Option Portfolio allows you to constrain the query results in the risk dimensions other than the objective dimension. So, if your goal is to achieve a specific Gamma position, you will be able to constrain the resulting Delta, Vega and Theta. The algorithm imposes the following default constraints:
|
C o n s t r a i n t s |
|||||
|
O |
|
Delta |
Gamma |
Vega |
Theta |
|
b j e c t i v e |
Delta
|
|
> 0 |
> 0 |
|
|
Gamma
|
= 0 |
|
|
|
|
|
Vega
|
= 0 |
|
|
|
|
|
Theta
|
= 0 |
|
|
|
|
For example, the default Delta constraint ensures that the Gamma and Vega of the Query Results solution are positive.
To override the system defaults, enter a value in one or multiple input fields and click Submit Query.
Next: Evaluate the Solution