FX Simple Option

FX Simple Option• European and American options• Identifies put and call currency and amount,

exercise style, premium information• Premium structured similar to an

exchanged currency for an FX trade, including optional settlement information for the premium

• Optional quotedAs structure describing how option was originally quoted

FX Option Premium

Example: FX Simple Option<!-- top level information omitted (root element, tradeHeader,…)--><fxSimpleOption>

<buyerPartyReference href="CHASE"/><sellerPartyReference href="ABN"/><expiryDateTime> <!– omitted info --> </expiryDateTime><exerciseStyle>European</exerciseStyle><valueDate>2002-06-06</valueDate><putCurrencyAmount>

<currency>AUD</currency><amount>75000000</amount>

</putCurrencyAmount><callCurrencyAmount>

<currency>USD</currency><amount>36900000</amount>

</callCurrencyAmount><fxStrikePrice>

<rate>0.4920</rate><strikeQuoteBasis>CallCurrencyPerPutCurrency</strikeQuoteBasis>

</fxStrikePrice></fxSimpleOption>

FX Non Deliverable Options (NDO)• Supported within CashSettlement node,

which is identical to the structure within a standard NDF

FX Barrier Option• Conventional option that changes if barrier

reached• Single and multiple barriers supported• Strike price and barrier price(s)• Optional barrier type scheme allows for

differentiation between knock-in, knock-out, reverse knock-in, reverse knock-out

• Reference spot rate optional but recommended (determines whether option needs to go up or down in order to hit barrier)

• Optional payout accommodates rebates

FX Barrier Option

FX Binary & Digital Options• Options that have discontinuous payout profiles (i.e., pays

out fixed amount if satisfies trigger, else pays nothing)• Unlike standard options, amounts quoted are payout

amounts as opposed to underlying notional• Digital options typically defined as European, meaning

payout occurs only if the spot rate trades above or below the trigger level on expiry date

• Digital, range digital supported• Binary options are more like American options (payout

occurs anytime up to expiry date)• One-touch, no-touch, double one-touch, double no-touch

supported

FX Digital Option

FX Digital Option – European Trigger

FX Digital Option – American Trigger

FX Average Rate (or Asian) Option• Payout based upon average price of the

underlying, usually (but not necessarily) over the life of the option

• Allows for either parametric representation of the averaging schedule or specification of each averaging period (including weighting factor)

• Supports previously observed observations

FX Average Rate (or Asian) Option