF

{{ r.tenor }}

↺ RESET

{{ sfNote }}

IMPLIED VOLATILITY SURFACE — σ(Δ,T) · 3D

{{ v.label }}

{{ sfRangeLbl }}

{{ sfDragHint }}

SMILE — {{ sfSmileTitle }}

1M3M6M1Y2Y

ATM {{ sfSmileAtm }} RR {{ sfSmileRr }} BF {{ sfSmileBf }}

TERM STRUCTURE — {{ sfTsTitle }}

10ΔP25ΔPATM25ΔC10ΔC

{{ sfTsShapeLbl }} {{ sfTsShape }}

{{ L.bsLearn }} Volatility Surface

{{ sfPedArrow }}

{{ p.h }}

{{ p.t }}

{{ stubCode }}

{{ stubTitle }}

{{ stubSub }}

{{ L.stubBadge }}

{{ L.stubText }}