Reply To: Currency Options

Israr Ahmed

Hi Corrie.
(1) If you want it to use Spot and 2 Forward Interest Rate Curves then simply construct your Forward FX curve this way ( is it currently constructed using Spot FX and Interest Rates or is it explicit Forward FX rates ? ) . It will pick up whatever is on the Forward FX curve.

(2) Reg PRICE : These links should all be equal : Price value ( in Model inputs ) = the price you see on the Reset Tab [ you may need to press F3 to refresh ] = The value on the interpolated Forward FX (Projection Index) at the same date as the RFIS date on the Reset Tab.

(3) R should be same as = the interpolated CC Zero Rate from the discount curve ( bought currency ) at the same date as the Payment Date you see in the Profile tab.

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