Fixing date
Definition · Level 12 · Exotics & structured
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A date on which a price or rate is recorded to work out a payoff, such as one of the dates in an Asian option’s average.
Example
Twelve month-end fixings: the average of twelve month-end prices.
Where Tradecraft teaches it
Level 12 · Exotics & structured, in the lesson “Asians, lookbacks, baskets & worst-ofs”: Which exotics cost less than a vanilla option, which cost more, and what drives each price.
Related terms
- Asian optionAverage-price option: its payoff uses the average of the price on a set of dates, so it is less volatile and cheaper than the vanilla.
- Basket optionOption on a weighted average of several assets: cheaper than the same call on one asset, and worth more as correlation rises.
- Best-of optionPayoff on the strongest of several assets.
- Exotic optionAny option whose payoff differs from a plain (vanilla) call or put: it can depend on the path (barriers, averages, lookbacks), on several assets…
- Lookback optionPayoff uses the best maximum or minimum reached during the life: perfect hindsight, so it costs more than the vanilla.
- Worst-of optionPayoff on the weakest of several assets. A call on it is cheap and gains as correlation rises; a put on it gains as correlation falls.