Derivative Forward
A forward contract is an agreement between two counterparties to buy a specific number of assets at a given price (called strike price) at a given date. For any forward contract no cash changes hands until the maturity of the contract. Forward contracts are cash settled in most cases. At maturity, the two counterparties exchange a cashflow equivalent to the difference between the asset closing price and the strike price. Forward contract is traded over the counter (OTC) instead of exchange market.
Derivative Swap
A swap can be used to transfer both the credit risk and the market risk of an underlying asset. Swaps can be also used to avoid transaction costs (including Tax), to avoid locally based dividend taxes, limitations on leverage (notably the US margin regime) or to get around rules governing the particular type of investment that an institution can hold. Swaps can make investment barriers vanish and help an investor create leverage.
Binary Option
A binary option is a contract that pays either a fixed amount or nothing at all. For a call option, the payoff at maturity is one dollar amount, provided that the underlying value is greater than the strike; otherwise, it is zero.
Binary Return Note
Binary return note is an exotic derivative product. The coupon payment depends on stock performance. The stock return is a constant if the underlying price ends up above the strike price; otherwise it a negative return reflecting the stock performance below the strike.
Binary Return Note Introduction
Special Equity Forward
Special equity forward has two features. One feature is settle date lag, which is introduced to match market conventions as forward contracts are sometimes settled with a delay. The other feature is dividend percentage, which allows the model user to use part of the real dividend for calculation.
Speical equity forward introduction
Option Delta Calculation
The pricing of a vanilla European option is done using the following original (market) input: spot FX rate, time to expiry, strike, domestic foreign interest rate, foreign interest rate, and volatility extracted from smile using all prior five parameters.