FX Options and Structured Products explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in a literate yet accessible manner, giving practical applications and case studies. Everything from quotation conventions, seagulls, shark forwards, bid–ask spreads, settlement, fixings, hedging accumulators, unwinding FX–linked swaps and deposits, pricing first generation exotics using the traders rule of thumb.
This book has a special emphasis on how the client uses the products, with interviews and descriptions of real–life deals means that it will be possible to see how the products are applied in day–to–day situations the theory is translated into practice.
- Quants and Traders learn the structuring view and client perspective
- Structurers and Sales learn the quantitative fundamentals
- Newcomers learn the products and the FX particularities and jargon
- Accounting of Structured Products concisely covered
Real life exercises and examples throughout.
Scope of this Book.
About the Author.
1 Foreign Exchange Options.
1.1 A Journey through the History Of Options.
1.2 Technical Issues for Vanilla Options.
1.4 Basic Strategies containing Vanilla Options.
1.5 First Generation Exotics.
1.6 Second Generation Exotics.
2 Structured Products.
2.1 Forward Products.
2.2 Series of Strategies.
2.3 Deposits and Loans.
2.4 Interest Rate and Cross Currency Swaps.
2.5 Participation Notes.
3 Practical Matters.
3.1 The Traders Rule of Thumb.
3.2 Bid Ask Spreads.
3.4 On the Cost of Delayed Fixing Announcements.
4 Hedge Accounting under IAS 39.
4.2 Financial Instruments.
4.3 Evaluation of Financial Instruments.
4.4 Hedge Accounting.
4.5 Methods for Testing Hedge Effectiveness.
4.6 Testing for Effectiveness – A Case Study of the Forward Plus.
4.8 Relevant Original Sources for Accounting Standards.
5 Foreign Exchange Markets.
5.1 A Tour through the Market.
5.2 Software and System Requirements.
5.3 Trading and Sales.