IR Hedging App Tutorial

In this tutorial you will learn how to use the FusionFabric.cloud components to build an IR hedging application.

The tutorial is based on the following scenario:

• When trading equity options, market data movements can impact the income statement (P&L) of a trading portfolio. The amount of P&L generated by a 1% interest rates movement in the market is called Rho - \(\rho\) and it measures the sensitivity of an option, or an options portfolio. Traders need to hedge their sensitivities (Rho) in order to avoid big movements on their P&L generated by unexpected market movements.
• You, the trader, will build an app that provides you with a view of the interest rate exposure and the P&L generated by the change of the interest rates in the market.
• Moreover, you will learn how to use FusionCreator Financial Model Builder to get insights about your hedging position.

Watch the following video to see what you will achieve by the end of this section.