Download User Guide - Berkeley Futures Limited

J-Trader Tools
4 From the left-hand frame, select the type of options strategy (page 66) or futures strategy (page
67) you want to create. The —Legs— frame is then populated with a row per leg of the strategy.
Each row has the following fields:
5 Fill in the fields. Strike and Volatility apply only to options strategies).
Notice how the —Description— of the strategy is automatically built up for you, based on the
parameters you set for its legs. Also, the theoretical —Delta— and —Price— are calculated for
you.
6 Click / to switch between:
Off Line: You can enter your own prices, e.g. for calculating ‘what-if’ prices
On Line: The Price fields are dynamically updated with the current market price.
7 In the —Product— frame, select the product you’re trading. The Strategy Calculator then applies
the relevant pricing model:
Product
Bond/
Commodity
Index
STIR
Foreign Cash
Early Exercise
Selects this pricing model
Black-Scholes.
Black-Scholes, using the Local Interest Rate (%) value.
Black-Scholes, using an implied interest rate of (100% - the current interest rate you
specify).
Black-Scholes with foreign-interest rate, using the Local Interest Rate (%) and Foreign
Interest Rate (%) values (see below).
American exercise, ie the option can be exercised at any time during its life.
8 Fill in the remaining fields. Which are available depends on which —Product— you selected:
Field
—Parameters—
—Discrete
Dividends—
Explanation
Local Interest Rate (%): Interest rate for the underlying.
If Foreign Cash is selected, this is the local interest rate to be compared against
Foreign Interest Rate (%) – see below.
Foreign Interest Rate (%) [Foreign Cash product only]: Interest rate for the
underlying.
Continuous Dividend (%) [Early Exercise product only]: Continuous dividend rate.
(Discrete Dividend product only)
This is primarily for equity options, and is the anticipated prices of future dividends.
For each dividend you want to add:
i Click + Add.
ii Enter the Date, and either the Amount or the Yield (entering one calculates the
other).
9 To send the create request to the exchange, click + Add To Market.
© Patsystems Ltd 31/05/2011 15:19:00 65