FX Options Summary

FX Option Calculator

Use the FX Option Calculator to price an individual option/strategy and see all the price components, i.e. the premium and all of the Greeks as well as the underlying FX and volatility rates.

FX Option Quick View

Use FX Option Quick View to create user-defined strategies. Structures can be made zero-cost or delta-neutral at the press of a key.

Note that the Calculator and Quick View can be used in tandem: each item in the FX Option View can be sent to the FX Option Calculator for viewing the full underlying details for the option. To do this use the Send To Calculator option from the right-click context menu.

Currency Linked Deposits

The Currency Linked Deposits workbook lets you price a matrix of CLDs for a user-defined range of strikes and maturities. A Calculator panel allows an individual CLD to be analysed in greater detail.

Instruments Priced

• Garman Kohlhagen Spot
• Garman Kohlhagen Forward
• Cox Rubinstein Spot
• Cox Rubinstein Forward
• Single Barrier (Down&In, Down&Out, Up&In, Up&Out
• Double Barrier (Double Knockin, Double Knockout)
• Binary
• Lookback and Lookforward
• Average Rate
• Calculated Values: Premium, Delta, Forward Hedge, Gamma, Vega, Theta, Phi, Rho, Breakeven, Lambda, Implied Volatility, Implied Strike
• Strategies: Ladder, Butterfly, Straddle, Cylinder, Money Spread

For full details see the FX Option Glossary.

FX View

Don't forget that a simple vanilla option premium is displayed in the FX View panel.