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Napoleon options are OTC financial instrument that give the traders the opportunity to manage with the market volatility.
The Cross Currency Swap is an agreement between two counterparties to exchange cashflows in a different currency.
In this tutorial we will show how international accounting standard (IAS) 39 principles which regulates how financial instruments must be accounted on the balance sheet can be implemented with Fairmat.
This example models a contract based on the weighting of Fuel Oil and Natural Gas price averages. In particular, the price of this contract is the weighted sum of the average of Fuel Oil monthly price, reset into previous 9 months and of the average price of daily spot price of Natural Gas reset into previous 3 months plus a Spread. The delivery period is settled every 3 months and the contract maturity is 3 years.
A Mandatory convertible is a particular type of bond that includes binding conversion at maturity. Until maturity, the bond holder receives the coupon at each payment date. At maturity, the bond holder will receive a specic number of shares, dened in the contract, instead of the face value. In the present case study, the bond holder has also the right to convert the face value into a specic number of shares before the termination date. The bond conversion results in an increase of the outstanding shares and, therefore, in a dilution of the capital.
The "callable" clause on a security allows the issuer to redeem the security prior to maturity by calling it in, or forcing the holder to sell it back.
A "path-dependent" option is an option whose value depends on the sequence of prices of the underlying asset rather than just the final price of the asset. An example could be a “ratchet" cap, a type of nonstandard cap which incorporate rules for determining how the cap rate for each caplet is set.
The “(Range) Accrual” clause is generally a form of interest accrual in which the coupon rate is only earned on days when it falls within a specified range.
"Asian" options are nonstandard derivatives whose value depends on an average over time of the values of the underlying security. When an assessment is done at a term with which we compare the strike, this is the case of "average rate options".
An autocallable bond is a structured product which offers the opportunity for an early redemption if a predefined event occurs and pays coupons conditioned to
the realization of other events. Both these opportunities are linked to a function of the performance of the underlying which may be composed by several stocks.