FX Generic Barrier Option

Please join us for an overview of the FX Generic Barrier Option in RiskManager, which is one of the new Fast Asset Risk Modeling engine (FARMe) models used to cover exotic options.

This position type allows for the modeling of normal barriers options, as well as, more complicated ones such as Double no-touch or one-touch options.

So far these exotic securities could already be modeled in RiskManager using the Multi Asset Option or a combination of vanilla options, but this template provides a more efficient solution for day-to-day modeling of these asset types in a portfolio.

We will show how some exotic options had to be modeled in RiskManager in the past, how they can now be entered using the FX Generic Barrier Option and the details of the pricing engine as well as risk report results.

Agenda Topics Include

•  FX Generic Barrier Option
•  Practical examples of modeling exotic FX Option in RiskManager
•  Knock-In, Knock-Out, One-Touch & No-Touch Barriers
•  Geometric Brownian Motion model