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FX and Equity Options

FX options

let opt = MakeFxOption::default()
    .with_identifier("USDCLP_CALL_6M".to_string())
    .with_expiry_date(rd + Period::from_str("6M")?)
    .with_strike(950.0)
    .with_option_type(FxOptionType::Call)
    .with_base_currency(Currency::USD)
    .with_quote_currency(Currency::CLP)
    .with_pair("USDCLP".to_string())
    .build()?;
let trade = FxOptionTrade::new(opt, rd, 1_000_000.0, Side::LongReceive);
let results = FxOptionPricer::new().evaluate(&trade, &[Request::Value, Request::Sensitivities], &ctx)?;

Required: identifier, expiry_date, strike, option_type (FxOptionType::{Call, Put}), base_currency, quote_currency, pair. Default day counter Actual360.

FxOptionPricer requests both discount curves, the spot from the FxStore and the FX volatility surface registered for the pair. It prices with Garman-Kohlhagen:

\[ F = S\,\frac{P*{base}(T)}{P*{quote}(T)},\qquad C = P*{quote}(T)\,[F\Phi(d_1)-K\Phi(d_2)],\qquad d*{1,2}=\frac{\ln(F/K)\pm\frac12\sigma^2T}{\sigma\sqrt T}. \]

The volatility is read through OrientedFxVolSurface, which inverts the strike when the surface is quoted for the reverse pair. Sensitivities cover the two curves, the vol quotes and (if registered as a DualFwd leaf) the spot.

Equity European options

let option = EquityEuropeanOption::new(/* identifier, market_index, strike, expiry, EuroOptionType::Call, currency */);
let trade = EquityEuropeanOptionTrade::new(option, notional, rd, Side::LongReceive); // note argument order

Two pricers share the trade type:

PricerRequestsMethod
BlackEuropeanOptionPricer::new()Value, SensitivitiesBlack-Scholes with spot, dividend yield, discount curve and the equity surface at (expiry, strike)
BlackMCEuropeanOptionPricer::new()Value, Sensitivitiesreads a pre-generated simulation for market_index from the context (with_simulation_configurations, ModelConfiguration::BrownianMotion) and returns \(P(T)\,\frac1n\sum_p \text{payoff}(S^p_T)\)

The Monte Carlo pricer keeps paths as DualFwd, so sensitivities to the spot/vol/curve leaves flow through the simulation. BrownianMotion::closed_form_price / delta / vega / rho / theta(fwd, strike, vol, tau, is_call) give reference values for tests.

Equity forwards

MakeEquityForward (required identifier, market_index, delivery_date, strike, currency; defaults Actual360, LongReceive) creates an EquityForward priced as a cashflow-based trade (EquityForwardTrade). FuturesTrade wraps a generic listed future.

Vol quotes

FX surfaces: FxCall_USDCLP_6M_Absolute_950-style identifiers; equity surfaces: EquityCall_USD_AAPL_1Y_Absolute_150. Both feed VolatilitySurfaceConfiguration with smile_type Strike, Delta or LogMoneyness — the pricer passes the key consistent with the configured smile type.