Deriscope ## The Excel Derivatives Periscope

##### Products

FX_Option

*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