Derivatives

FV-CDS Spread

August 2, 2022
Accounting

NOP

August 2, 2022

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An exotic barrier option whose payoff is often paid in a currency other than the underlying currency pair. For instance a barrier option can have the USD/JPY pair as its underlying exchange rate while its payoff is denominated in EUR. The exchange rate for EUR/JPY is pre-specified.

This option has the features of both a quanto option and a barrier option.

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