Target redemption forward (TARF)
A strip of monthly FX forwards that ends early once the client's gains reach a target, valued on a PDE grid and by simulation.
- Target per unit
- 0.5
- Target amount
- 5,000.00
- Payments
- 12
Value on the PDE grid · Value before any gain has accrued
Solved on 1,023 points; 20 × 10 shown.
Greeks
This product has no closed form, so no Greeks are shown here.
Model values for illustration, from fixed market data. They are not quotes.
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Talk to our team →About this product
Each month the client buys (or sells) the notional at the strike. Gains accumulate; when they reach the target, the contract ends.
The knock-out setting decides what is paid on the fixing that reaches the target: nothing, only the part up to the target, or the full gain. Because the end date depends on the path, it is valued on a PDE grid that tracks the gains so far, and by simulation.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
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