Blackrock - Derivatives Dashboard

A financial derivative is a contract whose value is based off of an underlying asset. Financial derivatives
include options, futures, forwards, and swaps. For our project, we will limit ourselves to options, futures,
and interest rate swaps modeling, with options pricing and portfolio risk management as the key areas of
focus. We will also limit our scope to methods that are practically applicable. We will package our work
into a dashboard that will allow users to analyze and visualize financial derivatives data.

Options are financial derivatives that gives the buyer either the right to buy (Call) or sell (Put) an underlying
asset at a specified price (Strike Price) on a specified date (Expiration Date).

The price of an option is dependent on how far away from expiry the option is, the stike price, the interest
rate, and the volatility of the underlying asset.

The volatility surface is a three-dimensional plot that shows the implied volatility of options across different
strike prices and expiration dates.

Our model will collect live market data and utilize Black Scholes options pricing model and Newton-Raphson
method to solve for the implied volatility of each option. The model will then use the calculated implied
volatility to create a visual representation of the volatility surface. We will also implement greeks calculations
to provide insights into the sensitivity of the option’s price to various factors, such as changes in the underlying
asset’s price, time decay, and volatility.

Our model will also include shock testing, allowing users to simulate various market scenarios and observe
how the volatility surface and option prices would react to changes in market conditions. This will provide
users with a deeper understanding of the dynamics of options pricing and the factors that influence it.