Underl Ccy

Key Underl Ccy in FX Option refers to an optional entry that determines which currency is considered as the option's underlying, as described in FX Option
It expects an object of type Currency, which must equal either the base currency BASE or the quote currency QUOTE of the ratio BASE/QUOTE defined in the FX object specified in key FX.
If set to the base currency BASE, the agreed strike is paid in units of the quote currency QUOTE.
If set to the quote currency QUOTE, the agreed strike is paid in units of the base currency BASE.
If omitted, the default is the base currency BASE.

Example:

Consider a European call option referencing the FX rate USD/JPY.
If Underl Ccy = USD the underlying is assumed to be the base currency, i.e. USD.
Then upon exercise the option holder will receive USD and pay the agreed strike in JPY.
If Underl Ccy = JPY the underlying is assumed to be the quote currency, i.e. JPY.
Then upon exercise the option holder will receive JPY and pay the agreed strike in USD.