FX Derivatives — parameters
Below is the complete list of the functions’ parameters.
| Barrier | |
|---|
| Description: | The option's barrier. |
| Instruments: | American barrier option, European barrier option, One-Touch option, No-Touch option. |
| BarrierL | |
|---|
| Description: | The option's lower barrier. |
| Instruments: | Double barrier option, KIKO. |
| BarrierType (1) | |
|---|
| Description: | The option's barrier type. (Up-And-In, Up-And-Out, Down-And-In, Down-And-Out) |
| Instruments: | Barrier option. |
| BarrierType (2) | |
|---|
| Description: | The option's barrier type. (In, Out) |
| Instruments: | Double barrier option. |
| BarrierType (3) | |
|---|
| Description: | The option's barrier type. (LowerOut-UpperIn, LowerIn-UpperOut) |
| Instruments: | KIKO option. |
| BarrierType (4) | |
|---|
| Description: | The option's barrier type. (Up-And-In, Up-And-Out, Down-And-In, Down-And-Out in single barrier options) (In, Out in double barrier options) (LowerOut-UpperIn, LowerIn-UpperOut in KIKO option) |
| Instruments: | Exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| BarrierU | |
|---|
| Description: | The option's upper barrier. |
| Instruments: | Double barrier option, KIKO. |
| Barrier1 | |
|---|
| Description: | In single barrier options and in touch options – the option's barrier. In double barrier options and in KIKO: the option's lower barrier. |
| Instruments: | Exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| Barrier2 | |
|---|
| Description: | In double barrier options and in KIKO: the option's upper barrier. |
| Instruments: | Exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| Comp | |
|---|
| Description: | The compounding basis of the interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | All Instruments: in this section. |
| CompInput | |
|---|
| Description: | The compounding basis of the input interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | Forward. |
| CompOutput | |
|---|
| Description: | The compounding basis of the output interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | Forward. |
| Comp1 | |
|---|
| Description: | The compounding basis of CCY1 interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | Forward. |
| CurrencyGroupBase | |
|---|
| Description: | This parameter indicates whether the base currency is one of the following – EUR, GBP, AUD, NZD (1) or not (2). (1, 2) |
| Instruments: | Forward. |
| CurrencyGroupCounter | |
|---|
| Description: | This parameter indicates whether the counter currency is one of the following – EUR, GBP, AUD, NZD (1) or not (2). (1, 2) |
| Instruments: | Forward. |
| CurveDatesB | |
|---|
| Description: | The array of dates in the base currency interest rate curve. |
| Instruments: | All Instruments: in this section. |
| CurveDatesC | |
|---|
| Description: | The array of dates in the counter currency interest rate curve. |
| Instruments: | All Instruments: in this section. |
| CurveDatesF | |
|---|
| Description: | The array of dates in the FX forward curve. |
| Instruments: | Forward. |
| CurveDatesP | |
|---|
| Description: | The array of dates in the forward points curve. |
| Instruments: | Forward. |
| CurveDatesUSD | |
|---|
| Description: | The array of dates in the USD interest rate curve. |
| Instruments: | Forward. |
| CurveDatesPbase | |
|---|
| Description: | The array of dates in the base currency against USD forward points curve. |
| Instruments: | Forward. |
| CurveDatesPcounter | |
|---|
| Description: | The array of dates in the counter currency against USD forward points curve. |
| Instruments: | Forward. |
| CurveRatesB | |
|---|
| Description: | The array of rates in the base currency interest rate curve. |
| Instruments: | All Instruments: in this section. |
| CurveRatesC | |
|---|
| Description: | The array of rates in the counter currency interest rate curve. |
| Instruments: | All Instruments: in this section. |
| CurveRatesF | |
|---|
| Description: | The array of rates in the FX forward curve. |
| Instruments: | Forward. |
| CurveRatesP | |
|---|
| Description: | The array of points in the forward points curve. |
| Instruments: | Forward. |
| CurveRatesPbase | |
|---|
| Description: | The array of rates in the base currency against USD forward points curve. |
| Instruments: | Forward. |
| CurveRatesPcounter | |
|---|
| Description: | The array of rates in the counter currency against USD forward points curve. |
| Instruments: | Forward. |
| CurveRatesUSD | |
|---|
| Description: | The array of interest rates in the USD interest rate curve. |
| Instruments: | Forward. |
| DaysB | |
|---|
| Description: | The time basis of the base currency interest rates. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | All Instruments: in this section. |
| DaysC | |
|---|
| Description: | The time basis of the counter currency interest rates. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | All Instruments: in this section. |
| DaysUSD | |
|---|
| Description: | The time basis of the USD interest rates. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | Forward. |
| DDate | |
|---|
| Description: | The delivery date. |
| Instruments: | All Instruments: in this section. |
| DeltaType | |
|---|
| Description: | The form in which the delta in the volatility surface is expressed. (SpotDelta, ForwardDelta) |
| Instruments: | Vanilla option. |
| DigitsNumber | |
|---|
| Description: | The number of digits after the decimal place in the FX spot rate (usually 4). |
| Instruments: | Forward, Vanilla option. |
| DigitsNumberBase | |
|---|
| Description: | The number of digits after the decimal place in base against USD spot rate (usually 4). |
| Instruments: | Forward. |
| DigitsNumberCounter | |
|---|
