Deriscope

The Excel Derivatives Periscope

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FX_Option

FX Option is a Tradable that represents a Vanilla Option where the underlying is the Key FX::Quote Currency associated with a given FX object.
The option is exercised by paying x units of the
Key FX::Base Currency, where x is a given strike.
For example, a european call option on EUR/USD with a strike of 1.30 would expire worthless if EUR/USD is less than 1.30 and would translate into a profit of .10 USD if EUR/USD reaches 1.40 at expiry.
Note the above option is simultaneously a put option on USD/EUR with a strike of 1/1.30.

The pricing methodology is specified in
Model[Vanilla Option]

The following QuantLib issues have been identified:
Issue::VanillaOption_AnalyticBarrier_NegativeRebateIgnored
Issue::VanillaOption_PayAtExpiry_Ignored
Issue::VanillaOption_AnalyticGJRGARCH_NegativeOptionPrice
Issue::VanillaOption_GJRGARCHModel_Discretization_FullTruncation
Issue::VanillaOption_HestonModel_Discretization_QuadraticExponentialMartingale
Issue::VanillaOption_FDEuropean_On_NonEuropean
Issue::VanillaOption_FDDividendEuropean_On_NonEuropean
Issue::VanillaOption_MCEuropean_On_NonEuropean
Issue::VanillaOption_MCEuropeanGJRGARCH_On_NonEuropean
Issue::VanillaOption_MCEuropeanHeston_On_NonEuropean
Issue::VanillaOption_AnalyticBarrier_On_NonEuropean
Issue::VanillaOption_MCBarrier_On_NonEuropean
Issue::VanillaOption_FDAmerican_TimeDependent
Issue::VanillaOption_FDAmerican_On_NonAmerican
Issue::VanillaOption_FDDividendAmerican_On_NonAmerican
Issue::VanillaOption_BaroneAdesiWhaleyApprox_On_NonAmerican
Issue::VanillaOption_BjerksundStenslandApprox_On_NonAmerican
Issue::VanillaOption_JuQuadraticApprox_On_NonAmerican
Issue::VanillaOption_FdBlackScholesVanilla_On_Mixed
Issue::VanillaOption_FDBermudan_TimeDependent
Issue::VanillaOption_FDBermudan_On_Mixed_American
Issue::VanillaOption_FdHestonVanilla_On_Mixed
Issue::VanillaOption_FdBatesVanilla_On_Mixed
Issue::VanillaOption_FdHestonHullWhiteVanilla_On_Mixed
Issue::VanillaOption_MCAmerican_On_Mixed_European
Issue::VanillaOption_BinomialVanilla_VolCurveIgnored