The Excel Derivatives Periscope



FX Option is a Tradable that represents a Vanilla Option where the underlying is the Key FX::Quote Currency associated with a given FX object.
The option is exercised by paying x units of the
Key FX::Base Currency, where x is a given strike.
For example, a european call option on EUR/USD with a strike of 1.30 would expire worthless if EUR/USD is less than 1.30 and would translate into a profit of .10 USD if EUR/USD reaches 1.40 at expiry.
Note the above option is simultaneously a put option on USD/EUR with a strike of 1/1.30.

The pricing methodology is specified in
Model[Vanilla Option]

The following QuantLib issues have been identified:
FX Option Issues