A client buys a 3-year digital put option struck at 1.0750 and sells a 3-year digital call option struck at 1.3175, both with European observation, resulting in a net premium of zero. The memo compares this with vanilla risk reversals, noting that a 3-year structure with a 1.0750/1.2300 vanilla reversal also results in zero net premium. The memo includes a disclaimer about the confidentiality and intended use of the information.
documents/vol00010-efta01365041-pdf.pdf
{"key_people":["Daniel Sabba"],"document_type":"correspondence","document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc."]}