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if we want to hedge double barrier option of FX , we can use currency swap, FX FRA, FX forward etc

 the hedging instruments are quite liquid, right ?   the hedging idea is to set portfolio forward delta =0;

however, i try to hedge double barrier option on FX=USD/JPY, by single barrier option on FX, say, FX caplet or floorlet.

how is the liquidiy of FX cap & floor?  where can I get the quotes from market makers?

many thanks

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关键词：Irvingy irving helps Irvin Help Irvingy helps

maybe those are only liquid in OTM, and some FX options are traded in PSE and CME. I am not sure, hope you find out soon.

can i ask you a silly question? is FX rate to be the underlying for this FX options?

Not clear about the concept, what's meaning of the FX caplet? the cap of rate?

is it like interest rate caplet?

以下是引用ihs在2008-7-22 16:50:00的发言：

if we want to hedge double barrier option of FX , we can use currency swap, FX FRA, FX forward etc

 the hedging instruments are quite liquid, right ?   the hedging idea is to set portfolio forward delta =0;

however, i try to hedge double barrier option on FX=USD/JPY, by single barrier option on FX, say, FX caplet or floorlet.

how is the liquidiy of FX cap & floor?  where can I get the quotes from market makers?

many thanks

FX哪来的caplet

FX  implied vol的报价bloomberg，reuters都有

ICAP，TTKL什么的

惯例是25 delta risk reversal, butterfly

还有你马甲实在太多了

[此贴子已经被作者于2008-7-23 1:39:30编辑过]

以下是引用irvingy在2008-7-23 1:17:00的发言：

FX哪来的caplet

FX  implied vol的报价bloomberg，reuters都有

ICAP，TTKL什么的

惯例是25 delta risk reversal, butterfly

还有你马甲实在太多了

ok, i made a mistake, but your guys should konw what i said, right?

 cap or floor, i mean single barrier option on FX!!!!!!!!!!!!!!!!!!!!!!!

I did not find any quotes about single barrier option of FX.  so ,,,,,,,,

If using delta hedging, it is really convenient to hedge double barrier option with FRA, Forward, or currency swap.

but the hedge strategy is ony delta hedge.  对冲后的portfolio确实做到了forward delta接近0

但是这仅仅是数值上的对冲。

  所以我想使用 single barrier option 来对冲试试。不知道是否这些singles有流动性

我没马甲啊，晕，你搞错了把

cap，floor和barrier还是差狠远的，我还真没见过把single barrier叫cap，floor的

呵呵，数值hedge，我们已经很完备了，系统自动可以实现delta，gamma，vega 这些东东，交易员可以任意选择tenors，计算任意tennor点的foward delta 等

最近看了一个人写的hedge，从payoff replicate角度考虑的，不是数值greek hedge，所以想问问single barrier是否流动。

我马甲？，没错mitbbs我有个，wilmott我有个，那是不同的论坛啊。 quanthr我没

bjork不是我啊，是个牛人啊，数学奥赛的，本科毕业去美国4年不到就拿了数学金融PhD

你有兴趣？

ｖｏｌｇａ－ｖａｎｎａ方法是有理论基础的，“ｃｏｎｓｉｓｔｅｎｔ　ｐｒｉｃｉｎｇ　ｏｆ　ｆｘ　ｏｐｔｉｏｎｓ＂，ｓｓｒｎ上也有个ｎｕｍｅｒｉｘ的人写了更加一般的理论基础；

ｅｘｏｔｉｃｓ的对冲要了解模型的局限，ｂｌａｃｋ－ｓｈｏｌｅｓ调整的好也可以搞定，静态对冲也是一条路。对冲是艺术，不是科学。。。