Calculates the TV (theoretical value), Greeks (delta, gamma, theta, rho domestic,
rho foreign, vega, vanna, volga), Vanna-Volga value.
Products covered include:
- Vanilla
- Digital
- OneTouch/NoTouch
- DoubleOneTouch/DoubleNoTouch
- Single Barrier (European and American)
- Double Barrier
- Single Window Barrier
- Double Window Barrier(with window in the middle)
- American knock-out European knock-in Barrier
- Faders
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it out on our
online calculator.
The FX Option pricing library is available as a DLL, XLL (windows) or SO (for unix/linux).
As a test environment we provide a spread sheet for the windows version and text
file for the linux version. A user's manual describes the details of the model,
functions and integration.
For the OneTouch and NoTouch it is free and can be downloaded
here.
If you would like to order the dll please contact us at