A quanto is a type of derivative in which the underlying is denominated in one currency,but the instrument itself is settled in another currency at some rate. Such products are attractive for speculators and investors who wish to have exposure to a foreign asset, but without the corresponding exchange rate risk. Quanto options have both the strike price and underlier denominated in the foreign currency. At exercise, the value of the option is calculated as the option's intrinsic value in the foreign currency, which is then converted to the domestic currency at the fixed exchange rate.
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| - Quanto (de)
- Swap quanto (fr)
- Quanto (en)
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| - Le swap quanto est un contrat où deux contreparties s'échangent des taux d'intérêt variables dans deux devises différentes.
* Le spread appliqué à l'une des jambes reflète la différence entre les deux taux d'intérêt.
* Il n'y a pas d'échange des montants au début ou à la maturité du swap, et il reste un produit hors-bilan financier. (fr)
- Quanto ist ein Namenszusatz für Anlage- und Hebelprodukte, die gegen Währungsschwankungen abgesichert sind. Quanto-Produkte beziehen sich auf Basiswerte, die nicht in der Währung des Anlegers notieren. Sie sollen gegen das Risiko (oder die Chance) durch Wechselkursschwankungen absichern. Wechselkursschwankungen können einen Gewinn oder Verlust schmälern oder auch vergrößern. Einige Anleger sehen jedoch im Wechselkurs ein zusätzliches (unkalkulierbares) Risiko, das sie durch Quanto-Produkte ausschalten können, allerdings zum Preis zusätzlicher (Verwaltungs-)Kosten. (de)
- A quanto is a type of derivative in which the underlying is denominated in one currency,but the instrument itself is settled in another currency at some rate. Such products are attractive for speculators and investors who wish to have exposure to a foreign asset, but without the corresponding exchange rate risk. Quanto options have both the strike price and underlier denominated in the foreign currency. At exercise, the value of the option is calculated as the option's intrinsic value in the foreign currency, which is then converted to the domestic currency at the fixed exchange rate. (en)
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| - Quanto ist ein Namenszusatz für Anlage- und Hebelprodukte, die gegen Währungsschwankungen abgesichert sind. Quanto-Produkte beziehen sich auf Basiswerte, die nicht in der Währung des Anlegers notieren. Sie sollen gegen das Risiko (oder die Chance) durch Wechselkursschwankungen absichern. Wechselkursschwankungen können einen Gewinn oder Verlust schmälern oder auch vergrößern. Einige Anleger sehen jedoch im Wechselkurs ein zusätzliches (unkalkulierbares) Risiko, das sie durch Quanto-Produkte ausschalten können, allerdings zum Preis zusätzlicher (Verwaltungs-)Kosten. Durch die Finanzierung der Absicherung entstehen zusätzliche Kosten. Diese hängen ab von der Volatilität, den Zinssätzen der jeweiligen Währungen und der Korrelation zwischen Basiswert und Fremdwährung. Dadurch fallen bei Quanto-Produkten in der Regel etwas höhere jährliche Verwaltungsgebühren an (typischerweise 1–4 %). Eine Möglichkeit der Absicherung besteht darin, einen entsprechenden Betrag der Fremdwährung (auf Termin) zu verkaufen, z. B. über Optionen. Diese bilden dann die Wertentwicklung von der Heimat- zur Fremdwährung umgekehrt ab und neutralisieren den Verlust (oder Ertrag) durch den Währungstausch. (de)
- A quanto is a type of derivative in which the underlying is denominated in one currency,but the instrument itself is settled in another currency at some rate. Such products are attractive for speculators and investors who wish to have exposure to a foreign asset, but without the corresponding exchange rate risk. Quantos are attractive because they shield the purchaser from exchange rate fluctuations. If a US investor were to invest directly in the Japanese stocks that comprise the Nikkei, he would be exposed to both fluctuations in the Nikkei index and fluctuations in the USD/JPY exchange rate. Essentially, a quanto has an embedded currency forward with a variable notional amount. It is that variable notional amount that give quantos their name—"quanto" is short for "quantity adjusting option". Quanto options have both the strike price and underlier denominated in the foreign currency. At exercise, the value of the option is calculated as the option's intrinsic value in the foreign currency, which is then converted to the domestic currency at the fixed exchange rate. Another type of structure is called Quanto in the weather/energy markets. In these markets, a Quanto is a weather-contingent energy (or commodity) derivative. Weather contingent means that a payoff is triggered if some weather variable (typically temperature, but also precipitation or any other weather variable) crosses (from above or from below) a specified strike value. For the structure to be called Quanto, the payoff must depend on the market price of a publicly traded commodity. A typical example of a buyer of a Quanto is a retailer in a liberalized electricity market, with a customer base to which they deliver to a fixed contracted price. The retailers do buy most of their electricity forward, but have to go and purchase from the expensive spot market whenever they need to deliver more than what they've planned to. This situation typically occurs if the weather is hotter (colder) than expected and a substantial number of households turn on the airconditioning (heating). As electricity demand rises sharply in such a situation, spot prices spike while the revenue from the sales side remains constant. Buying a quanto allows the retailer to hedge against that risk. Common types of quanto include :
* Quanto futures contracts, such as a futures contract on a European stock market index which is settled in US dollars.
* Quanto options, in which the difference between the underlying and a fixed strike price is paid out in another currency.
* Quanto swaps, in which one counterparty pays a non-local interest rate to the other, but the notional amount is in local currency. The second party may be paying a fixed or floating rate. For example, a swap in which the notional amount is denominated in Canadian dollars, but where the floating rate is set as USD LIBOR, would be considered a quanto swap.
* Quanto credit default swap, in which default protection is purchased on a notional amount specified in one currency, but the regular protection payment is denominated in a different currency. (en)
- Le swap quanto est un contrat où deux contreparties s'échangent des taux d'intérêt variables dans deux devises différentes.
* Le spread appliqué à l'une des jambes reflète la différence entre les deux taux d'intérêt.
* Il n'y a pas d'échange des montants au début ou à la maturité du swap, et il reste un produit hors-bilan financier. (fr)
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