MathFinance - FX Option Calculator

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MathFinance - FX Option Calculator

Double Barrier Option

Description | Switch View | Reset Values

This option type includes all kinds of Call - and Put - Options that can only be exercised, if until expiry the underlying exchange rate never trades at a pre-specified lower and upper barriers (double barrier knock-out) or alternatively ever trades at least one of those barriers (double barrier knock-in).

Market Data


Spot Price
Dom. rate		For. rate
Volatility		Delta Wished
Risk Reversal		Butterfly

Contract Data


Strike		Call/Put
Lower Barrier		Higher Barrier
Knock In/Out		Barrier Above/Below
Time trade-to-maturity
Notional		FOR/DOM

Valuation


Output

Market Data

Underlying's Market

		Description	Accepted Values
Spot Price		This is the value of the underlying exchange rate today.	Greater than 0.

Interest Rate Market

		Description	Accepted Values
Dom. rate		Domestic interest rate. If you are not sure about which interest rate is domestic and which foreign, the example at the end of the document will clarify this.	Greater than -0.1. Smaller than 1.
For. rate		Foreign interest rate. In general you should use the money market interest rates with the according time to maturity for rf and rd.	Greater than -0.1. Smaller than 1.

Options Market

	Description	Accepted Values
Volatility	This is the market implied volatility of an at-the-money-Call. This figure can be looked up in appropriate tables which are for example provided by banks. ATM is ATM-forward in our calculations.	Greater than 0. Smaller than 10.
Delta Wished	This specifies the spot delta (premium unadjusted) of the butterfly and risk reversal - options that are used for vega-hedging. Market standard is the value 0.25.	Greater than 0.05. Smaller than 0.45.
Risk Reversal	This is the market quote of a "risk reversal " in terms of volatility with a delta which is specified in the variable delta_wished. Also see Vol.	Greater than -1. Smaller than 1.
Butterfly	This is the market quote of a "butterfly " in terms of volatility with a delta which is specified in the variable delta_wished. Also see Vol.	Greater than -1. Smaller than 1.

Contract Data

Side

	Description	Accepted Values
Call/Put	Indicates whether the option is a Call or a Put.	Choices shown.
Knock In/Out	Specifies whether it is a knock-out or a knock-in option.	Choices shown.
Barrier Above/Below	Eta takes the value +1 if the barrier B is approached from above (e.g. down-and-out) and ?1 if the barrier is approached from below (e.g. up-and-out).	Choices shown.

Prices

	Description	Accepted Values
Strike	This is the agreed exchange rate, at which the holder can buy / sell currency at expiry.	Greater than 0.
Lower Barrier	This is the lower barrier for the underlying.	Greater than or equal to 0.
Higher Barrier	This is the upper limit for the underlying exchange rate.	Greater than 0.

Dates

		Description	Accepted Values
Time trade-to-maturity		This is the time to maturity of the option, measured in years. Our tool accepts times to maturity between one day and 5 years. We recommend using the provided data with appropriate caution if the time is longer than one year, as constant interest rates and volatilities are assumed in the model which is implemented in our program.	Greater than 1/365. Smaller than 5.

Quantity

		Description	Accepted Values
Notional		Specifies how many units of foreign / domestic currency are bought / sold if the option is exercised at expiry. See also the parameter Fd.	Greater than 0.
FOR/DOM		Determines whether the nominal is in foreign or domestic currency.	Choices shown.

Valuation

Main

	Description	Accepted Values
Output	Result selection.	Choices shown.