AVG 9.0 EMAIL SERVER EDITION - REVISED 10-2009 Manual do Utilizador descarregar pdf (Página 18)

•

[BT 22088] - stockrate plugins are now updated properly in the theopricing window under

interest rates.

September 10, 2009

90.2, Revision 0, Build 444

The main functionality changes since 90.1 are:

•

[20597] Additional values added to Customizable Risk Pane (can display original Greeks,

Additional Greeks (listed below), and/or P&L totals):

Alpha Total Alpha for Position

WtVega Total Weighted Vega for Position

PP Total Premium Over Parity for Position

•

[20596, 20597] Additional columns added to Options Pane for Alphas and

Weighted

Vegas (along with position totals for Alphas, Weighted Vegas, and Premium Over Parity

in Risk Pane as described above for [20597]) – the cAlpha and pAlpha columns had been

previously added but the calculation of them is corrected in this release:

cAlpha Alpha for that Call pAlpha

Alpha for that Put tcAlpha

Total Alpha for that Call

= cAlpha * cPos * OptionContractSize

tpAlpha Total Alpha for that Put

= pAlpha * pPos * OptionContractSize

cWtVga Weighted Vega for that Call

= cVga * SQRT(30 / Days) OR

= cVga * SQRT(30 /

bDays)

pWtVga Weighted Vega for that Put

= pVga * SQRT(30 / Days) OR

= pVga * SQRT(30 /

bDays)

tcWtVga Total Weighted Vega for that Call

= cWtVga *

cPos

tpWtVga Total Weighted Vega for that Put

= pWtVga *

pPos

tWtVga Total Weighted Vega for that Strike (Call + Put)

= cWtVga +

pWtVga

And the totals added to the Risk Line are:

Alpha Total Alpha for entire position

= SUM (tcAlpha) + SUM (tpAlpha)

WtVega Total Weighted Vega for entire position

= SUM

(tWtVga)

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