CapeTools Exotic Options Tools

General Description

The SubOptionBook() function is responsible for selecting trades via an SQL type criteria and creating a new portfolio object.

The GroupOptionBook() function is responsible for grouping trades via an SQL type criteria and creating a new portfolio object.

The DisplayOptionGroups() function will display the unique columns of the grouped portfolio

The DisplayGRPOptionBook() function will display the trades within the selected group. A list of possible groups can be determined via the said DisplayOptionGroups() function.

The DisplayOptionBook() function will display the trades within a portfolio, sorted on a list of columns.

The PriceOptionBook() function will price the portfolio. This function holds a 'Greek' parameter and this parameter taylors what number are generated.

You can of make use of the following (in-built) case-insensitive Greek values :

DELTA

GAMMA

VEGA

VOLGA

THETA

However have have a more advanced interface for requesting Greeks. Assuming that you know before hand the name of the function that you used to create the portfolio originally and the list of the parameter names, you can request Greek values as so :

First order derivative risk numbers can be requested by simply passing in the name of the parameter (preceded by the 'd' character) into the 'Greek' parameter of these functions (ie - dStock).

Second order derivative risk numbers can be requested by simply passing in the name of the parameter (preceded by the 'd' character) ( repeated twice) into the 'Greek' parameter of these functions (ie - dStockdStock).

Cross derivative risk numbers can be requested by simply passing in the name of the parameters (preceded by the 'd' character) into the 'Greek' parameter of these functions (ie - dStockdTime or dTimedStock).

When pricing options composed of two underlyers, we suggest using this notation rather than the 'DELTA' value for requesting the delta value of the first underlyer parameter.

The risk values computed are the mathematical definition of a derivative (via differentiation). Thus if you wish to compute the risk numbers for a given shift (ie - a one basis point change in the parameter), then you simply multiply the risk number by the requested shift.

When priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.

All of the functions implemented here have been taken from : 'The Complete Guide To OPTION PRICING FORMULAS' by Espen Gaarder Haug. This book provides an in-depth analysis of every function described here. We have just implemented these functions in C++ and extended their functionality to include risk-numbers.