1 / 12

FX Simple Option

FX Simple Option. European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar to an exchanged currency for an FX trade, including optional settlement information for the premium

cana
Télécharger la présentation

FX Simple Option

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. FX Simple Option • European and American options • Identifies put and call currency and amount, exercise style, premium information • Premium structured similar to an exchanged currency for an FX trade, including optional settlement information for the premium • Optional quotedAs structure describing how option was originally quoted

  2. FX Option Premium

  3. Example: FX Simple Option <!-- top level information omitted (root element, tradeHeader,…)--> <fxSimpleOption> <buyerPartyReference href="CHASE"/> <sellerPartyReference href="ABN"/> <expiryDateTime> <!– omitted info --> </expiryDateTime> <exerciseStyle>European</exerciseStyle> <valueDate>2002-06-06</valueDate> <putCurrencyAmount> <currency>AUD</currency> <amount>75000000</amount> </putCurrencyAmount> <callCurrencyAmount> <currency>USD</currency> <amount>36900000</amount> </callCurrencyAmount> <fxStrikePrice> <rate>0.4920</rate> <strikeQuoteBasis>CallCurrencyPerPutCurrency</strikeQuoteBasis> </fxStrikePrice> </fxSimpleOption>

  4. FX Non Deliverable Options (NDO) • Supported within CashSettlement node, which is identical to the structure within a standard NDF

  5. FX Barrier Option • Conventional option that changes if barrier reached • Single and multiple barriers supported • Strike price and barrier price(s) • Optional barrier type scheme allows for differentiation between knock-in, knock-out, reverse knock-in, reverse knock-out • Reference spot rate optional but recommended (determines whether option needs to go up or down in order to hit barrier) • Optional payout accommodates rebates

  6. FX Barrier Option

  7. FX Binary & Digital Options • Options that have discontinuous payout profiles (i.e., pays out fixed amount if satisfies trigger, else pays nothing) • Unlike standard options, amounts quoted are payout amounts as opposed to underlying notional • Digital options typically defined as European, meaning payout occurs only if the spot rate trades above or below the trigger level on expiry date • Digital, range digital supported • Binary options are more like American options (payout occurs anytime up to expiry date) • One-touch, no-touch, double one-touch, double no-touch supported

  8. FX Digital Option

  9. FX Digital Option – European Trigger

  10. FX Digital Option – American Trigger

  11. FX Average Rate (or Asian) Option • Payout based upon average price of the underlying, usually (but not necessarily) over the life of the option • Allows for either parametric representation of the averaging schedule or specification of each averaging period (including weighting factor) • Supports previously observed observations

  12. FX Average Rate (or Asian) Option

More Related