Course Description

Keeping up with global FX markets requires responsive systems that can provide almost instantaneous execution. As well, FX risk is an enterprise-wide management challenge. Many legacy systems are often in silos and do not cover FX products, loans/deposits and short-term security finance in one integrated environment that can show the true risk. Globally, liquidity management has become a market based on advanced technology, requiring an organization’s liquidity management to run on an advanced solution.

Readers of this set of modules and videos will gain will be introduced to different aspects and features of the Calypso Pricing Sheet which will equip them with the knowledge to configure and utilize the Pricing Sheet for capturing and pricing standard Vanilla and Exotic FX options such as Digitals, Barriers, Asians (Averaging), Accruals, and Lookbacks. Out-of-the-box options trading strategies such as Risk Reversals, and Spreads are discussed as well as information about building custom strategies.

This audience for the course is Front Office users, particularly trading support staff. This course may also be of value to project managers and Middle Office staff who are working on FX Options implementation projects.

Calypso Learning Services

Course curriculum

  • 1

    Calypso Pricing Sheet and FX Options Overview

    • Calypso Pricing Sheet and FX Options Overview
  • 2

    Pricing Sheet for FX Options

    • Pricing Sheet Profiles

    • Pricing Sheet Profile Configurations

    • Pricing Sheet User Profile Preferences

    • Pricing Sheet Configuration: User Preferences Video

    • Pricing Sheet: Configuration Strategy Menus Video

    • Pricing Sheet: Configuration of Profile Users Access Video

    • FXO Pricing Sheet: Excel Importing and Exporting Data Video
  • 3

    Market Data for FX Options

    • FXO Market Data: Curves and Vol Surfaces

    • FXO Market Data: FX Curves Constructed from Zero Curves Video

    • FXO Market Data: FX Volatility Surfaces Video

    • FXO Market Data: Basic Configuration Appendix
  • 4

    Pricing Sheet Trade Capture for FX Options

    • Introduction to Pricing Sheet and FXO

    • FXO Trade Capture

    • FXO Pricing Sheet: Trade Capture FX Spot & FX Forward Video

    • FXO Pricing Sheet: Trade Capture Strip Generator Single Legs Video

    • FXO Pricing Sheet: 1&2 Way Pricing Configuration Video

    • FXO Trade Capture for Exotic Options

    • FXO Pricing Sheet: Trade Capture Risk Reversals Video

    • FXO Trade Capture for Exotic Options 2

    • FXO Pricing Sheet: Trade Capture Barrier Options Video

    • FXO Pricing Sheet: Trade Capture Digital Options Video

    • FXO Pricing Sheet: Trade Capture Digital Options with Barriers Video

    • FXO Sales Margins and Premium Triangulation
  • 5

    Pricing Sheet Advanced Functionalities for FX Options

    • Pricing Sheet Advanced Trade Entry with FXO

    • Strip Generator for FXO

    • FXO Advanced: Solver

    • FXO Pricing Sheet Trade Capture: Solver & Single Legs Video

    • FXO Pricing Sheet Trade Capture: Solver & Multiple Legs #1 Video

    • FXO Pricing Sheet Trade Capture: Solver & Multiple Legs #2 Video

    • FXO Pricing Sheet Trade Capture: Solver & Multiple Legs #3 Video

    • FXO Pricing Sheet Trade Capture: Solver & Multiple Legs #4 Video

    • FXO Advanced Custom Strategies

    • FXO Pricing Sheet Strategy Builder #1 Video

    • FXO Pricing Sheet: Strategy Builder #2 Video

    • FXO Pricing Sheet: Strategy Builder #3 Trade Configuration Video
  • 6

    FXO Risk and Option Lifecycle Analysis

    • FXO Risk and Option Lifecycle Analysis

    • FXO Risk Analysis: Option Exercise Configuration Video
  • 7

    Troubleshooting and Exercises

    • FXO Troubleshooting

    • FXO Exercises