BondOption

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BondOption

	BondOption Pricing
	BondOption Static Replication
	BondOption Hedge

BondOption Product Fields

Mandatory Fields


Counterparty- Account		The Counterparty Name and Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates.
Nominal	Amount	The Nominal defines the reference amount of a cash instrument used to compute payments.
Call	Radio Button	The Option type. Call for a right to purchase (Default) , put for a right to sell.
European	Radio Button	An American Option can be exercised at any date between inception and maturity, whereas the European Option can only be exercised at maturity.
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	Price	The exercise price of the option
Exercise Date	Date	The Exercise Date of the Option. If the Option is European the Exercise date is at maturity. If the option is American, the Exercise date(s) can take place from inception up to the option expiration date.
Exercise Date	Date	The Date when the Option can be last exercised.
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 defined as uris with / in order to slice and dice valuation. A Tag is always preceded by the name of the dimension to which it belongs.
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.
Fx-Hedge	PERCENT	The foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The 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.
Start Date	DATE	The date when the trade kicks in.
Settlement	DATE	The Date(s) when the trade(s) is(are) settled.
Settlement Price	PRICE	The Price(s) paid when the instrument settles.
Settle Ccy	CCY	The Currency(ies) of The settlement price(s). The currency is used to convert and discount flows with the currency's riskless rate.
Underlying Asset Price	PRICE	The price of the option underyling asset.
First Coupon	DATE	The Date when the First Coupon is paid
Payment	PAYMENT	The additional payment or fee attached to a trade or the individual receivable and/or payable legs. As opposed to notional cash-flows, Payments on each leg are considered exchanged.

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