Currency 1: Gap Put Option on Currency 3 Formula: H1 = (X1 – S13) * heavy (X2 – S13)

Currency 2: Unidentified.

Asset 3: Gap Call Option on Currency 1.

Again we have a situation where we can look at two of these payoffs as a two-currency scenario. But because we have a three-currency environment here, PAT helps us find a payoff in the third currency (Currency 2), a payoff which is financially equivalent to the either one of the other two payoffs.

Next we would like to demonstrate some more complicated cases where the original payoffs can be dependent on more than just one currency.