MathFinance - FX Option Calculator

Main Menu

Option Calculator

Discussion Series

Suchen in:

Suchbegriffe:

MathFinance - FX Option Calculator

Vanilla Digital Call and Put

Description | Switch View | Reset Values

A Vanilla Digital Call pays a previously agreed amount of cash in foreign or domestic currency, if at expiry time the spot rate is higher than a previously agreed barrier. Similarly, the Digital Put pays an agreed amount of cash if at expiry the spot is below a specified barrier.

Market Data


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

Contract Data


Level		Call/Put
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.

Prices

		Description	Accepted Values
Level		This is the agreed exchange rate,(1) above which a Call pays out the notional amount of money, (2) under which a Put pays out the notional amount of money at expiry.	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		Nominal amount of cash that is paid if the barrier is hit.	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.