Derivatives Valuation

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  • Listed Commodity Futures
  • Listed Commodity Options
  • Commodity Swaps --case study
  • Commodity Average Price Option Strips --case study
  • Commodity Barrier Option:
    • Simple Knock Out Call / Put
    • Simple Knock In Call / Put
    • Double Knock Out Call / Put
    • Double Knock In Call / Put
  • Commodity Digital Option:
    • Simple No Touch
    • Simple One Touch
    • Double No Touch
    • Double One Touch
  • Vanilla FX Option --user guide
  • FX Option Strategy --user guide:
    • Straddle
    • Strangle
    • Butterfly
    • Risk-Reversal
    • Call Spread
The underlyings and currency pairs currently implemented are:
  • Precious Metals
    • Gold (XAU)
    • Platinum (XPT)
    • Silver (XAG)
  • Base Metals
    • Copper (XCP)
  • Energy
    • Brent Crude Oil (LCO)
    • West Texas Intermediate Crude Oil (WTI)
    • New York Harbor Gasoline (XRB)
    • Henry Hub Natural Gas (HNG)
  • FX
    • USD/JPY - Japanese Yen per US Dollar
    • AUD/USD - US Dollar per Australian Dollar
    • GBP/USD - US Dollar per British Pound Sterling
    • EUR/USD - US Dollar per Euro
    • USD/CHF - Swiss Franc per US Dollar
    • USD/CAD - Canadian Dollar per US Dollar

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