HiIs there any free SW out there that shows the greeks fro various exotic derivatives in a visual way?BR

QuoteOriginally posted by: KhoshtipHiIs there any free SW out there that shows the greeks fro various exotic derivatives in a visual way?BRYou mean, absolutely free?

*chuckle*

CuchulainnThe reason I am asking this is that on the interviews I have attended they seem to be obssessed with the greeks. I really do not want anything fancy but something that gives you an intuition, eg what is the vega or gamma for an barrier option, at strike, long in the money or long out of the money............Any crude thing will do. However, if you know something that is not really expensive (shareware etc) I will be happy to consider it too.BRps. imranyusof thanks for your contribution. I found it really enlightning...............

QuoteOriginally posted by: KhoshtipThe reason I am asking this is that on the interviews I have attended they seem to be obssessed with the greeks. I really do not want anything fancy but something that gives you an intuition, eg what is the vega or gamma for an barrier option, at strike, long in the money or long out of the money............Something that I've found useful is to try to do the problem using pencil and paper. Draw out the price curves for various options, and then visually look at the curves to figure out what delta, gamma, vega are.I'd be curious if there are any applications that help with visualization. It wouldn't be too difficult to put something together with QuantLib, but if someone is already doing it, then there is no point in reinventing the wheel (at least without first looking at what other people have come up with for wheels).

Khoshtip,I can understand why you (and many other applicants) would want a tool like this - I've sat through many painful interviews in which the applicant struggles to draw the greeks. It's remarkable how many people with PhDs find it so difficult to differentiate a curve, nay a straight line. IMHO, don't go down this route - follow twofish's advice - think about the problem and get a fundamental understanding. Why not even build your own tool - you'll get more out of doing this than memorising distributions from any book or computer screen!Good luck with the interviews!

Quotethey seem to be obssessed with the greeksGreeks are more important than prices. Sounds funny eh? Well you know your price is wrong when either customers come running for trades, or you dont get any flow at all. But you rarely find out if your greeks are wrong...when you do find out they were wrong, it is too late. This is often disregarded when models are rolled out to a trading desk...fancy pricer, but sucky risk engine.Anyways, www.in-the-money.com has a bunch of java option pricers last time i checked.

see that you may find it helpfulhttp://www.bbt.utwente.nl/fa/staff/dupont/dupont_hedging.pdfV

there is a lot of 3d stuff at the collector's website. derivagem (excel thing that comes with hull's books) lets you do 2d graphs for a lot of the more common exotics.

QuoteOriginally posted by: Gmike2000Greeks are more important than prices. Sounds funny eh? Well you know your price is wrong when either customers come running for trades, or you dont get any flow at all. But you rarely find out if your greeks are wrong...when you do find out they were wrong, it is too late.I agree with your statement, but I think the reason is the opposite. The fact that your price differs from the market is essential if you're going to use this for anything. If it only returns the market price, it can't make you any money. As long as your greeks are right, you can hedge your price, so you don't mind if customers come running for trades. You shouldn't worry about getting no flow, your customers will just come running for the reverse trade. So a perfect model gets the price "wrong" in the sense of what the market thinks, but gets the greeks exactly right. It doesn't tell you the market price today, but it tells you the market price tomorrow depending on tradeable parameters.For that reason, you never know if the price is right today, you only know how much it disagrees with everyone else. But tomorrow you know if the greeks are wrong, as they will be if the price did not move as predicted given other market moves.

QuoteOriginally posted by: KhoshtipCuchulainnThe reason I am asking this is that on the interviews I have attended they seem to be obssessed with the greeks. I really do not want anything fancy but something that gives you an intuition, eg what is the vega or gamma for an barrier option, at strike, long in the money or long out of the money............Any crude thing will do. However, if you know something that is not really expensive (shareware etc) I will be happy to consider it too.BRps. imranyusof thanks for your contribution. I found it really enlightning...............One solution - if you have calculated the price - is to use divided differences to find delta, for example:delta = [C(S+ deltaS) - C(S-deltaS)] / 2 * deltaSetc.This site might also be useful (outrun's site):hereImran,That's enough chuckling now

QuoteOriginally posted by: KhoshtipHiIs there any free SW out there that shows the greeks fro various exotic derivatives in a visual way?BRLook in the MJ's book - it is very well described there.

take a look to this site http://www.sitmo.com might work 4 u

Hi,MRonwise, what do you mean by 'MJ's Book? Which book is that?Thanks