BondFutureOption

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BondFutureOption

	BondFutureOption Pricing
	BondFutureOption Static Replication
	BondFutureOption Hedge

BondFutureOption Product Fields

Mandatory Fields


Expiration	Date	The date when the forward or financial future expires.
No. Contracts	Amount	The number of Contracts traded.
Size	Amount	The Size of each Contract.
Tick Value	Price	The Tick or Basis Point Value (0.01 percent or 1/10000 of a point) is the minimum value change of the contract per basis point change. Example a Tick Value of 25 USD means that the contract s value changes of 25 USD for each basis point change
Call	Radio Button	The Option type. Call for a right to purchase (Default) , put for a right to sell.
Volatility	Volatility	The implied volatility used to override the historical volatility computed from market data. If available, the Volatility Surface (and Forward Rate Volatility and Correlations for FI products) Override this Field.
Expiration	Date	The date when the option expires.
Strike	Price	The exercise price of the option
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Maturity	Date	The date when the contract expires.
Frequency	Integer	Frequency at which coupons are paid.
Coupon	Rate	The Coupon defines the annual rate paid by the issuer. The coupon is divided by the frequency and multipllied by the daycount fraction to define payments.

Optional Fields


Tag	TAGS	The Tag(s) associated with the position(s). Tags are URL like name value pairs separated by / in order to slice and dice analytics. Every Tag has a Dimension.
Portfolio	PORTFOLIOS	The Portfolio to which belongs the position.
Purchased	RADIO	Write Sell flag. Equivalent to Buy Sell Flag, but used mainly for options. Options are Written when sold. By default options are considered purchased.
Counterparty- Account	CPTYACCNO	The Combined name of the Counterparty in the trade & the Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
Fx-Hedge	PERCENT	Defines the foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The Business Date when the position is taken into account in the Analysis.
Close Date	DATE	The Date when the position will ceases to be taken into account in the Analysis.
Settlement	DATE	The Date when the trade is settled
Settlement Price	PRICE	The Price paid when the instrument settles.
Settle Ccy	CCY	The Currency of The settlement price. Used to Convert and Discount Flows with the Riskless Base curve.
Conversion Factor	FACTOR	The Conversion Factor is the factor applied between the underlying notional bond of the Bond Future and the deliverable Closest-To-Maturity Bond available in the marketplace.

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