First, we need market data in the system in order to do market valuation. This is not included.
The market data for FX Options can, at the moment, be put in manually or imported via csv file.
In Treasury Systems you can do the valuation with a volatility curve (the same strike at all tenors) or a volatility surface (different strikes at the same tenor).
In a report the following columns can be used for FX Options
Intrinsic value: The payoff of the FX Option with today's FX rate. Is equal to the market value at the exercise date.
Market value: Clean: Is calculated from current market data
Time Value: The residual of Market value - Intrinsic value. Is zero at the exercise date.
Delta: The price sensitivity of the option
Vega: The sensitivity of the option relative to the implied volatility
Theta: The price sensitivity of the option relative to its time to expiration
Volatility: The implied volatility used to calculate the market value. Is derived from market data.
These theoretical values were calculated by our internal valuation based on established valuation methods.
Different models may lead to differing evaluations. Different market data can lead to different evaluations.
Import market data via CSV file
Note decimal separator needs to be a dot (.)
Please see attached example file for importing ATM (At the money forward) volatilities
Columns in bold are required.