FX - Foreign Exchange
Advanced Foreign Exchange coverage includes FX-specific functions for binary and barrier options
Use FINCAD Analytics to:
- Analyze your foreign exchange forward and option contracts
- Calculate options based on forward prices or points
- Calculate repo rates for foreign exchange forward contracts.
Highlights of Foreign Exchange Coverage:
Download a more complete list of Foreign Exchange coverage (1MB PDF)
Options - Exotic and Vanilla
Strikes: average, double average, & deferred
Barriers: single, double, and quanto
Binary: single, digital, binary spread
Multi-asset: baskets, cliquets, Napoleon
Chooser
Compound
Lookback
Power & quotient
Quanto
Spread
Altiplano
Asian
European options using SABR
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Volatility Derivatives
Variance Swaps
Volatility Swaps
Variance Options
Conditional variance swap
Corridor variance swap
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Other FX
Forwards and futures
Swaps, swaptions
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Utilities
Implied calculations
- Volatility, strike, rates, etc.
- Goal seek on Any parameter
Implied
Greeks
Cash flow functions
Ability to
- implement single rates or curves
- take in discreet dividends or yield
Graph the volatility surface (smile, skew)
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Models & Methods
Local Volatility Stochastic Volatility
Black-Scholes Binomial
Monte Carlo Garmen-Kohlhagen
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