MMFutureOption

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MMFutureOption

	MMFutureOption Pricing
	MMFutureOption Static Replication
	MMFutureOption Hedge

MMFutureOption 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."
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. A 25 USD Tick means the contract's value will changes 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	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.

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.
Buy	BUYSELL	The Buy or Sell flag. Long positions are bought. Short positions are sold.
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.
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.
Interest At Maturity	RADIO	The interest at Maturity flag determines is the rate will be computed in fine or at discount. Note: US T-Bills and Australian Bills are in fine.

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