SearchSolutions / Lacima Trader
Pricer
Calculate value and Greeks for wide range of exchange traded instruments.
Your Pricer Questions
How can I understand the value and risk characteristics of a portfolio to support trading strategies and decisions?
Can I group individual trades into a portfolio to understand their overall risk characteristics?
How do I understand the risk exposures and Greeks of option products?
How do I assess the effectiveness of hedges and hedging strategies on a portfolio of options?
How do I make trading decisions quickly enough to respond to market movements?
How do I simplify trades down to their critical characteristics to drive effective decision making?
Our Solution: Pricer
Calculate values and risk sensitivities for a wide range of commonly traded instruments using Pricer, part of the Lacima Trader suite.
Lacima Trader > Pricer provides the flexibility to value deals directly within existing provided templates, create bespoke spreadsheets for customised derivative pricing and risk management analysis, or build capabilities into your in-house valuation/risk analysis solution.
Options position summary with full Greeks
Features: Pricer
Portfolio view of Delta and Gamma profiles
- Produce and analyse position, exposure, value, P&L and Greeks for a wide range of energy and commodity derivative instruments such as power, natural gas, oil, coal, metals, and soft commodities
- Supports multiple models and valuation frameworks unique to energy and commodity markets including reversion, jumps, seasonality, and price correlations
- Develop and configure your own bespoke models and frameworks
- Understand the story your data is telling by analysing data in isolation or as part of a whole portfolio
- Handles a wide range of different commodities, regions, and currencies
- Extensive coverage of close to 20 different instruments from commonly traded to highly specialised, exotic options
- Consistent analysis across Front and Middle Office with Lacima’s numerical engine underpinning all products
- Get up and running fast with same-day installation and a familiar Excel interface
Related Solutions
Simulation
Generate simulations of spot and forward variables with an advanced Monte Carlo simulation engine for informed deal analysis and structuring.
Curve
Convert forward quotes into detailed arbitrage-free curves. Supports multiple levels of granularity including monthly, weekly, daily, hourly, and half-hourly.
Storage
Structure, value and hedge gas storage assets and identify the trades required to rebalance a storage portfolio to maximise profit.
Swing
Structure, value, hedge and analyse swing contracts to deliver maximum profits. Utilise indexation and output analysis to understand value drivers.
