Discontinued App

Foreign Currency Option

Most comprehensive foreign currency option application - Key Features: 1. Computes American and European option price for foreign currency option 2. ...

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Description

Most comprehensive foreign currency option application - Key Features: 1. Computes American and European option price for foreign currency option 2. Computes Option Greeks - Delta, Vega, Theta, Gamma and Rho. In case of currency option, Rho 2 - sensitivity to foreign interest rate is calculated. 3. Implied volatility - Both from American and European Call/Put option prices, implied volatility is derived. 4. Call, put, covered call and protective put option strategy payoff and chart is provided. Input: 1. Foreign Currency Spot Price 2. Strike/Exercise Price 3. Expiration time in day, month, year or select expiration date 4. Risk free interest rate or domestic interest rate 5. Foreign interest rate for foreign currency options 6. Historic volatility of the security Output: 1. Summary - American/European Call/Put Price, Intrinsic Value and Time Value 2. Greeks - Delta, Gamma, Theta, Vega, Rho and Rho 2 for call/put 3. Payoff- payoff of call, put, covered call and protective put Implied Volatility - From European/American Call/Put price, implied volatility is calculated. Print & E-Mail: 1. Print depreciation schedule 2. E-Mail depreciation schedule as a formatted pdf attachment Note: American option price and implied volatility results are not calculated always as the solutions may not converge for each data set.

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Technical specifications

Version: 5.0

Size: 1.35 MB

System:

Price: 3,99 €

Developed by Business Compass LLC

Day of release: 2010-08-10

Recommended age: 4+

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