| Description: | The number of digits after the decimal place in counter against USD spot rate (usually 4). |
| Instruments: | Forward. |
| EDate | |
|---|
| Description: | The option's expiry date. |
| Instruments: | Vanilla and exotic options. |
| ExoticType | |
|---|
| Description: | The exotic option type. (Digital, OneTouch, NoTouch, SingleBarrier, EuropeanBarrier, DoubleBarrier, KIKO) |
| Instruments: | Exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| FirstDate | |
|---|
| Description: | The first date in the hedging period. |
| Instruments: | Forward. |
| FixingDates | |
|---|
| Description: | The array of dates in which the rates for calcualating the average rate are set. |
| Instruments: | Asian option. |
| FixingRates | |
|---|
| Description: | The array of rates for calculating the average rate. |
| Instruments: | Asian option. |
| ForwardPrice | |
|---|
| Description: | The price of the FX forward. |
| Instruments: | Forward. |
| GreekForm | |
|---|
| Description: | The form in which the option's Greek is expressed. (BasePercent, BaseAmount) |
| Instruments: | Vanilla and exotic options. |
| GreekType | |
|---|
| Description: | The Greek's type returned by the function. (SpotDelta, ForwardDelta, Gamma, Vega, Theta, RhoBase, RhoCounter, Vanna, Volga) |
| Instruments: | Vanilla and exotic options. |
| HedgingPeriod | |
|---|
| Description: | The hedging period lengh (in months). |
| Instruments: | Forward. |
| HDates | |
|---|
| Description: | The array of dates of historical forward points. |
| Instruments: | Forward |
| HRates | |
|---|
| Description: | The array of rates of historical forward points. |
| Instruments: | Forward |
| InterestRateB | |
|---|
| Description: | The interest rate of the base currency. |
| Instruments: | All Instruments: in this section. |
| InterestRateC | |
|---|
| Description: | The interest rate of the counter currency. |
| Instruments: | All Instruments: in this section. |
| Interp | |
|---|
| Description: | The interpolation method. (Linear, LogLinear, CubicSpline, Exponential) |
| Instruments: | All Instruments: in this section. |
| Notional (1) | |
|---|
| Description: | The instrument's notional amount, in terms of the base currency. For a long position, the sign is positive, and for a short position, it is negative. |
| Instruments: | All Instruments: in this section. |
| Notional (2) | |
|---|
| Description: | In barrier options: the options's notional amount, in terms of the base currency. In other types: the option's payoff. |
| Instruments: | Exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| OptionType | |
|---|
| Description: | The option type. (Call, Put) |
| Instruments: | All types of options. |
| OptionValue | |
|---|
| Description: | The option's value. |
| Instruments: | Vanilla option. |
| Payoff | |
|---|
| Description: | The option's payoff if it expires in the money (in Digital Option); if the barrier is touched (in One-Touch Option); or if the barrier has not been touched (No- Touch Option). |
| Instruments: | Digital option, One-Touch option, No-Touch option. |
| PayoffCur | |
|---|
| Description: | The currency of the option's payoff. (Base, Counter) |
| Instruments: | Digital option, One-Touch option, No-Touch option. |
| PayoffTime | |
|---|
| Description: | The payoff's time. (AtHit, AtExpiry) |
| Instruments: | One-Touch option. |
| Points | |
|---|
| Description: | The forward points. |
| Instruments: | Forward. |
| RollingPeriod | |
|---|
| Description: | The rolling period lengh (in months). |
| Instruments: | Forward. |
| RRdata | |
|---|
| Description: | The volatility data in terms of ATM, Risk Reversal and Butterfly quotes for different periods. This argument has to be in form of Rx6 matrix, in which the rows are used for different periods and columns for the volatility quotes. |
| Instruments: | Vanilla option. |
| S | |
|---|
| Description: | The FX spot rate. |
| Instruments: | All Instruments: in this section. |
| Sbase | |
|---|
| Description: | The FX spot rate of USD/Base pair (or Base/USD if the base currency is one of the following: EUR, GBP, AUD, NZD). |
| Instruments: | All Instruments: in this section. |
| Scounter | |
|---|
| Description: | The FX spot rate of USD/Counter pair (or Counter/USD if the base currency is one of the following: EUR, GBP, AUD, NZD). |
| Instruments: | All Instruments: in this section. |
| SDate | |
|---|
| Description: | The spot date. |
| Instruments: | All Instruments: in this section. |
| Strike | |
|---|
| Description: | The option's strike price. |
| Instruments: | Vanilla and exotic options. |
| TVCur | |
|---|
| Description: | The currency in which the option's theoretical value is expressed. (Base, Counter) |
| Instruments: | Exotic option. |
| TVForm | |
|---|
| Description: | The form in which the option's theoretical value is expressed. (Amount, Percent) |
| Instruments: | Exotic options. |
| ValueCur | |
|---|
| Description: | The currency in which the value is expressed. (Base, Counter) |
| Instruments: | Forward, Vanilla option. |
| ValueForm | |
|---|
| Description: | The form in which the option's value is expressed. (Amount, Percent, Pips) |
| Instruments: | Vanilla option. |
| VDate | |
|---|
| Description: | The value date. |
| Instruments: | All Instruments: in this section. |
| Vol | |
|---|
| Description: | The volatility of the underlying asset. |
| Instruments: | Vanilla and exotic options. |
| VolSurface | |
|---|
| Description: | The volatility surface. This argument has to be in the form of RxC matrix ("R" stands for rows and "C" for columns). The matrix size is flexible. Its rows are used for different periods and columns for different deltas. |
| Instruments: | Vanilla option. |
