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.
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.