Foreign Exchange

Foreign Exchange

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*
  • 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

 

Numerix Quantitative Research
“Generalized Vanna-Volga Method and Its Applications”

Request Paper | View All Research Titles

 
 

Foreign Exchange Derivative Solutions from Numerix

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