Foreign Exchange

CLOUDRISK offers comprehensive solutions enabling clients to uncover their potential in today’s FX market. Our FX related services are greatly enhanced from in-house build comprehensive library of market-standard FX models and associated with them proprietary numerical methods as well as from the in-depth research within the FX related instruments and models. The clients will benefit from a full spectrum of currency services – from pricing of variety of currencies from major ones to emerging markets across exotic options and derivative products to algorithmic trading.

Supported Products

  • Options
    • American/European call/put
    • American vanilla long-dated option
    • Asian strike/dual/underlying call/put
    • Barrier double digital on hit/at end/no touch
    • Barrier down-style/up-style call/put
    • Barrier down call/put continuous
    • Double barrier call/put
    • Chooser option
    • Cliquet call/put option
    • Compound call/put on American/European call/put
    • Digital call/put one touch on hit/on touch at end/no touch
    • Fader option
    • Forward-start call/put option
    • FX basket call/put option
    • FX best/worst-of-basket option
    • FX max/min-of-basket option
    • FX two assets out-performance-of-basket option
    • Installment option
    • Lookback strike/range call/put
  • Swaps
    • Realized volatility swap
    • Variance swap

Models and Methods

  • Deterministic model
  • Generalized Black-Scholes / Garman-Kolhagen model
  • Dupire local volatility model, also with advanced fit of local volatility surface
  • Heston stochastic volatility model with constant and time-dependent coefficients
  • Bates stochastic volatility jump-diffusion model
  • Local stochastic volatility model
  • SABR stochastic volatility model
  • Multi-factor Black-Scholes FX basket model
  • Arbitrage-free volatility smoothing
  • Continuity corrections for FX barriers
  • Vanna-Volga pricing method
  • Analytic/PDE/Tree/Lattice/Monte Carlo simulations