Interactive framework for visualizing foreign currency exchange options

Abstract

Analyzing options is a complex, multi-variate process. Option behavior depends on a variety of market conditions which vary over the time course of the option. The goal of this project is to provide an interactive visual environment which allows the analyst to explore these complex interactions, and to select and construct specific views for communicating information to non-analysts (e.g., marketing managers and customers). In this paper we describe an environment for exploring 2- and 3-dimensional representations of options data, dynamically varying parameters, examining how multi-variate relationships develop over time, and exploring the likelihood of the development of different outcomes over the life of the option. We also demonstrate how this tool has been used by analysts to communicate to non-analysts how particular options no longer deliver the behavior they were originally intended to provide.