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FX Options Greeks: Is there a meaning in converting the sensitivities values in different currencies?

Suppose you have a Call on JPY, domestic currency is USD The price will be in USD Let's say delta = 0.93 Does it make sense for any reporting reasons to convert this value into JPY ? What is even the ...
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1answer
197 views

Where can I get Currency options historical data?

where can I get historical data for currency options? For most part, google gives me links to binary options and other shady webpages.
1
vote
1answer
49 views

book of options hedging case of floating rate

i'm an intern in bank at Morocco that sells vanilla options on EUR/USD , EUR/MAD , USD/MAD , it s using delta hedging strategy to cover they're position . But because of the switch to floating ...
2
votes
1answer
170 views

Option Delta Conversion for currency pairs

Assuming I have a USDJPY put option at strike 100 (1USD = 100Yen) and the delta is D1. What is the delta of a corresponding JPYUSD call option at strike 0.01 (1Yen = 0.01USD) with the same maturity? ...
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votes
2answers
380 views

Understanding the payoff of currency options

I am self-studying for an actuarial exam and I am having a hard time understanding what happens when a currency option pays off. Consider the below problem. The payoff at $C_u$ would be $\max(x_u - ...
4
votes
2answers
127 views

Calculating probability of Yuan's slump from options market

http://www.bloomberg.com/news/articles/2016-01-06/if-options-traders-are-right-the-yuan-s-slump-is-far-from-over Contract prices indicate a 79 percent probability that the currency will weaken ...
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votes
1answer
2k views

Japan day count conventions

I am after a good comprehensive resource on Japanese day count conventions. By that I mean, is actual/360 or actual/365 used for pricing various options, forwards, futures, etc.