Foreign Exchange Derivatives Coverage

Advanced Foreign Exchange coverage includes FX-specific functions for binary and barrier options.

Use FINCAD Analytics to:

  • Analyze your foreign exchange forward and option contracts
  • Calculate options based on forward prices or points
  • Calculate repo rates for foreign exchange forward contracts

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Foreign Exchange (FX) Coverage:

EXOTIC AND VANILLA

OPTION STYLE
  • Asian
  • Average strike
  • Double average
  • Forward start
  • Chooser
  • Compound
  • Lookback
  • Power & quotient
  • Quanto
  • Spread
  • Barriers:
    • Single
    • Double
  • Binary
  • Multi-asset baskets
  • American
  • Bermudan
  • European

VOLATILITY DERIVATIVES
  • Variance Swaps
    • Conditional
    • Corridor
    • Capped / floored
  • Volatility swaps
  • Variance Options

OTHER FX DERIVATIVES

  • Forwards and futures
    • Including CVA
  • Swaps, swaptions

MODELS & METHODS

UTILITIES
  • Black-Scholes
  • Local volatility
  • Stochastic Volatility
    • SABR
    • Heston
  • Binomial Trees
  • PDE's
  • Monte Carlo

 
  • Implied calculations
    • Volatility, strike, rates, etc.
    • Goal seek on any parameter
  • Greeks
  • Cash fl ow functions
  • Dividend to yield conversion
  • Ability to
    • Implement single rates or curves
    • Take in discrete dividends or yield
  • Graph the volatility surface (smile, skew)

Download a more complete list of Foreign Exchange coverage (57 KB PDF)

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