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FX Options and Structured Products

Uwe Wystup

ISBN: 978-0-470-01145-4 November 2006 340 Pages

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There has been an explosive growth in the number of corporates, investors and financial institutions turning to structured products to achieve cost savings, risk controls and yield enhancements. However, the exact nature, risks and applications of these products and solutions can be complex, and problems arise if the fundamental building blocks and principles are not fully understood. This book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in a literate yet accessible manner, giving practical applications and case studies.

A special emphasis on how the client uses the products, with interviews and descriptions of real-life deals means that it will be possible to see how the products are applied in day-to-day situations – the theory is translated into practice.

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.


Scope of this Book.

The Readership.

About the Author.


1 Foreign Exchange Options.

1.1 A Journey through the History Of Options.

1.2 Technical Issues for Vanilla Options.

1.3 Volatility.

1.4 Basic Strategies containing Vanilla Options.

1.5 First Generation Exotics.

1.6 Second Generation Exotics.

2 Structured Products.

2.1 Forward Products.

2.2 Series of Strategies.

2.3 Deposits and Loans.

2.4 Interest Rate and Cross Currency Swaps.

2.5 Participation Notes.

3 Practical Matters.

3.1 The Traders’ Rule of Thumb.

3.2 Bid–Ask Spreads.

3.3 Settlement.

3.4 On the Cost of Delayed Fixing Announcements.

4 Hedge Accounting under IAS 39.

4.1 Introduction.

4.2 Financial Instruments.

4.3 Evaluation of Financial Instruments.

4.4 Hedge Accounting.

4.5 Methods for Testing Hedge Effectiveness.

4.6 Testing for Effectiveness - A Case Study of the Forward Plus.

4.7 Conclusion.

4.8 Relevant Original Sources for Accounting Standards.

4.9 Exercises.

5 Foreign Exchange Markets.

5.1 A Tour through the Market.

5.2 Software and System Requirements.

5.3 Trading and Sales.



FX Options and Structured Products