Strike in FX Terms
Key Strike in FX Terms in FX Option refers to an optional boolean that determines the currency ratio associated with the fx rate of the supplied strike quote, as described in FX Option
The "FX Terms" refers to the FX object specified in key FX, where the currency ratio BASE/QUOTE is defined in terms of the base currency BASE and the quote currency QUOTE as specified by that object's keys Base Ccy and Quote Ccy.
TRUE means the supplied strike quote represents an fx rate of the currency ratio BASE/QUOTE.
FALSE means the supplied strike quote represents an fx rate of the currency ratio QUOTE/BASE.
If omitted, the default is TRUE.
Example:
Consider a European call option referencing the FX rate USD/JPY with notional = 1 and a strike specified as 125, with Underl Ccy = USD so that the option's underlying currency is the USD.
Then upon exercise:
If Strike in FX Terms = true, 125 corresponds to the ratio USD/JPY, which means 1 USD = 125 JPY, which implies that the option holder must pay 125 JPY in order to receive the underlying 1 USD.
If Strike in FX Terms = false 125 corresponds to the ratio JPY/USD, which means 1 USD = 1/125 JPY, which implies that the option holder must pay 1/125 JPY in order to receive the underlying 1 USD.
Even though the last case is not realistic since a strike as low as 1/125 JPY is hardly imaginable, Deriscope would accept it as a valid strike that results in a deep in the money call option on USD/JPY.