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ContingentPremiumFxOption
ContingentPremiumFxOption Pricing
ContingentPremiumFxOption Static Replication
ContingentPremiumFxOption Hedge
ContingentPremiumFxOption Product Fields
Mandatory Fields
Purchased
Radio Button
Write Sell flag. Equivalent to Buy Sell Flag, but used mainly for options. Options are Written when sold. By default options are considered purchased.
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. For interest rate related derivatives a begin and end exercise date might be necessary.
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
Currency
Currency
The currency of the instrument.
Discount Curve
Yield Curve
The interest rate curve used to discount flows.
Reset Index
Reset Index
The Reference Index is the term structure used to fix floating rate coupons. By default this is often the same as the discount, but this might not always be the case. The reference index is used to estimate forwards via risk neutral pricing.
Notional
Amount
The Notional is the reference amount of the trade used to compute payments.
Premium
Price
The Option Fair Value, expressed in percent. The premium is required required for Contingent Premium Swaptions.
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.
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.
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.
Gap
RATE
The Gap is the foreign exchange rate differential usually defined for contingent premium foreign exchange options and basis Swaptions.
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