ORE Products by Asset Class
Table of Contents
This page is the entry point to the ORE product knowledge notes. The notes document the ORE product set as ORE's User Guide describes it, one note per product section of the products catalogue. Each note pairs the official ORE description with domain grounding, light mathematics and an ORE example. The alphabetical run of all product notes lives in the Knowledge hub, in the Products section.
Seven of the sections below correspond to an asset class, and two do not.
| Section | Asset class |
|---|---|
| Interest rate derivatives | interest_rates |
| FX derivatives | fx |
| Inflation derivatives | inflation |
| Equity derivatives | equity |
| Credit derivatives | credit |
| Commodity derivatives | commodity |
| Bonds and cash | bond |
| Multi-asset derivatives and scripted products | None; grouped by payoff shape |
| Hybrid and composite trades | None; see below |
The last two sections group notes, not product types.
A note documents a payoff family, whereas a product type names one tradable
kind. Where ORE offers a payoff across several markets it mints one product
type per market — FxAccumulator, EquityAccumulator,
CommodityAccumulator — while the User Guide documents the family once. The
"Multi-asset derivatives and scripted products" section therefore collects
notes whose product types each carry a perfectly clear asset class; it is the
note that spans markets, not the product.
The "Hybrid and composite trades" section mixes two cases. A convertible bond
and an ASCOT are bond products carrying an equity feature, so their asset class
is bond. A composite trade is a container whose characteristics are inherited
from its component subtrades, so its class is determined per trade rather than
declared on the product type.
Neither section is evidence that the taxonomy needs a hybrid or cross-asset class. The grouping used here is closer to product family than to asset class.
Each table carries a Family column, giving the product family the product belongs to: the shape of contract it is, independent of its market. Reading a family down the page across sections answers a question the sections themselves cannot, such as which options exist in every market.
Five entries carry — rather than a family, and each for a stated reason.
Generic Scripted Products documents a mechanism rather than a product.
Exotic Variance and Volatility Derivatives documents a family of both swaps
and options, so no single shape applies. Synthetic CDO and Collateral Bond
Obligation are tranched structures, and whether tranching is a family or a
property of one is unsettled. Risk Participation Agreement resembles a
guarantee more than any shape listed here.
Two families in the column are not derivative shapes and are worth naming as
such. Security covers the cash bond and the instruments built directly on one,
which are held rather than contracted. Container covers the composite trade
alone.
1. Interest rate derivatives
ORE's rates catalogue covers the swap family, caps and floors, digitals, and the amortising and barrier structures.
| Product | Family | Description |
|---|---|---|
| Balance Guaranteed Swap | Swap | An amortising swap that follows the prepayments of a reference security; ORE's BalanceGuaranteedSwap product. |
| Callable Swap | Swap | A swap one party can cancel on set dates; ORE's CallableSwap product. |
| Cap/Floor | Option | A strip of interest rate caplets or floorlets bounding a floating leg; ORE's CapFloor product. |
| Flexi Swap | Swap | A swap with an option to cut the notional toward a lower bound; ORE's FlexiSwap product. |
| Forward Rate Agreement | Forward | A single-period lock on a future interest rate; ORE's ForwardRateAgreement product. |
| Knock Out Swap | Swap | A swap that terminates when a rate fixing breaches a barrier; ORE's KnockOutSwap product. |
| Rate Digital Option | Option | A fixed-payout option on an interest rate fixing; ORE's RateDigitalOption product. |
| Swap | Swap | An interest rate swap exchanges streams of interest payments between two parties on a notional; ORE's swap family. |
| Swaption | Swaption | An option to enter an interest rate swap; ORE's Swaption product. |
| Zero Coupon Swap | Swap | An interest rate swap whose zero-coupon leg pays one final amount at maturity; ORE's ZeroCouponSwap product. |
2. FX derivatives
ORE's FX catalogue covers forwards, swaps and options, the barrier and touch exotics, and the variance swap.
| Product | Family | Description |
|---|---|---|
| FX Asian Option | Option | An FX option on an averaged exchange rate; ORE's FxAsianOption product. |
| FX Barrier Option | Option | An FX option with a single barrier; ORE's FxBarrierOption product. |
| FX Digital Barrier Option | Option | An FX digital option combined with a barrier; ORE's FxDigitalBarrierOption product. |
| FX Digital Option | Option | An FX option paying a fixed amount when the rate settles; ORE's FxDigitalOption product. |
| FX Double Barrier Option | Option | An FX option with two barriers around the strike; ORE's FxDoubleBarrierOption product. |
| FX Double Touch Option | Option | An FX option paying on one or two spot touches before expiry; ORE's FxDoubleTouchOption product. |
| FX European Barrier Option | Option | An FX European barrier option; ORE's FxEuropeanBarrierOption product. |
| FX Forward | Forward | An FX forward locks an exchange rate for a future currency exchange; ORE's FxForward product. |
| FX KIKO Barrier Option | Option | A knock-in knock-out FX barrier option; ORE's FxKIKOBarrierOption product. |
| FX Option | Option | Vanilla FX optionality: the right to exchange currencies at a set rate; ORE's FxOption product. |
| FX Swap | Swap | An exchange of two currencies at spot and at a forward date; ORE's FxSwap product. |
| FX Touch Option | Option | An FX option paying when spot touches a level before expiry; ORE's FxTouchOption product. |
| FX Variance Swap | Swap | An FX derivative on realised variance or volatility; ORE's FxVarianceSwap product. |
3. Inflation derivatives
ORE prices inflation swaps in the CPI-linked and year-on-year forms.
