Vanilla FX Option

Description

Allows to price simple European/American Call/Put FX-options on exchange rates. Supported currencies are EURAUD, EURCAD, EURCHF, EURCZK, EURDKK, EURGBP, EURHKD, EURHUF, EURJPY, EURNOK, EURNZD, EURPLN, EURSEK, EURSGD, EURUSD, EURZAR, EURRON, EURTRY, USDCAD, USDCHF, USDCZK, USDDKK, USDHKD, USDHUF, USDJPY, USDNOK, USDPLN, USDSEK, USDSGD, USDZAR, USDRON, USDTRY, AUDCHF, AUDUSD, CADCHF, DKKCHF, GBPCHF, GBPUSD, JPYCHF, NOKCHF, NZDUSD and SEKCHF

Customizables Attributes

Terms

Payout Currency The Currency in which the product pays.
Option style Defines the option type: it can be a call (cap) or a put (floor).
Exercise style Defines the option exercise type: it can be American or European.
Strike It is the exercise price for a call or a put option. In the case of interest rate options like cap, it is called strike rate. In case of a swaption, it represents the fixed rate received or paid by the fixed leg of the underlying swap.
Notional Units of domestic currency sold/bought
Maturity Represents the expiration date or maturity of the contract (Interest rate, Equity etc.) without any business date convention adjustment.
Date rolling convention Date rolling conventions are a series of rules that indicate which date to consider when a payment date or a date used to calculate accrual interest falls into a holiday according to a business day calendar. Supported conventions are: Following: the payment date is rolled to the next business day; Modified following: the payment date is rolled to the next business day, unless doing so would cause the payment to be in the next calendar month, in which case the payment date is rolled to the previous business day. Many institutions have month-end accounting procedures that necessitate this; Preceding: the payment date is rolled to the previous business day; Modified business day: the payment date is rolled to the previous business day, unless doing so would cause the payment to be in the previous calendar month, in which case the payment date is rolled to the next business day. Many institutions have month-end accounting procedures that necessitate this; Unadjusted: paid on the actual day, even if it is a non-business day.
Underlying Enter here the Currency Ticker