MathFinance - FX Option Calculator

Plain Vanilla Call and Put

Description   |   Switch View   |   Reset Values
A Plain Vanilla Call is the right (note: not the duty) to buy a certain amount of a currency at a specified time at a specified exchange rate. In our tool we restrict ourselves to the European Style of that option, which means that the holder of the option cannot buy the specified currency at any time earlier than previously agreed. To put it another way, the holder of the option cannot exercise the option before the specified expiry time in order to buy the agreed currency at the agreed exchange rate (i.e. the specified strike price). The other version of that option is an American Call, which can be exercised any time before expiry. A Put option works in the same way as the Call option, with the difference being that now the holder has the right to sell a currency at an agreed exchange rate at expiry.

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
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.
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.
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.
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
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
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.
Determines whether the nominal is in foreign or domestic currency. Choices shown.

Valuation

Main

Description
Accepted Values
Result selection. Choices shown.































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