Sep 11, 2024 · The core idea of a TARF is to provide a "better" forward rate (strike). To achieve this, the downside is usually leveraged (higher notional). So far, this was only a one period consideration. A …

May 27, 2024 · How do banks hedge their Target Redemption Forward trades? How effective are these hedges? How profitable are TARFs from the selling side ?

May 17, 2017 · A Target Redemption Forward (TARF) allows you to buy or sell foreign currency at an agreed “Enhanced Rate” for a number of expiry dates. But why can't a Target Redemption Forward …

Oct 1, 2024 · I am trying to understand how one can replicate (approximately, if not entirely) the pay off for a Range accrual note and FX TARF? There is generic literature, which refers Range Accrual as a …

Jun 28, 2019 · Lately I have been working a lot with the vol smile and different stochastic volatility models with FX forwards data. Now I want to work with pricing examples through simulations. Can …

Aug 18, 2021 · Same logic as all Tarf variations (pivot Tarf, range Tarf, dual range Tarf, knock in Tarf), Autocallables (reverse convertibles, Phoenix,..) and anything else that is yield enhancing in my …

Jan 27, 2022 · this is my first time asking questions here. I want to look for some calculation method to price a very exotic option. The FX Euro-American Knockout Option (EAKO) is an option that has an …

Aug 17, 2017 · Can you explain what are some similarities and differences between snowball, KIKO (knock in knock out) and TRF (target redemption forward) derivatives?

Jul 20, 2023 · I need some guidance on valuing American style FX options (spots and forwards) using quantlib in Python. Given the following parameters: Domestic and foreign risk-free rates Current …

Aug 17, 2019 · The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, …