To provide the details used by CS Lucas to show the Currency Option MTM.
WHY IS THIS IMPORTANT?
Allow users to verify the details of Currency Option MTM.
1. Navigate to Reporting > Standards > Report 4301: Currency Option MTM.
2. Fill in the mandatory parameter – Acct Cntr, From Date and To Date.
3. Click on the required format to print.
4. The report shows the Type, Transaction, Accounting Centre, Counterparty, TDate, VDate, Exp Date, On Currency, Amount, Against Ccy, Countervalue, Strike, Premium, Amer/Eur, In/Out, Level, Status, Spot Rate, Volatility, Rpt Ccy and MTM.
Note: One of the currency of the Option trade must be the Enterprise currency to generate MTM.
For explanation of button, please see link.
For explanation of buttons, please see link.
To view the following transaction,
Follow the steps as shown below:
1. Navigate to Transaction > Options.
2. Select Acct Cntr* (From example: TFS-SG)
3. Key in Expiry Fr* (From example: 01/11/2016)
4. Click Refresh.
5.Click on the Trade ID to drill down to trade details.
Countervalue: Amount * Strike
7. To compute MTM for Currency Options as at a particular reporting date, e.g. 01 Nov 2016, the following parameters are required.
Spot: Navigate to Prices > Exchange Rate
Vol: Navigate to Prices > Exchange Rate
For details on how to maintain exchange rates and volatility, see maintaining exchange rates.
Foreign interest rate: Navigate to Prices > Interest Rate. Foreign interest rate needs to be maintained under – basis as at the reporting date. For details on how to add and maintain basis rates, see maintaining basis rate.
Domestic interest rate: Navigate to Prices > Interest Rate. Domestic interest rate needs to be maintained under – basis as at the reporting date. For details on how to add and maintain basis rates, see maintaining basis rate.
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