TABLE OF CONTENTS
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| Options Entity Setup Processing Notes |
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| Options Entity Setup Processing Notes |
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REFERENCE DATA
Storage & Configuration
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| Options Global ProcessesProcessing Notes |
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| Options Global ProcessesProcessing Notes |
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Valuation
FX Options are valued using unit prices. The market value formula is:
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Insurance Reporting
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| INSTRUMENTENG:Derivatives Insurance Reporting Processing NotesINSTRUMENTENG: |
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| Derivatives Insurance Reporting Processing Notes |
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Data Management Reporting
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| INSTRUMENTENG:General Reporting (Eagle OLAP) Processing NotesINSTRUMENTENG: |
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| General Reporting (Eagle OLAP) Processing Notes |
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PERFORMANCE
The performance toolkit calculates market value-based performance for FX Options using data supplied by the S2P process. However, this can be misleading because traditional market values do not capture an Option’s true exposure. Exposure-based analyses, which can be implemented using Eagle Enrichment, calculate more accurate returns. The documentation and .egl files linked below as attachments are available for beta testing. Additional details are available in Exposure Reporting Best Practices and the Eagle Enrichment User Guide 2015.
AUTOMATION
FX Option security master files (SMFs) and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to the Supported Generic Interfaces guide for more information.
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