Valuation models

FX option

Premium in pips and percent of notional, spot, forward and premium-adjusted deltas, vega and rho for both currencies.

Inputs

Currency pairNotional (EUR)Spot (USD per EUR)StrikeTime to expiryyVolatility%USD curveUSD curve: flat rate% ccEUR curveEUR curve: flat rate% cc

Results

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Methodology

Conventions

Spot and strike in quote currency per 1 base; the base currency rate acts as a dividend yield.

References

Garman and Kohlhagen (1983)

Formulas

Call: C = S e^(−rf T) N(d1) − K e^(−rd T) N(d2)