Currency Derivative Software
Resolution's software ResolutionPro comes with a full suite of models for the pricing of currency derivatives to support front-office trading, risk management and hedge accounting.
ResolutionPro is a collection of simple, easy to use functions and calculators for the valuation and risk management of foreign exchange derivatives. Resolution provides currency option calculators that can be used for any market or instrument type.
All functions are fully documented and accompanied by a series of comprehensive examples that set out all of the relevant intermediate results. Models are available for use in Excel or to be integrated within other systems.
FX Options
- European, Bermudan and American options
- Options on Spot FX
- Options on FX Futures
- Pre-built option calculators
- Full range of option sensitivities ("Greeks"), delta, gamma, theta, vega and rho.
- Associated functions for implied volatility, implied spot, and implied strike
- Shipped with a set of useful Excel templates that provide examples of how the functions should be implemented
FX Option Models Supported
- Black '76
- Generalized Black Scholes
- Garman Kohlhagen
- Binomial (Cox Ross Rubinstein)
- Trinomial
See the full details of ResolutionPro's Option module.
FX Exotic Options
Resolution has support for a wide range of Exotic options that support features common in the foreign exchange markets including averaging, knock-in, knock-out, and binary.
Types of exotic options that Resolution supports:
- Asian options
- Single barrier and double barrier options
- Digital (binary) options
- Digital barrier options
- Chooser options
- Lookback options
- Extendible options
- Options on multiple assets
- Ratchet Options or Cliquet Options
- Spread options
See the full details of ResolutionPro's Exotic Option module.
FX Swaps
Resolution also supports the valuation of FX swaps and cross-currency swaps.