Average Rate Option

Use

Average rate options (AROs) contain the same structure data as standard currency options (or plain vanilla options). The only difference is that an average rate is used at expiry instead of the market rate for comparison with the strike price.

The average rate used is taken from an average rate table and displayed in the transaction.

Activities

For each transaction, one or more tables with dates and rates are maintained for the average rate option. An average rate is calculated based on these rates. All rates in the tables belong to exactly one currency pair. However, they may have different rate types.

You can use the Fix Average Rates report to determine exchange rates for calculating average rates or the Reset Average Rate Fixing to delete these rates.