| Product | Family | Description |
|---|---|---|
| CPI Swap | Swap | An inflation swap whose CPI-linked leg pays a real rate scaled by index changes. |
| Year-on-Year Inflation Swap | Swap | An inflation swap whose leg pays the annual change of an inflation index; ORE's YY leg. |
4. Equity derivatives
ORE's equity catalogue covers the cash products, swaps and variance, the option exotics from Asian to cliquet, and outperformance.
| Product | Family | Description |
|---|---|---|
| Equity Asian Option | Option | An Asian option on the average equity price; ORE's EquityAsianOption product. |
| Equity Auto Delta Hedged Option | Option | Batches of European equity options with an embedded delta-hedging strategy; ORE's EquityAutoDeltaHedgedOption product. |
| Equity Barrier Option | Option | A barrier option on an equity price; ORE's EquityBarrierOption product. |
| Equity Cliquet Option | Option | A series of forward-start equity options with local and global caps; ORE's EquityCliquetOption product. |
| Equity Digital Option | Option | A cash-or-nothing digital option on an equity; ORE's EquityDigitalOption product. |
| Equity Double Barrier Option | Option | A double barrier option on an equity price; ORE's EquityDoubleBarrierOption product. |
| Equity Double Touch Option | Option | A cash-or-nothing double touch option on an equity; ORE's EquityDoubleTouchOption product. |
| Equity European Barrier Option | Option | A barrier option monitored once at expiry; ORE's EquityEuropeanBarrierOption product. |
| Equity Forward | Forward | An agreement to buy or sell shares at a future price; ORE's EquityForward product. |
| Equity Futures Option | Option | An option on an equity future contract; ORE's EquityFutureOption product. |
| Equity Option | Option | An option to buy or sell shares at a strike price; ORE's EquityOption product. |
| Equity Option Position | Position | A position in a single equity option or a weighted option basket; ORE's EquityOptionPosition product. |
| Equity Outperformance Option | Option | An option paying the outperformance of one asset over another; ORE's Equity Outperformance Option product. |
| Equity Position | Position | A position in a single equity or a weighted equity basket; ORE's EquityPosition product. |
| Equity Swap | Swap | A swap of an equity return against a fixed or floating leg; ORE's EquitySwap product. |
| Equity Touch Option | Option | A cash-or-nothing one-touch option on an equity; ORE's EquityTouchOption product. |
| Equity Variance Swap | Swap | A swap of realised equity variance against a volatility strike; ORE's EquityVarianceSwap product. |
5. Credit derivatives
ORE prices single-name and index protection, options on index protection, and the structured and linked credit forms.
| Product | Family | Description |
|---|---|---|
| Credit Default Swap | Swap | A CDS trades protection on a reference entity's default; ORE's CreditDefaultSwap product. |
| Credit Linked Swap | Swap | A swap with payments contingent on credit events of a reference; ORE's CreditLinkedSwap product. |
| Index Credit Default Swap | Swap | A credit default swap on an index of reference entities; ORE's IndexCreditDefaultSwap product. |
| Index Credit Default Swap Option | Option | An option to enter an index CDS at a strike; ORE's IndexCreditDefaultSwapOption product. |
| Risk Participation Agreement | — | Credit protection on a counterparty's default on an underlying swap; ORE's RPA product. |
| Synthetic CDO | — | A tranched basket credit derivative; ORE's SyntheticCDO product. |
6. Commodity derivatives
ORE covers commodity forwards, swaps and options, with Asian, strip, swaption, variance and position forms.
| Product | Family | Description |
|---|---|---|
| Commodity Average Price Option | Option | An Asian option on daily commodity price fixings; ORE's CommodityAveragePriceOption product. |
| Commodity Forward | Forward | An agreement to buy or sell a commodity at a set price later; ORE's CommodityForward product. |
| Commodity Option | Option | A European or American option on a commodity; ORE's CommodityOption product. |
| Commodity Option Strip | Option | A strip of commodity APOs or European options over periods; ORE's CommodityOptionStrip product. |
| Commodity Position | Position | A position in a commodity or weighted commodity basket; ORE's CommodityPosition product. |
| Commodity Swap | Swap | Floating commodity prices against a fixed price; ORE's CommoditySwap and basis swap forms. |
| Commodity Swaption | Swaption | A European option on a forward-starting commodity swap; ORE's CommoditySwaption product. |
| Commodity Variance Swap | Swap | A swap on commodity volatility or variance; ORE's CommodityVarianceSwap product. |
7. Bonds and cash
The bond catalogue runs from the cash bond to its position, forward, future, repo, option and total-return forms, with cash positions.
