FutureS Derivatives
Black FTSE 100 Future Option. Commodities Derivatives
Black American Future Option.
This contract uses a Black model on a Future with a BAW American approximation.
Black Equity Share Future Option.
This contract uses a Black model on a Future to compensate for the dividend payment.
Black Brent Oil Future Option.
This contract uses a Brent Future option to provide the monthly oil Futures.
Black FTSE 100 Future Option.
This contract uses a Brent Future option to provide the FTSE 100 Futures.
Black Dow Jones 30 Future Option.
This contract uses a Brent Future option to provide the Dow Jones 30 Futures.
Notice the large number of regular derivatives:
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Pricing per bid / ask;
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Delta per bid / ask (first derivative per asset price);
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Gamma per bid / ask (second derivative per asset price);
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Theta per bid / ask (time derivative for option);
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Vega per bid / ask (volatility derivative per asset price);
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Rho per bid / ask (interest rate derivative per asset price);
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Phi per bid / ask (strike derivative per asset price);
Notice also the unusual derivatives: -
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Volga per bid / ask (second volatility derivative);
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Veta per bid / ask (mixed time / volatility derivative);
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Vanna per bid / ask (mixed spot / volatility derivative);
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Charm per bid / ask (mixed time / asset price derivative);
Also: -
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The USD, EUR, JPY and GBP nodes translate the positions into currency equivalence;
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All columns and decimal places can be changed;
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Positions of contract sizes can be calculated;
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The actually dates are calculated;
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For interest rates and volatility the data is in percentages whereas for strike and spot the data is in currency;
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The Futures are specified privately and publicly;
The left hand properties allow: -
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Specific deal information;
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A document showing the analytical expressions;
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Saving this option in Excel or into the private database;
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FX data in general or as specified;
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Public and private Futures;
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General or specific FX data;