FAQ — FX Derivatives

Can we integrate external market data in GIA functions?

Absolutely. You can value your portfolios within GIAnalyzer using different formats of market data – interest rates, interest rate curves, forward points, volatility surfaces and spots, from various market data vendors.

Is there a graphical presentation of option’s value and Greeks?

Yes, the graphs are shown as a function of spot and time to expiry.

What calculations can be done in FX forwards, besides the value calculation of the position?

Value of each leg, implied base/counter interest rate, forward price, cross forward points are among additional outputs for FX forwards.

Can we calculate historical simulation VaR for option portfolio using GIAnalyzer?

Sure, if you have historical data if risk factors (spots, vols and interest rates), you could calculate VaR.