FX Options and Structured Products

Scope of this Book.

The Readership.

About the Author.

Acknowledgments.

1 Foreign Exchange Options.

1.1 A Journey through the History Of Options.

1.2 Technical Issues for Vanilla Options.

1.3 Volatility.

1.4 Basic Strategies containing Vanilla Options.

1.5 First Generation Exotics.

1.6 Second Generation Exotics.

2 Structured Products.

2.1 Forward Products.

2.2 Series of Strategies.

2.3 Deposits and Loans.

2.4 Interest Rate and Cross Currency Swaps.

2.5 Participation Notes.

3 Practical Matters.

3.1 The Traders’ Rule of Thumb.

3.2 Bid–Ask Spreads.

3.3 Settlement.

3.4 On the Cost of Delayed Fixing Announcements.

4 Hedge Accounting under IAS 39.

4.1 Introduction.

4.2 Financial Instruments.

4.3 Evaluation of Financial Instruments.

4.4 Hedge Accounting.

4.5 Methods for Testing Hedge Effectiveness.

4.6 Testing for Effectiveness - A Case Study of the Forward Plus.

4.7 Conclusion.

4.8 Relevant Original Sources for Accounting Standards.

4.9 Exercises.

5 Foreign Exchange Markets.

5.1 A Tour through the Market.

5.2 Software and System Requirements.

5.3 Trading and Sales.

Bibliography.

Index.