Foreign Exchange

COMMUNITY LOGIN

signup | forgot password

Structure and Price Any Type of FX Derivative
Numerix provides comprehensive coverage for any conceivable type of foreign-exchange instrument through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard FX models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

American/European call/put
American vanilla long-dated option
Forward-start call/put option
Accumulator
Chooser option
Cliquet call/put option
Fader option
Installment option
Range accrual
Realized volatility wwap
Variance swap
Asian options
- Asian dual call/put
- Asian strike call/put
- Asian underlying call/put
Barrier options
- Barrier down-style call/put
- Barrier down call/put continuous
- Barrier up-style call/put
- Double barrier call/put
Compound call/put on American/European call/put
Digital options
- Digital call/put
- Digital call/put no touch
- Digital call/put one touch at end
- Digital call/put one touch on hit
- Barrier double digital no touch
- Barrier double digital at end
- Barrier double digital on hit
Lookback options
- Lookback call/put
- Lookback range call/put
- Lookback strike call/put
FX baskets
- FX basket call/put option
- FX best/worst-of-basket option
- FX max/min-of-basket option
- FX two assets out-performance-of-basket option

Models and Methods Available*

Deterministic model
Generalized Black-Scholes / Garman-Kolhagen model
Dupire local volatility model, also with advanced fit of local volatility surface
Heston stochastic volatility model with constant and time-dependent coefficients
Bates stochastic volatility jump-diffusion model
Local stochastic volatility model
SABR stochastic volatility model
Multi-factor Black-Scholes FX basket model
Arbitrage-free volatility smoothing
Continuity corrections for FX barriers
Vanna-Volga pricing method
Analytic/PDE/Tree/Lattice/Monte Carlo simulations

*Not an exhaustive list