fx simple option european and american options identifies put and call currency and amount, exercise...
TRANSCRIPT
![Page 1: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/1.jpg)
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
![Page 2: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/2.jpg)
FX Option Premium
![Page 3: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/3.jpg)
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>
![Page 4: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/4.jpg)
FX Non Deliverable Options (NDO)• Supported within CashSettlement node,
which is identical to the structure within a standard NDF
![Page 5: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/5.jpg)
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
![Page 6: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/6.jpg)
FX Barrier Option
![Page 7: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/7.jpg)
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
![Page 8: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/8.jpg)
FX Digital Option
![Page 9: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/9.jpg)
FX Digital Option – European Trigger
![Page 10: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/10.jpg)
FX Digital Option – American Trigger
![Page 11: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/11.jpg)
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
![Page 12: FX Simple Option European and American options Identifies put and call currency and amount, exercise style, premium information Premium structured similar](https://reader036.vdocument.in/reader036/viewer/2022062618/5514ba43550346d36e8b6612/html5/thumbnails/12.jpg)
FX Average Rate (or Asian) Option