Exposure Report

This menu option allows you to

  • FX exposure (from FX Forwards and FX Options)
  • Equity Exposure (Delta, Gamma, Vega and Theta) from Equity and Equity Options
  • Pv01 Exposure from Bond Positions

A sample report is enclosed here

There is also the added flexibility of uploading your own prices and option greeks (in case you already subscribe to that data and do not want to pay additionally for the cost of getting the same data via Canopy's data distribution license)

Upload your own prices (if so desired)Upload your own prices (if so desired)

Upload your own prices (if so desired)

Methodology

FX Exposure

  • "more info" tags for FX Forwards need to be populated correctly with currencies, amounts and maturity dates (the minimum required fields are as given below)
{
  "Date": "2022/05/28",
  "Curr1": "EUR",
  "Curr2": "USD",
  "Amount1": -5000000,
  "Amount2": 5544100,
}

With the above information each FX forward will be shown in 2 separate lines (one for each currency). In case the yield curve for that currency has been provided (via the optional upload) the appropriate discount rates will also be used

The overall results is as show in the following image

Fx Exposure Calculation (just filter on the appropriate contract currency, EUR in this case)Fx Exposure Calculation (just filter on the appropriate contract currency, EUR in this case)

Fx Exposure Calculation (just filter on the appropriate contract currency, EUR in this case)

Equity Delta

  • All direct equity long (or short positions) will be shown as 100% delta.
  • Delta of any equity option will be shown against the undelying Equity Ticker

The result will look as the following image

Equity Exposure Calculation (filter on the appropriate underlying ticker)Equity Exposure Calculation (filter on the appropriate underlying ticker)

Equity Exposure Calculation (filter on the appropriate underlying ticker)

Bond Pv01

  • Value of one basis point move up or down in interest rates will be shown (this calculation is done only for fixed rate, fixed maturity bonds)

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