When using the FX OTC Options Calculator, you must input Contract, Currency, Date and Model Specific Parameter information.
You can collapse the Contract, Currencies Info and/or Dates-Delta in Days views, so that only the section heading shows.
To collapse a section view, click the – button to left of the section header.
To re-expand a section view, click the + button to the left of the section header.
Contract
|
Parameter |
Description |
|
Currencies |
The cross currencies being analyzed. |
|
Option Type |
The type of options being analyzed. Choices include: Vanilla OTC Spot Exotic Vanilla Barrier Exotic Binary AON Exotic Lookback |
|
Options Style |
Describes the time restrictions relevant to exercising the option. Values: American Options European Options |
|
Call/Put |
The type of options being displayed. |
|
Model |
The model used. Values: Cox-Ross-Rubinstein Garman-Kohlhagen |
Currencies Info
|
Parameter |
Description |
|
Symbol |
Currency symbol, for example, USD or EUR. |
|
Amount |
Input the amount of the first currency. The display then calculates the amount of the second currency, based on current market prices. |
|
Spot |
Enter a theoretical spot market price for the first currency. |
|
Strike |
Enter a strike price value. |
|
Option Price |
Enter a theoretical option price, if implied volatility is the selected calculation value. |
|
Interest Rate % |
Enter separate interest rates for the currencies involved. The defaults represent the interest rates based on the settings selected in the Interest Rate tab of the Preferences window. |
|
Volatility% |
Enter an assumed volatility value, if Theoretical Value is the selected calculation value. |
|
Days to Expiry |
Enter the number of days until expiration. |
Note: You can change the dependent and independent relationship by left clicking on the currency header in the dependent column. Any values that have been derived through the CQG data line or given by a CQG data provider are displayed in a special color, green by default. If you change one of these values, its color changes to black.
Dates and Delta in Days
The Dates and Delta in Days section displays four dates in addition to the difference in days between the date in one row and the date in the row immediately above. The key dates are:
•Today
•Spot Date
•Expiry Date
•Delivery Date
You can enter either a date in the Dates column or Delta values in the Delta in Days column. When you make changes in one column, values in other columns change as appropriate.
The Vanilla OTC Spot option type allows you to choose between the Cox-Ross-Rubinstein model and the Garman Kohlhagen model. If you choose the Cox-Ross Rubinstein model, you must also designate the following model specific parameters.
|
Parameter |
Description |
|
Iteration Number |
The number of calculations used to arrive at the expiration value. |
|
Smoothing Factor |
Smooths out the model's Theoretic Value curve. Input a number from 0-10. Higher numbers produce a smoother curve. However, they also increase the error factor, especially in the Greek values. |
|
Parameter |
Description |
|
Barrier Type |
Way of describing the movement of the underlying versus the strike price. Choices include: Up and In, Up and Out, Down and In, Down and Out. |
|
Barrier Value |
Threshold price an underlying must reach for the option to have value. |
|
Barrier Rebate |
Price that is paid to the holder of an option if it expires worthless. |
There are no parameters for the Exotic Binary AON option type.
|
Parameter |
Description |
|
Lookback Type |
Specify the brand of lookback. Values: Floating strike Fixed strike |
|
Lowest Price |
The lowest price of the underlying within the life of the contract. |
|
Highest Price |
The highest price of the underlying within the life of the contract. |