FX 2: Pricing and Management of FX Derivatives

Non-optional FX derivatives

• Forward FX
• Principles
• Construction and practical use
• NDF

• Practical workshop

• Hedge an export USD/JPY risk
• FX swaps
• Use of FX swaps in treasury management
• Behaviour of swap points

• Practical workshop

• Hedge FX swaps in money markets
• Hedge the USD lending position of a Euro-based company

Vanilla and exotic FX options

• Quotation pinciples
• Quoting in pips and in %, conversion
• Vanilla options
• Exercising: cut-off time
• Option price parameters
• Option pricing in EXCEL™
• Call-put parity
• Black & Scholes approach: pricing elements
• Black & Scholes adapted to FX options: Garman-Kohlagen
• Risk management of an FX option portfolio: Greeks (delta, gamma, vega, theta, rho)
• Definition and uses in option risk management
• Gamma positive management
• Theta gamma relationship and break-even points

• Practical workshop

• Deltra-neutral management
• Calculate the maximum loss, guaranteed rate and break-even points of FX options strategies
• Managing a gamma-positive position in the simulator
• Hedging strategies based on vanilla options
• Export/import clients positions
• Option purchases without delta hedging, collars, risk reversals
• Fundamentals of exotic option pricing.
• Asian options: objectives and strategies
• Valuation of exotic options (digital, knock-in/knock-out)
• Hedging strategies based on knock-in/knock-out options
• FX structured products
• Structuring process: which products for which needs?
• Hedging strategies