Market valuation of FX Options

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 be imported from a Market data provider, imported via csv file or  entered manually.

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. 

Name;Date;PutOrCall;BaseCurrency;PriceCurrency;Period;BidRate;AskRate;BidStrike;AskStrike