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FVA Straddle


An at-the-money forward straddle that underlies a forward volatility agreement (FVA). This agreement involves buying or selling the straddle at a preset volatility on a particular date in the future.

The future date is typically known as the strike set date. On this date, the strike of the straddle is determined, whilst the premium is determined on the trade date.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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