| valuationDate |
The valuation date for pricing. |
string |
Yes |
- |
| marketDataDate |
The market data date for pricing. |
string |
Yes |
- |
| reportCcy |
The report currency. Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency. |
string |
Yes |
- |
| marketValueInDealCcy |
User defined marketValueInDealCcy used to compute the volatilityPercent. Note that the marketValueInDealCcy takes priority over the volatilityPercent input. |
number |
Yes |
- |
| pricingModelType |
The enumerate that specifies the model type of pricing (see Option.PricingModelType). |
enum |
Yes |
- |
| dividendType |
The enumerate that specifies the type of dividend (see Option.DividendType). |
enum |
Yes |
- |
| dividendYieldPercent |
Percentage value of the dividend. |
number |
Yes |
- |
| volatilityPercent |
User defined volatility (in %) used for calculation. Note that if the marketValueInDealCcy is defined, the volatilityPercent is not taken into account. |
number |
Yes |
- |
| riskFreeRatePercent |
User defined riskFreeRatePercent used to calculate other outputs of an option. |
number |
Yes |
- |
| underlyingPrice |
User defined UnderlyingPrice used to calculate other outputs of an option. |
number |
Yes |
- |
| volatilityType |
The type of volatility for the option's pricing (see Option.VolatilityType). |
enum |
Yes |
- |
| optionPriceSide |
Quoted option's price side to use for pricing analysis (see Option.PriceSide). |
enum |
Yes |
- |
| optionTimeStamp |
Defines how the timestamp of the option is selected (see Option.TimeStamp). |
enum |
Yes |
- |
| underlyingPriceSide |
Quoted price side to use for pricing Analysis (see Option.PriceSide). |
enum |
Yes |
- |
| underlyingTimeStamp |
Defines the timestamp of the underlying (see Option.TimeStamp). |
enum |
Yes |
- |
| priceSide |
The enumerate that specifies whether Bid, Ask or Mid is used to price the Fx option (see Option.PriceSide). |
enum |
Yes |
- |
| volatilityModel |
The enumerate that specifies the volatility models used to build the surface (see Option.VolatilityModel). |
enum |
Yes |
- |
| fxSwapCalculationMethod |
The enumerate that specifies the methods used to price outrights using implied deposits or not (see Option.FxSwapCalculationMethod). |
enum |
Yes |
- |
| fxSpotObject |
User defined Spot Prices. Note that Bid, Ask, and Mid are the properties of an object (see Option.BidAskMid below). |
object |
Yes |
- |
| atmVolatilityObject |
User defined Volatility of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| riskReversal10DObject |
User defined RR10D of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| riskReversal25DObject |
User defined RR25D of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| marketValueInReportCcy |
The market value (premium) as per 1 unit of the instrument. |
number |
Yes |
- |
| payoutCustomDates |
The array of dates set by a user for the Payout/Volatility chart |
string[] |
Yes |
- |
| payoutScalingInterval |
see Option.PayoutScaling below. |
object |
Yes |
- |
| interpolationWeight |
see Option.InterpolationWeight below. |
object |
Yes |
- |
| reportCcyRate |
The rate of the reporting currency against the option currency. |
number |
Yes |
- |
| simulateExercise |
An indicator if the option is expected to be exercised or not. |
boolean |
Yes |
- |
| volatility |
Volatility(without unity) to override and that will be used as pricing analysis input to compute MarketValueInDealCcy. |
number |
Yes |
- |
| butterfly25DObject |
User defined BF10D of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| butterfly10DObject |
User defined BF10D of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| forwardPointsObject |
User defined Forward Points of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| foreignDepositRatePercentObject |
User defined Foreign Deposit Rate of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| domesticDepositRatePercentObject |
User defined Domestic Deposit Rate of the money at expiry (see Option.BidAskMid below). |
object |
Yes |
- |
| impliedVolatilityObject |
User defined Implied Volatility in BS pricing (see Option.BidAskMid below). |
object |
Yes |
- |
| cutoffTimeZone |
The cutoff time zone (see Option.TimeZone). |
enum |
Yes |
- |
| cutoffTime |
The cutoff time. format (hhmmXX where XX==AM/PM). For example, 1000AM, 1730PM. |
string |
Yes |
- |