Bloomberg offers FX Option Portfolio Analysis

First Published: e-Forex Magazine 32 / News / July, 2008

Bloomberg has released an FX Portfolio Analysis function, OVRA <GO> on the BLOOMBERG PROFESSIONAL® service, for revaluation and scenario risk analysis of portfolios containing FX Spot, Forwards, and Options positions as well as dated cash flows.
 From Bloomberg’s OVML FX options calculator, users can transact electronically with market-making banks or manually book FX and FX Options trades into an OVRA portfolio. When booking a trade manually, a trade affirmation can optionally be sent to the counterparty, and trade details can be sent via an STP feed to mid- and back-office systems including Bloomberg’s TOMS and POMS/AI order management systems. The OVRA Portfolio screen shows the value and greeks for each trade in the portfolio using current market rates.  It can also show historical values using historic market rates.  The OVRA Scenario Analysis screen displays the value and greeks for the portfolio at various spot rates, volatility levels, and horizon...continued

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