FX Vanilla Option Pricer
With detailed handling of the FX smile surface. Based on the input smile this tool
allows computing values of vanilla put and call options with all relevant market
conventions for spot date, spot value date, expiry date, delivery date. It comes
as an XLL with excel front end. It has been sold to several of our clients. It can
be useful for auditors, regulators and anybody who does not have the capacity to
programm it.
FX Option Pricer
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
Product Flyer | Try 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.
The Ultimate Quant Cheat Sheet
We have managed to condense on 6 pages decades of practical knowledge, thus making
the cheat sheet an everyday easy to carry-on reference manual and it also contains
all you need to know as a quant to pass exams and interview questions!
With The Ultimate Quant Cheat Sheet project we support local charity organizations
(Frankfurter Tafel, Gandhi Kinderhilfe) in order to have a more active role in the
community and also to uphold our social responsibilities. For this purpose 8.00
EUR will be donated for each purchased cheat sheet.
For more information please click here.