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Extensive Instrument Coverage
The supported set of instruments (see Coverage) can be extended by combining and chaining functions to value complex transactions. @GLOBAL includes templates for specialized trades such as spark spreads. FEA regularly expands instrument coverage and publishes new spreadsheet templates.
Cross-commodity Models
@GLOBAL functions include domestic models which support a single global commodity against a base currency (for example, the exchange of USD for gold by a U.S.-based investor). Many domestic models have cross-commodity counterparts, which support a base currency and two different global commodities not involving the base currency (for example, the exchange of GBP for gold by a U.S.-based investor).
Comprehensive Results
All price and risk measures can be calculated with a single function call. Results include fair value and sensitivity with respect to price (delta and gamma), volatility (vega), time (theta and carry), yield (lambda), interest rate (rho), and correlation (eta). Both buy-side and sell-side risk measures are calculated for cross-commodity models.
Implied Volatility and Implied Correlation
@GLOBAL calculates implied volatility for single-asset options and implied correlation for multiple-asset options.
Quanto Options
@GLOBAL values domestic and cross-commodity quanto options, which give a fixed-rate guarantee of the option's value in an alternative currency. A quanto option has all the characteristics of a standard option plus the additional feature of paying off at a fixed conversion factor of currency. For example, a GBP-denominated option on gold, paying in USD, with a fixed GBP/USD exchange rate. @GLOBAL also values foreign-domestic quanto options, which are similar to standard quantos except the exchange rate is not fixed and the strike is set in units of the underlying accounting currency.
Analytic and Monte Carlo Methodologies
Basket options are valued with either FEA's extremely fast analytic SPAV algorithm or control-variate Monte Carlo simulation.
View the @GLOBAL product profile .
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