Use the custom scenario within Risk Navigator to estimate the forward price for option contracts.
To create a Custom Scenario:
- From the View menu select Custom Scenario
- In the Scenario Editor, filter the underlyings you want to include in the custom view
- Select All Underlyings to affect the entire portfolio from a single editing line
- Select Any Underlyings to edit individual underlyings line by line
- Choose a single underlying to show the subportfolio (the underlying and its derivatives). Additionally, use Ctrl + click to select multiple underlyings.
- Modify the Date to view your risk profile at a future date. By default the date is set to today
- In the Underlying Price section, define the value of the price change and the type
- ExpV - the Custom Scenario price will be changed to exactly reflect the explicit value in the Price field, either positive or negative depending on the sign. For example, if the price for ABC is currently $60.25 and you enter 55.00 ExpV, the Custom Scenario price for ABC will be $55.00.
- Chg - Adds or subtracts the value in the Price field, depending on the sign. For example, if the price for ABC is currently $60.25 and you enter -4.25 Chg, the Custom Scenario price for ABC will be $56.00.
- Chg% - Adds or subtracts the percent of the value in the price field, depending on the sign. For example, if the price for ABC is currently $60.25 and you enter 10 %Chg, the Custom Scenario price for ABC will be $54.23. The values in the Custom Scenario are always compared to values in the realtime Market Scenario. For example, if you modify the Price parameter to show a 10% change in the underlying price and get a Custom Scenario price of $54.23, then you modify this price again to see a -10% change, the new calculation will be based on -10% of the market price of $60.25, not the existing custom scenario price of $54.23.
- Use the Volatility section to modify volatility using the same types (ExpV, Chg and %Chg as described above in the Price section)
- Hit Apply at the top left of the Scenario Editor to see the impact of your changes in the Custom Scenario section.
Find more information on how to create custom scenarios in Risk Navigator in our Users' Guide.