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Quantitative Finance · Glossário

O que é Parameter bid–offer?

Também chamado de: parameter bid--offer

Definition 27.5 Derivatives and Volatility · Capítulo 27 — Managing an Exotic Book

The parameter bid–offer of a position is the reserve for an unobservable input: the booked value less a prudent point of the values over the input’s plausible range.

Value of the three-year worst-of note against the correlation of its two indices: the plausible range at inception (light, 0.35 to 0.65) and once the correlation is observable (dark, 0.47 to 0.53). The firm is short the note, so higher correlation is the unfavourable side. Data: the tutorial.
Figure 27.1. Value of the three-year worst-of note against the correlation of its two indices: the plausible range at inception (light, 0.35 to 0.65) and once the correlation is observable (dark, 0.47 to 0.53). The firm is short the note, so higher correlation is the unfavourable side. Data: the tutorial.
The note under four volatility models. For the short position the prudent point (dashed) is the highest value, half a volatility point of vega above the booked model. Data: the tutorial.
Figure 27.2. The note under four volatility models. For the short position the prudent point (dashed) is the highest value, half a volatility point of vega above the booked model. Data: the tutorial.

Exemplos

Example 27.6 (Three reserves on the note)

Bid–offer. Closing the vega at half a point of spread and the delta at 2 basis points costs 0.266 and 0.346 for the two vegas and less than 0.01 for the deltas: 0.621 in all per 100. Model. Four models value the note at 98.00 (flat at-the-money volatilities, booked), 94.33 (flat at the knock-in strike’s volatility, three points higher), 98.62 (flat at the trigger’s, half a point lower) and 97.98 (uncertain volatility, ±20%\pm20\%). The prudent point is the highest of these for a short position, 98.62: a reserve of 0.621. Correlation. Over a plausible range of 0.35 to 0.65 the note is worth 97.64 to 98.50, and the 90% point is 98.43: a reserve of 0.433 (Figures 27.1 and 27.2).

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