FX Options

FX Options module is a comprehensive trading and risk management package for tracking portfolios of over-the-counter and exchange-traded FX derivative products. This module is ideally suited for trading and pricing a wide range of FX options structures and contracts. Contained within this module is a variety of option pricing models able to price an assortment of plain-vanilla and exotic options. Included with the traditional Black-Scholes and Cox-Ross-Rubinstein models are models such as the Finite Difference pricing model, which allows users to evaluate multiple volatilities and interest rates in the pricing of options.

The system offers pricing and rate-keeping facilities for all exotic options as well as currency baskets and options on them. In addition, the options calculator supports the pricing of multi-leg strategies so users can construct their own custom packages of options and price them accordingly. Deal entry and position keeping are easy via an efficient trade blotter or deal capture from the options calculator.

• Vanilla OTC options
• Contingent premiums
• Compound options
• Power FX options
• Exchange-traded options
• Average rate options
• Chooser options
• Single barrier options (KI, KO)
• Double barrier options
  • Up KI/ Dn KO, Vanilla after Touch
  • Dn KI/ Up KO, Vanilla after Touch
  • Up KI/ Dn KO, KO after Touch
  • Dn KI/ Up KO, KO after Touch
  • 2KI, 2KO
• Lookback options
• Digital options
  • One Touch paid at Expiration
  • One Touch paid at Touch
  • No Touch
  • Double One Touch paid at Expiration
  • Double One Touch paid at Touch
  • Double No Touch
  • Digital
• Options on FX baskets
• Window barrier options
• Other exotics

• Real-time options pricing calculator with multiple volatility pricing
• Volatility surface construction using strike, delta, moneyness and tenor
• Deal capture from options calculator
• Sensitivity analysis & stress testing on both simulated and real portfolios
• Top-notch yield curve constructor
• Quote feeds provide intraday mark-to-market and mark-to-theoretical P&L
• Options strategies builder allows users to structure and analyze multi-leg deals
• Sophisticated and flexible reporting - realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs

Risk Scenario Manager - allows the user to set up risk scenarios to view just about any result (P&L value or Greek ) of the entire or sub-selected portfolio, by varying spot, volatility or time horizon across two axes. Charts and individual figure breakdown is supported.

Positions Calculator - allows the user to quickly change market parameters to recalculate P&L and market values of the entire or sub-selected portfolio. This information can be viewed at trade level detail, allowing intraday viewing and daily exposure of the selected portfolio to various changes in the markets.

Value at Risk Reporting - daily, monthly and regulatory Value-at-Risk calculations using RiskMetrics variance/correlation datasets and Monte-Carlo simulation methods.

Risk Management Reports - like gap report, liquidity report, topography report, maturity ladder, P&L decomposition, risk of leverage, limits reports and so on.

Yield Curve Shift Analysis - permits users to analyze risk due to yield curve shifts and twists.

top

Created by EGAR Technology Inc. © 2000-2006 All rights reserved.