Option (OPTNS)
Description
Calculates straight option pay-off for any basic CT as underlying (PAM, ANN etc.) but also SWAPS, FXOUT, STK and COM. Single, periodic and continuous strike is supported.
Real-world Instrument Examples (but not limited to)
European, American and Bermudan options with Interest rate, FX and stock futures as underlying instruments.
Required Terms
- contractDealDate
- contractID
- contractRole
- contractStructure
- contractType
- counterpartyID
- creatorID
- currency
- maturityDate
- optionExerciseEndDate
- optionExerciseType
- optionStrike1
- optionType
- priceAtPurchaseDate
- purchaseDate
- statusDate
Conditional Groups
Group 6
- Drivers: terminationDate
- Required if triggered: priceAtTerminationDate
- Optional: None
Group 7
- Drivers: exerciseDate
- Required if triggered: exerciseAmount
- Optional: None
Standalone Optional Terms
- businessDayConvention
- calendar
- contractPerformance
- cycleAnchorDateOfOptionality
- cycleOfOptionality
- delinquencyPeriod
- delinquencyRate
- deliverySettlement
- endOfMonthConvention
- gracePeriod
- marketObjectCode
- marketValueObserved
- nonPerformingDate
- optionStrike2
- seniority
- settlementCurrency
- settlementPeriod
Notes
contractTypeis automatically set to "OPTNS" when using the class.