Page Comparison

1. Option Calculator - if tick all three rows and click calculate, settlement and greeks will show same values but actually BE returns different numbers bug fixed

Enhancement

Options Calculator

1. Option Calculator:

• able to allow user to calculate option price and greeks based on the chosen option pricing calculator

• able to save price and greeks into private market data price, which will be used in portfolio P/L calculation

Step1: Get open positions or add row
Add Open Contract UI:
1、must input products and settlement date first, or it will return error.
2、after click open contract button, all the open contracts will appear. (Get columns data with pair number 1)
Products:
1、dropdown list from XXX
2、single select
Settlement Date:
1、default today
Add Add Row UI

Step2: Input necessary data for calculation and set auto spot price
Risk free rate:
1、RFR%
2、users only need to input at the first time
3、Chinese: 无风险利率
map: r

Cost of carry commodities:
1、COC
2、users only need to input at the first time
3、Chinese: 商品持有成本
map: b

SIGMA（%）

Auto spot price check box:
1、AUTO SP
Chinese：自动设置现货价格
2、default unchecked
3、once user click the checkbox, the spot price column will be filled with average price from XXX

Step3：Calculate option settlement price and greeks
Add Calculate UI:
After user click the calculate button, system will get option settlement price and greeks from BE(see columns with pair number 2 in table details)

New Feature

Options Calculator

2. Dashboard - Portfolio Top View Enhancements

• get option contract e_date delta from private market data price

• if there is a delta, get delta value, else to be 1

• once have delta for option value, do multiply po_size to get updated delta_po

Enhancements

Portfolio Top View Model

3. Options Calculator Enhancements

• Add more columns in private market data price:

  • implied volatility: sigma

  • delta: delta

  • gamma: gamma

  • theta: theta

  • vega: vega

• Add underlying product for option product in product data table

  • if it is futures option, then underlying is the similar futures product

    if it is spot option, then underlying is the similar spot product

    if it is forward option, then underlying is the similar forward product

• GET option product list and option formula list API

• Bugs fixed

• Error for TURNBULL-WAKEMAN ASIAN model fixed

• Add new UI for user to input their customised days information in one year: Last Trading Day and Year Days

• Add Time to last trading day column (TTM) and period of average pricing of contract in year column (POC)

• Cannot click Option Pricing Formula dropdown list bug fixed

• Spot Price should be editable

• Calculate error messages changed

• Strike Price, Year Days, RFR(%) and COC(%) should be number

• If input Year Days below TTM/POC error message changed

• Change format of underlying price

• Last Trading Day is compulsory item and drop down list fixed

• Manual input bug fixed

• Strike Price is compulsory item, and should be number but in text format

• Sigma error message fixed

• Bug for option calculator for different products fixed

• Option Calculator - currently, BE using settlement date for all rows. but in fact, different row may have different settlement date in table. so we need to use settlement date in row instead; use settlement day of row for each row calculation

• Allow RFR and COC to be negative and 0, as long as it is a number

• sigma, ttm and poc should not allow negative; settlement price, spot price and underlying price could be negative.

• Year days, RFR% and COC% should be number

• Manual input and calculate function bug fixed

• when manually add new trade, after input underlying price, “sa“ to BE should be float, not str; For open contracts, SETTLEMENT, SPOT PRICE, SIGMA,TTM,POC should be editable.

• Year days can not be small than ttm/poc, need BE to do validation check and raise error; BE has done Nan value check. if premium is Nan value, raise error.

• If there is no maf product id, month, year, raise error message when click the calculate button in last trading day.

• if there is no STRIKE, UNDERLYING PRICE, raise error message

• FRF and COC if 0 will have error bug fixed

Enhancements

Options Calculator Chinese 期权计算

4. Dashboard - bug fixed:

• Counterparty Position Risk Summary

• Group P/L - Historical GPPL tick box

• Portfolio P/L Details

• Portfolio Top View cannot open Default Portfolio

Enhancement