MathFinance - FX Option Calculator

Black-Scholes Implied Volatility Calculator

Description   |   Switch View   |   Reset Values
The Iteration that is used needs an initial value which is used as a first guess for the correct implied volatility. In doubt you should enter the at-the-money-volatility. Note that the implied_vol - routine calculates the volatility for a plain vanilla Call or Put with notional 1 in foreign currency. If the implied volatility is below 0.1 % or bigger than 200%, the function returns the error code -992, if the input data are not consistent, e.g. StartVol > 100%, the function returns the error code -999.

Market Data

Contract Data

Valuation

Market Data

Underlying's Market

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

Interest Rate Market

Description
Accepted Values
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.
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

Contract Data

Side

Description
Accepted Values
Indicates whether the option is a Call or a Put. Choices shown.

Prices

Description
Accepted Values
This is the agreed exchange rate, at which the holder can buy / sell currency at expiry. Greater than 0.

Dates

Description
Accepted Values
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

Valuation

Main

Description
Accepted Values
Option price in DOM per 1 unit of FOR. Greater than 0.
Initial value to start iteration. Greater than 0. Smaller than 1.































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