FX Option Calculator
The FX Options Calculator calculates currency options.
In the upper part of the "FX Option Calculator" widget, you see the contract data. To calculate the currency options, first define the base currency and the foreign currency. For the calculation, choose the required option model, the option maturity and the day count convention. You also control the display of the values by incrementing the strike.
The calculation starts automatically after you input the data, that is, the table and chart are updated.
You can find the following contract data:
| Field | Description |
|---|---|
| Base currency in % | From this drop-down list, select the base currency for which you want to calculate the options. The current percentage of the currency is displayed for information purposes. |
| Foreign currency in % | From this drop-down list, select the foreign currency for which you want to calculate the options for the base currency. The current percentage of the currency is displayed for information purposes. |
| Option model | Select the model to calculate the options from the drop-down list. The following models are available:
|
| Option maturity | Use the calendar integrated here to select the terms or maturity dates of the options to be calculated. |
| Interest days | (Not editable) The number of days of the calculation up to the set due date. |
| Day count convention | Select the day count convention for the fixed interest payment. The following periods are available for the day count convention:
|
| Increment | Here, enter the increment for the strikes that you want to display. Example: If the mid-strike is noted at 1.20 and you enter the value 0.01 here, then option prices are calculated (starting from the mid-strike) for the following strikes:Downwards: 1.19;1.18;1.17;… Upwards: 1.21;1.22;1.23;… |
| Spot Bid | The resulting spot bid. |
| Spot Ask | The resulting spot ask. |
| Mid-Strike | The average strike price of the displayed values, which always corresponds to the spot price in automatic calculation. You can edit this value. |
| Outright | (Not editable) The current outright of the selected currencies. Outright transactions are forward exchange trades that are not matched by an offsetting spot transaction, that is, that are not covered by swaps. |
| Volatility bid in % | The percentage volatility of bid rates. |
| Volatility ask in % | The percentage volatility of the ask prices. |
In the Widget Gallery, you find the "FX Option Calculator" widget in the "Calculators" section of the "Other" category.