FX Derivatives

Calculate value of forwards and value and Greeks of vanilla and exotic options, perform stress scenarios and validate models using 129 functions, 10 Excel workbooks containing examples and templates included in this module.

  • Instrument coverage and functionality

    129 functions related to FX derivatives

    Functions in this module calculate fair value of forwards and vanilla options, TV of exotic options and Greeks of vanilla and following types of exotic options:

    • Digital option
    • One-touch and No-touch option
    • American barrier option (KI, KO, RKI, RKO)
    • European barrier option (EKI, EKO)
    • Double barrier option (DKI, DKO, KIKO)
    GIAnalyzer screenshot: functions available in the Foreign Exchange Derivatives Module

  • Excel examples and templates

    7 Excel workbooks with dozens of spreadsheets illustrating the use of functions and their various implementations

    • 9 Excel workbooks accompanied with the module include examples of all functions related to FX derivatives. We recommend to use the relevant workbooks before your first use of the specific function.

    • The workbooks include graphs of value and Greeks as a function of spot and time to expiry.

    • The additional Excel workbook include templates, illustrating possible implementation of the functions – stress scenarios of the FX derivatives portfolio.

    GIAnalyzer screenshot: Excel workbooks available in the Foreign Exchange Module
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Supported for Microsoft Excel 2010 – 2019, Office 365,
Windows 7 – 10
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