An over-the-counter option is an option on a Treasury bond. The option can be American or European. The underlying security is a cash bond, which may be an on-the-run security. For the on-the-run case, the repo rate used in the calculation should be the special repo rate.
The following is a HedgeOne dialog window for an OTC option.
There are two basic calculations in HedgeOne. If the user gives a price, HedgeOne calculates the implied volatility, delta, gamma and vega. Or, in the other direction, HedgeOne calculates the value based on the volatility curve. The delta is expressed as DV01. The DV01 is further divided by different maturity baskets. The following is the output window.
Key Benefits
American/European Options
Special Repos