FX Derivatives: options and structured products

Programme

Option Terminology and Fundamentals

• Review of the main terminology associated with options
• Basic conventions of how option premia are quoted

Case Study – introduction to the Excel model, applying plain vanilla put protection to an FX receivable

Option Valuation

Non-mathematical introduction to the main concepts of option valuation

• Factors which determine the value of an option
• How valuation impacts on financial statements and the treasurer
• Closed form valuation techniques
• Binomial/path dependent models
• Put-call parity

Case study – analysing option value drivers in Excel

The concept of put–call parity will be considered as it provides the basis of a number of option products that will be considered later in the day

Options Applications – part I

• Spreadsheet strategy analysis:
  - varying the strike rate
  - range forwards (collars)
  - participation notes

Options

• Knock in and knock out options

Option Applications – part II

• Structured products combined options

Case study – building KI and KO barriers into FX structures the risks and rewards

Who is it for?

• Anyone working in treasury, especially dealers, back office staff
• Anyone working in or with a commercial team with FX exposure in their trade

Knowledge of FX fixing instruments is essential and participants may therefore be interested in the FX Derivatives: forwards and swaps course

How do you benefit?

By the end of the course you will be able to understand:

• understand option terminology
• intuitively approach options valuation
• construct risk management solutions

Trainer

• Greg Mayes