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User avatar
yolanda

PANORAMA

February 12th, 2002, 11:31 am

Hello:

In my job, we use Panorama as a pricing and valuation program.
It seems to me that it could be a good idea to "open" a topic where users of Panorama - if there is anyone more - can discuss our problems (conceptual or technical ones) with Panorama.

I do not have any idea about how many programs of this kind are used in
the finantial world, so I do not know if it is a very improbable fact that someone else in this forum use this program.

We will see

yolanda

PD: If someone answer this mail I will start with questions
 
User avatar
Athletico
Posts: 14
Joined: January 7th, 2002, 4:17 pm

PANORAMA

February 12th, 2002, 10:57 pm

Hi - I've used Panorama and have also developed an application very similar to it. What issues / questions do you have?
 
User avatar
yolanda

PANORAMA

February 13th, 2002, 7:58 am

Hello Athletico:

Thank you very much for your answer. My questions are:

QUESTION 1
In CAP Pricing page there is a button (FLAT VOLATILITY OFF/ON). I understand that if I press the button and change the option to “FLAT VOLATILITY ON” writing a volatility of XXX, Panorama will forget the cap volatility curve and will use this "forced" XXX volatility in all the caplets and floorlets. Am I right? I ask you this because, when I do that, nothing happens; I can change FLAT volatility from 1 to 100 that the PV does not change, neither the field "Fwd Vol" in Cap Cashflows page.
I do not know if I misunderstand the concept, or if this option could not function in general or ...

About the Flat Vol Off/on button, the manual says literally “Normally the volatility used to price cashflows is obtained from either the cap volatility surface (for LIBOR rates) or from the swaption volatility surface (CMS rate). However, it is also possible to override the implied volatility from the surface with a “flat” volatility, which is applied to all cashflows”

QUESTION 2
In a Swap plain vanilla, in Pricing page, the field “rate” gives:
- The fixed rate which make zero de Present Value of the Swap (if we are looking at the fixed side of the Swap)
- The spread (in basis points) which make zero de Present Value of the Swap (if we are looking at the floating side of the Swap).

I do not have problems with the firs point, but when I put the spread that Panorama gives in the rate field, the PV is not zero (in fact when I replicate the numbers in excel I obtain a better answer, I mean I obtain a spread which gives a PV almost zero).
It would be an easy point and I do not know why it doesn’t function.

Well, if you have developed an application similar to Panorama you are light years far from my knowledge. Thank you “ a priori”

yolanda
 
User avatar
Brown
Posts: 6
Joined: August 28th, 2001, 7:43 am

PANORAMA

February 13th, 2002, 8:41 am

Yolanda,

Good questions but a firm like Panorama should have a help desk for your queries or don't they?
 
User avatar
yolanda

PANORAMA

February 13th, 2002, 9:40 am

Hi Brown:

You are right, in fact I sent the questions and I am waiting for the answer but on the one hand I was impatient and on the other hand I did not know if I had misunderstood some key financial point. For your answer I imagine that I have understood correctly the idea, so, as you say, I can wait for the Panorama help.

When I open this issue I had in mind a place where people - not just me - can share doubts and comments about Panorama. I learn a lot in the forum reading “Excel ricalculation” although I never have had the same problem.

Thank you for your answer

yolanda