FX Option

FX Option is a
direct subtype of Vanilla Option with functions FX Option Functions, keys FX Option keys and example object FXOpt that represents a specialization where the underlying is the Quote_Ccy associated with a given FX object.
The option is exercised by paying x units of the
Base Ccy, 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]