FX 3: Exotic and Structured FX Products

FX structured products: market and major mechanisms

• Definitions, mechanisms and structuring
• FX structured market: key-players, objectives and constraints, main markets, issuing vehicles (EMTN, CD, warrants, …)
• Structuring process: reverse enquiry, public offering / private placement
• Qualified investors
• Impact of MiFID

FX option book management and pricing

• Fundamentals of FX options
• FX markets softwares: Reuters Dealing / EBS / Murex / SuperDerivatives
• Application of Black & Scholes in an FX environment
• Determining the value of a call and a put
• Detailed explanation of the Garman Kohlhagen formula
• Sensitivity parameters: Greeks (delta, gamma, theta, rho, vega)
• A step further: vanna, volga
• Relationships between various Greeks
• Call-put parity, pips and % quotations
• FX option conventions: trade day, premium payment day, cut off time, settlement day

MARKET SIMULATION (FIRST TRADING ROOM®)

• Manage an FX book : trade FX spot, forward, FX swaps and options under various constraints and for various scenarios. Be a market maker for other delegates while keeping your portfolio within limits in P&L and sensitivities

Simple structures using vanilla options

• Risk reversal
• Spreads, condors, seagulls
• Straddles, strangles and butterflies
• Digital options
• Dual currency and other FX target

First generation of exotics

• European and American binary options
• Single and double barrier options, knock-in and knock-out
• Asian options: geometric, arithmetic and harmonic averages

Forward products

• Participating forward
• Knock-out forward
• Fade-in forward
• Accumulative forward
• Range forward