Accumulator, decumulator, target, pivot are all structured products based on complex derivatives. This post is explaining how they work and
Tag: Derivatives
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.
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
Implied and historical volatility
Volatility is one of the parameters needed to calculate the price of a currency option between its trade date and
FX Options pricing (Exotic) – European Single Barrier options
Definition Barrier options are part of exotic options. They differ from standard (or vanilla) options by having extra criteria to
Introduction to Delta
Delta is one of many indicators that option pricing models are providing (Greeks). It represents the practical level for exercising
La notion de Delta
Le Delta fait partie des nombreuses variables (que l’on appelle les “Grecs”) qu’un outil de pricing d’option va retourner. Il représente
FX Options: relation between premium prices in percentage vs in pips
FX options can be negotiated either in percentage or in pips (price interest points). This illustrates the various equivalences to
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
Utilisation pratique du Delta : la Gestion en Delta neutre
Utilisation pratique du Delta : la Gestion en Delta neutre Une position optionnelle induit un risque de change, au même
Practical use of the Delta: Delta neutral management
An FX option position induces a risk, just as a spot or a forward position. A “delta neutral” management consists
Interest Rate Options Strategies
Specific strategies for interest rate options Cap and floor Although they are not, strictly speaking, options, caps and floors are
Multivalued fields
Multivalued fields This is a very specific characteristic attached to the RDBMS included with GLOBUS / T24 ( Universe or
DX Overview
The GLOBUS Derivatives product has been developed to allow trading of futures and options. The product supports orders, trading, position
DX Pricing & Prices
Manual prices input External feed of prices (such as Reuters / Telekurs / Bloomberg / etc…): this for all quoted
DX concat files
DX Concat Files This chapter briefly describes all useful concat files that may be used either in enquiries or subroutines.
DX Module Setup
How to set -up the DX application. This chapter is not a duplicate of the Temenos user guide, quite well
DX Derivatives overview
This document consists in a quick overview of the Globus Derivatives module (DX). Executive Summary The GLOBUS Derivatives product has