Currency Products

  1. Touch Option

Touch FX options include One-Touch Up, One-Touch Down and Double One Touch with rebate paid at expiry, and No Touch Up, No Touch Down, and Double No Touch.

The valuation model is an ad-hoc one that attempt to price Exotics with volatility smile surface. The idea behind Skew Touch is to build a hedging portfolio made of smile contracts (Call/Put or Risk Reversal /Butterfly) which, under volatility flatness assumption (ATM), matches Black-Scholes Vega and its derivatives with respect to FX spot and volatility, Vanna and Volga, of the target Touch Option.

Zenodo touch option

Zenodo touch option pdf

Github touch

Zenodo fx touch

2. Single Fixing Barrier Option

A Single Fixing Single Barrier Fade In Option gives a European payoff at expiry if a contractually fixed single barrier has been knocked on a specified single fixing (observation) date and gives nothing if otherwise. The “Out” version gives nothing if the barrier is knocked and a European payoff otherwise.

Zenodo single fade option

Zenodo single fade option pdf

github barrier

3. Broker Strangle Algorithm

Broker Strangle Algorithm is used to calibrate FX volatility surface. At anchor expiry terms, the algorithm produces 25% and 10% Delta Call and Put volatilities from market at-the-money volatility, 25% and 10% Delta Risk Reversal and Broker Strangle volatility spreads.

Zenodo broker strange

Zenodo broker strange pdf

github broker

4. Compound Option

A vanilla compound option is defined as a European vanilla option upon another European vanilla option, which may be called underlying vanilla option. There are four types of compound options: call-on-call, call-on-put, put-on-call and put-on-put. Due to the call-put parity, basically, we only need to consider call-on-call and call-on-put. In this report, under the assumption that the asset price, which is the underlyer of the underlying option, follows geometrical Brownian motion and that risk-free short rate, dividend yield and volatility are deterministic, we present Black-Scholes/Merton’s analytical close form pricing formula for vanilla compound options.

Zenodo compound option

Zenodo compound option pdf

github compound

5. Reciprocal Average Rate Forward

A reciprocal average rate forward is a forward contract whose matured payoff is the difference between the reciprocal of the arithmetic average of foreign exchange rates and the reciprocal of a strike. The average is calculated by those rates quoted with the market convention over a given set of observation dates. The forward strike is also quoted in the same convention. Clearly, a reciprocal average rate forward is a nonlinear forward contract, which means the contract matured payoff is a non-linear function of averaged rates.

Zenodo reciprocal forward

Zenodo reciprocal forward pdf

github reciprocal

6. Ratio Tunnel Option

A ratio tunnel option offers the contract holder the right either long or short, at a contract maturity, a preset underlying collar. Notional principals and strikes in the collar may be different. In the system, the ratio tunnel option and the underlying collar are strictly European type. The ratio tunnel option model applies analytical close form pricing formulae for vanilla compound options.

Zenodo ratio tunnel

Zenodo ratio tunnel pdf

github ratio

7. Power Swap

The article discusses valuation models for the following products: power financial indices swap contracts (PWR-SWAP), power financial transmission rights contracts (PWRSWAP- FTR), power physical delivery contracts (PWR-PHYS) and power physical transmission contracts (PWR-TR-SPREAD).

Zenodo power swap

Zenodo power swap pdf

Github power

8. Asian Futures Option

A commodity Asian Futures option is a vanilla Asian option on one or several commodity futures. The matured payoff of the Asian option depends on an arithmetic average of the underlying futures prices over a specified set of reset dates. The pricing model of the Commodity Asian Futures Option is used for pricing, marking-to-the-market (P&L) and risk number calculations.

Zenodo Asian futures option

Zenodo Asian futures option pdf

Github asian

9. Option Delta

The pricing of a vanilla European option is done using the following original (market) input: spot FX rate, time to expiry, strike, domestic foreign interest rate, foreign interest rate, and volatility extracted from smile using all prior five parameters.

Zenodo option delta

Zenodo option delta pdf

Github delta

10. Fade Option

So-called “fade option” can be more precisely named as “point-barrier option”. The fade option is a vanilla option that exists or dies if a barrier is breached on a single preset date, which is prior or equal to the contract maturity. Therefore, the barrier type can be up-cross or down-cross; the exercise type can be knock-in or knock-out; and the underlying vanilla can be call or put.

Zenodo fade option

Zenodo fade option pdf

Github fade

11. Commodity Futures Swaption

A commodity futures swaption (CFSn) is a linear portfolio of options on FCCF. Hence it suffices to consider one option on an FCCF. Suppose that the underlying FCCF has a maturity of settlement Tfccf , a commodity principal P, average time points t1 < ¢ ¢ ¢ < tn <Tfccf , average weights f!1; ¢ ¢ ¢ ; !ng, and an index ¯. Let T be a maturity of the option onthe FCCF where T < t1 and KC2comm be a strike of the option. Now let VC1(t; ¯) be the value at time t of the option on the ¯-FCCF. From the FCCF pricing formula (6), the payoff of the option at the maturity T becomes

Zenodo cmc futures swaption

Zenodo cmc futures swaption pdf

Github futures

12. Commodity Futures Swap

A commodity futures (contract) swap (CFS) is a linear portfolio of forward contracts on commodity futures (contract) (FCCF). An FCCF belongs to the category of arithmetic average forward contracts. Due to the linearity with respect to underlying asset prices, an arithmetic average forward contract is just a linear combination of ordinary forward contracts.

Zenodo cmc futures swap

Zenodo cmc futures swap pdf

Github swap

13. Double Window Double Barrier Option

An FX Double Window Double Barrier option can be seen as a special case of a complex barrier option, where we can have multiple single and double partial barrier (partial barrier meaning: the barrier is effective only on a subinterval of the full option term).

Zenodo double barrier

Zenodo double barrier pdf

Github double

14. Capped Accumulated Return Call Option

We propose a Monte Carlo (Gaussian MC and Quasi MC) pricing model for the product named capped-accumulated-return-call (CARC) with lock in feature. 

Zenodo carc

Zenodo carc pdf

Github carc

15. Variance Swap

A variance swap is a forward contract on annualized variance, the square of the realized volatility.  The holder of a variance swap at expiration receives a notional amount for every point by which the realized variance has exceeded the variance delivery price. Valuation of the swap involves decomposition of the contract into two periods, one that has become historical, and the other with FX rates still unknown.

Zenodo variance swap

Zenodo variance swap pdf

Github variance