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Analytics

Analytics enable traders to fully exploit proven trading strategies. Accurate pricing and sophisticated volatility models are required to trade and hedge derivatives in a constantly moving market.

Orc provides off-the-shelf and customized pricing and volatility models for any traded product or asset class. Customized volatility models can be used to manage risk while generating real-time quotes with a more permissive, market tracking volatility model:

  • Trade and hedge products with correct pricing and risk management utilizing customized pricing and volatility models for each product
  • Use proprietary pricing and volatility models to gain market advantage
  • Use proven pricing and volatility models
  • Use same pricing and volatility models in all trading related software requiring calculations

Pricing Models

  • View positions and risk on an aggregated level using risk values to meet your needs 
  • Monitor profit and loss by exposure on a per trade basis
  • Control pricing input with volatility simulations using underlying prices and other pricing criteria
  • Choose to express aggregated risk per market or on a global level 
  • Use restrictive volatility models for risk calculations, while using flexible market tracking models for generating quotes 
  • Express underlying risk in monetary value or number of contracts to trade 
  • Manage multi-currency risk using real-time data for FX rates 
  • Express risk from single-stock derivatives in index futures or index basket 
  • View portfolio risk and positions together with market information and risk values for each contract in one symbol 
  • Create real-time links to Excel for updated profit and loss/risk

Volatility Models

  • Freely define volatility model parameters and points
  • Control behavior of a volatility surface when the underlying price moves
  • Define a volatility model that suits the properties of the modeled products and the pricing model used
  • Implement a restrictive volatility model for risk management, and a more permissive, market tracking volatility model for generating quotes
  • Model term structure for pure surface based volatility models
  • Use a strike parameterization that makes the points/parameters in the volatility surface stable throughout the whole term structure 
  • Fully control weighting volatility data and the algorithm used in fit

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