Transcript 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
• Optional quotedAs structure describing
how option was originally quoted
FX Option Premium
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>
FX Non Deliverable Options (NDO)
• Supported within CashSettlement
node, which is identical to the
structure within a standard NDF
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
FX Barrier Option
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
FX Digital Option
FX Digital Option – European Trigger
FX Digital Option – American Trigger
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
FX Average Rate (or Asian) Option