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Risk Scenario

  • #: 21074
  • Price: $1.99 In Apple Store
  • Category: Finance
  • Updated: 2011-01-21
  • Current Version: 1.0
  • 1.0
  • Size: 0.10 MB
  • Language: English
  • Seller: LI CHEN
  • Requirements: Compatible with iPhone, iPod touch, and iPad. Requires iOS 4.2 or later.
  • © Li CHEN
  •  Add to Favorite apps



Risk Scenario is now available for iphone (IOS 4.2+):

Risk Scenario calculates options theoretical value, greeks, risk scenario result by given Underlying price (T), Strike (K), Rate (R), implied volatility (σ), Time-nb of years to expiration (T) and shock in percentage/value.

1. in Pricing mode, it uses Black-Sholes model for European option pricing and risk scenario calculation.

At expiry time T, we know with certainty what the value of the option is, in terms of the price of the underlying asset S

Payoff = max(S - K, 0) for a call

Payoff = max(K - S, 0) for a put

2.it shows theoretical price of European call option and European put option and all greeks (Delta, Gamma, Vega, Theta, Rho) in one single screen.Pricing results (greeks included) are calculated immediately by clicking on the button "Price!"

3. in Scenario mode, Risk Scenario can also realize simple spot shock, strike shock, implied volatility shock, rate shock and time shock.

4. Risk Scenario can realize shock in percentage (-30% to +30%) or shock in value (no limit).

4.1 in Scenario "shock in percentage mode", Shock results (greeks included) are calculated immediately by dragging the slider of shock in percentage.

4.1 in Scenario "shock in value mode", Shock results (greeks included) are calculated immediately by changing the shock value and then click on the button "Price!"

on this first version, other pricing models (simple cox, PDE etc) are not available, combined risk matrix calculations are not available (spot/maturity, rho/maturity etc)

Disclaimer statement:

1. correct market data (Underlying price (T), Strike (K), Rate (R), implied volatility (σ), Time-nb of years to expiration (T)) need to be input to avoid Risk Scenario calculation failing with "NAN" result.

2. This program is created/distributed in the hope that it will be useful, but it does not give any advise for trading/hedging and things get more complicated for real contracts, so please consult professionals before using the Risk Scenario result for investment.

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The information may be outdated (2011-03-28 00:05:39). For actual information go to iTunes

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