Archive for category DX-Derivatives

DX files updated

When a new DX.TRADE is input, here’s the list of files updated(*): FCUS.LIMIT FCUS.LIMIT.ACT FCUS.LIMIT.TXNS FFIN.ACCOUNT FFIN.DX.ACCT.ENTRIES FFIN.DX.COB.WORKFILE FFIN.DX.COB.WORKFILE.HISTORY FFIN.DX.COMMISSION.DIAGS FFIN.DX.ITEM.STATUS FFIN.DX.REP.POS.ACT.HIST FFIN.DX.REP.POS.ACTIVITY FFIN.DX.REP.POS.HIST FFIN.DX.REP.POS.LAST FFIN.DX.REP.POSITION FFIN.DX.STRATEGY.LINK FFIN.DX.STRATEGY.NEXT.ID FFIN.DX.TRADE$NAU FFIN.DX.TRANS.KEYS FFIN.DX.TRANSACTION FFIN.DX.TXN.ACT.CUST FFIN.DX.TXN.ACTIVITY FFIN.ENTRY.HOLD FFIN.POS.MVMT.TODAY FFIN.POSITION FFIN.POSITION.TABLE When the trade is authorized, below files are updated(*): F.DE.O.HANDOFF F.DE.O.KEYLIST FFIN.ACCT.ENT.TODAY FFIN.CATEG.ENT.TODAY FFIN.CATEG.ENTRY FFIN.CONSOL.ENT.TODAY FFIN.DX.DAILY.TRANS FFIN.DX.SAVE.COMM.DIAGS FFIN.DX.TRADE […]

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DX update prices for FX Exotic options: European Single Barrier options

All basic rules to update DX prices for FX options are already described in these two posts : FX options pricing part I and part II. In order to price exotic options, you just need to add an extra DX.PRICE.SOURCE record, and linked it to the DX.CONTRACT.MASTER keys defining all the exotic options you have […]

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FX Options pricing – Plain Vanilla European model (Part II)

Part II: End of day and online FX options pricing processes This article is the continuation of the part I. Each option contract can have its own pricing method. The implemented model is coded as for all OTC European FX option contracts set in DX.CONTRACT.MASTER:   This “GARMAN.KOHL” code is set in DX.PRICE.SOURCE table with […]

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FX Options pricing – Plain Vanilla European model (Part I)

Part I: Description of FX options pricing basic requirements 1.1 Market data feeds To be able to price FX options, the model (Garman & Kohlhagen) needs market data feeds: FX volatilities by currency pairs, risk-free (zero-coupon) interest rates and FX spot rates. Other parameters (strike, time to maturity, etc…) directly come from deal options to revalue. […]

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DX Overview

The GLOBUS Derivatives product has been developed to allow trading of futures and options. The product supports orders, trading, position keeping, valuation and closing out of both exchange-traded and OTC contracts. The Derivatives product may be used by banks trading on their own behalf, by banks trading on behalf of their customers (including ‘bulk’ trading) […]

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DX Pricing & Prices

Manual prices input External feed of prices (such as Reuters / Telekurs / Bloomberg / etc…): this for all quoted products (ETD Exchange Traded Derivatives). Internal T24 pricing: for non-quoted products, T24 includes different pricing models: Garman Kohlagen for Currency options. Need to feed interest rates in Periodic Interest, currency pairs call/put volatilities in DX.VOLATILITY, […]

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DX concat files

DX Concat Files This chapter briefly describes all useful concat files that may be used either in enquiries or subroutines.  The suffix subr means this concat can only be accessed via a subroutine e.g. there’s no PGM.FILE attached to. List of DX Concat Files DX.CUST.POS DX.TRANS.KEYS DX.TRANS.BALANCES DX.REP.POS.HIST DX.ORD.VERSION.NO DX.ITEM.STATUS DX.RV.LAST.CUST.UPDATE DX.MNEMONIC.CONTRACT Concat for DX […]

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DX Module Setup

How to set -up the DX application. This chapter is not a duplicate of the Temenos user guide, quite well documented but with missing critical parts. It intends to be an add-on, including specific tricks based on my own experience All below information refers to R8.005 release.   FUTURES Setup Check-list Preliminaries Core Commissions Contracts […]

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DX Derivatives overview

This document consists in a quick overview of the Globus Derivatives module (DX). Executive Summary The GLOBUS Derivatives product has been developed to allow trading of futures and options. The product supports orders, trading, position keeping, valuation and closing out of both exchange-traded and OTC contracts. The Derivatives product may be used by banks trading […]

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