Examples of ForexNonDeliverableOptionDefinition

com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableOptionDefinition

Class describing a non-deliverable foreign exchange European option. The option exercise date is the underlying NDF fixing date. When the option is a call, the option holder has the right to enter into the Forex NDF; when the option is a put, the option holder has the right to enter into a NDF transaction equal to the underlying but with opposite signs. The settlement is done in the second currency of the NDF. A Call on a Forex on KRW / USD at strike 1124.00 is thus the right to receive 1.00 USD and pay 1124.00 KRW and cash settle the difference in USD. A put on a Forex on KRW / USD at strike 1124.00 is thus the right to pay 1.00 USD and receive 1124.00 KRW and cash settle the difference in USD. There is not a full put/call parity in NDO as the two currencies do not have a fully symmetric role.

  /**
   * Creates a non-deliverable FX option definition
   * @return A non-deliverable FX option definition
   */
  public static ForexNonDeliverableOptionDefinition createForexNonDeliverableOptionDefinition() {
    return new ForexNonDeliverableOptionDefinition(createForexNonDeliverableForwardDefinition(), IS_CALL, IS_LONG);
  }

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Examples of ForexNonDeliverableOptionDefinition

Examples of com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableOptionDefinition