Bloomberg User Manual Chapter 6 Pricing Valuation For Derivatives
Bloomberg User Manual
School of Economics and Finance
Faculty of Business and Economics
University of Hong Kong
Chapter 6
Pricing and valuation for derivatives
Copyright © 2013 by School of Economics and Finance, University of Hong
Kong
All content in this document (the “Content”) is the property of the School of
Economics and Finance, University of Hong Kong (the “Publisher”) and is protected by copyright and other intellectual property laws. You may print or download Content for your own personal, non-commercial use. You may not distribute, modify, publish, reproduce, create derivative works from, or sell or license all or any part of the Content in any medium to anyone without the consent of the Publisher.
Chapter 6
Pricing and Valuation for
Derivatives
Overview
One of the key strengths of Bloomberg is the advanced pricing platform for all derivatives in the market. It is very important to drive the trading volume of the derivatives by having a neutral pricing calculator to generate the mark to market value of the product. Derivatives product has much higher profit margin than cash product in general. The more complex your product is, the high the price your clients are willing to pay.
The purpose of this chapter is to achieve the following 3 goals:
1) Able to showcase or locate the market pricing and analysis for derivatives products.
2) Understand the workflow from how a trader generates the terms and price by the calculator to the actual execution of the trade by electronic confirmation through the calculator. 3) Able to replicate basic derivative products in the market through Bloomberg.
2
6.1 Equity Derivatives Functions
Bloomberg provides a wide range of equity derivative products from exchange traded standard products to OTC traded products. We will introduce a few monitoring functions for standard products, such as warrants, options and ELN.
OMON<GO>
Option Monitor
WMON<GO>
Warrant Monitor
ELN <GO>
ELN Market price Monitor
OMON provides
School of Economics and Finance
Faculty of Business and Economics
University of Hong Kong
Chapter 6
Pricing and valuation for derivatives
Copyright © 2013 by School of Economics and Finance, University of Hong
Kong
All content in this document (the “Content”) is the property of the School of
Economics and Finance, University of Hong Kong (the “Publisher”) and is protected by copyright and other intellectual property laws. You may print or download Content for your own personal, non-commercial use. You may not distribute, modify, publish, reproduce, create derivative works from, or sell or license all or any part of the Content in any medium to anyone without the consent of the Publisher.
Chapter 6
Pricing and Valuation for
Derivatives
Overview
One of the key strengths of Bloomberg is the advanced pricing platform for all derivatives in the market. It is very important to drive the trading volume of the derivatives by having a neutral pricing calculator to generate the mark to market value of the product. Derivatives product has much higher profit margin than cash product in general. The more complex your product is, the high the price your clients are willing to pay.
The purpose of this chapter is to achieve the following 3 goals:
1) Able to showcase or locate the market pricing and analysis for derivatives products.
2) Understand the workflow from how a trader generates the terms and price by the calculator to the actual execution of the trade by electronic confirmation through the calculator. 3) Able to replicate basic derivative products in the market through Bloomberg.
2
6.1 Equity Derivatives Functions
Bloomberg provides a wide range of equity derivative products from exchange traded standard products to OTC traded products. We will introduce a few monitoring functions for standard products, such as warrants, options and ELN.
OMON<GO>
Option Monitor
WMON<GO>
Warrant Monitor
ELN <GO>
ELN Market price Monitor
OMON provides