| Product | Family | Description |
|---|---|---|
| Bond | Security | A bond is a tradable debt instrument paying scheduled interest and principal; ORE's Bond product. |
| Bond Forward (Reference Data) | Forward | A forward contract on a bond with the underlying set by reference data; ORE's ForwardBond product. |
| Bond Future | Future | A contract to buy or sell an underlying bond at expiry at an agreed price; ORE's BondFuture product. |
| Bond Option | Option | A right to buy or sell a given bond at a fixed price; ORE's BondOption product. |
| Bond Option (Reference Data) | Option | A bond option with the underlying bond set by reference data; ORE's BondOption product. |
| Bond Position | Position | A position in a weighted basket of underlying bonds; ORE's BondPosition product. |
| Bond Repo | Repo | A cash borrowing with a bond posted as collateral; ORE's BondRepo product. |
| Bond Total Return Swap | Swap | A swap paying the total return of a bond against a funding leg; ORE's BondTRS product. |
| Cash Position | Position | An amount of cash in a currency; ORE's CashPosition product. |
| Forward Bond | Forward | A forward contract to buy or sell an underlying bond at a future date; ORE's ForwardBond product. |
8. Multi-asset derivatives and scripted products
ORE catalogues payoffs that accept FX, equity or commodity underlyings, several of them in any combination, and prices the compiled forms through its scripted trade module.
| Product | Family | Description |
|---|---|---|
| Accumulator | Forward | A forward purchase of an asset in daily instalments within a price range; ORE's accumulator products. |
| Autocallable Type 01 | Option | A structured option that pays accumulated amounts and redeems early below a trigger level; ORE's Autocallable Type 01 product. |
| Basket Option | Option | An option on a basket of underlying assets; ORE's BasketOption product. |
| Best Entry Option | Option | An option whose payoff uses the best observed entry level of the underlying; ORE's Best Entry Option product. |
| Double Digital Option | Option | A binary option paying a fixed amount when two underlyings are simultaneously in the money; ORE's Double Digital Option product. |
| European Option Contingent on a Barrier | Option | A plain vanilla European option whose payoff depends on a barrier on another underlying; ORE's EuropeanOptionBarrier product. |
| Exotic Variance and Volatility Derivatives | — | Variance and volatility swaps and options with barriers, corridors, baskets and optionality; ORE's exotic variance product family. |
| Extended Accumulator | Forward | An accumulator that can extend past a barrier decision date; ORE's ExtendedAccumulator product. |
| Generic Barrier Option | Option | A vanilla, asset-or-nothing or cash-or-nothing option with American and expiry barriers; ORE's Generic Barrier Option product. |
| Generic Scripted Products | — | The scripted trade module and its flexible payoff scripts; ORE's Generic Scripted Products section. |
| Performance Option Type 01 | Option | An option paying a performance return against a strike; ORE's Performance Option Type 01 product. |
| Rainbow Options | Option | European options on the best or worst of a range of assets; ORE's Rainbow Options product family. |
| Strike Resettable Option | Option | An option whose strike resets when the underlying reaches a level; ORE's Strike Resettable Option product. |
| Target Redemption Forward | Forward | A forward series that redeems early at a target profit; ORE's TaRF product. |
| Total Return Swap | Swap | A swap paying the total return of an asset against a funding leg; ORE's generic TRS product. |
| Window Barrier Option | Option | An option with a barrier active only inside a time window; ORE's Window Barrier Option product. |
| Worst Of Basket Swap | Swap | A swap whose coupon references the worst performing asset in a basket; ORE's WorstOfBasketSwap product. |
9. Hybrid and composite trades
ORE prices bond structures with embedded equity and credit features, and bundles component trades into one composite trade.
| Product | Family | Description |
|---|---|---|
| Ascot | Option | An American-style option to buy back a convertible bond; ORE's Ascot product. |
| Callable Bond | Security | A bond with issuer call and investor put rights; ORE's CallableBond product. |
| Collateral Bond Obligation | — | A tranched securitisation of a portfolio of corporate bonds or loans; ORE's CBO product. |
| Composite Trade | Container | A hybrid position bundling multiple component trades; ORE's CompositeTrade product. |
| Convertible Bond | Security | A bond that converts into a prespecified number of shares; ORE's ConvertibleBond product. |
10. See also
- Trade — the structure note that orders this cluster, and where to read this page in it.
- Knowledge — the hub of all knowledge notes, with the alphabetical product run.
- ORE User Guide, Products catalogue: products.tex, which inputs the product sections. The upstream project is OpenSourceRisk/Engine.