Archive for category DX Prices and Pricing

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 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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