Option Price Calculator

You can use the option price calculator to calculate premiums and market data for Standard options and Exotic options in the Foreign Exchange area and for OTC options and Exotic options in the Derivatives component.

To make calculations, you have the following options:

Calculating current market data

To make up-to-date market data calculations:

  1. Choose Start of the navigation path Trading Next navigation step Utilities Next navigation step Option Price Calculator End of the navigation path .

  2. The Premium Calculation for OTC Options screen appears .

  3. When you choose Exotic options, the initial screen for exotic options appears and when you choose Standard options , you to return to the entry screen for standard options.

  4. Enter the following data:

  5. – Currency pair (such as USD/DEM)

    – Term of the option

  6. Press ENTER . The system automatically enters the length of the term and the value date (plus 2 days after the end of the term) in the relevant fields.

  7. By choosing Start of the navigation path Edit Next navigation step Get market data Next navigation step , all the fields in the End of the navigation path Market data area are filled automatically with current values.

Alternative interest rate and swap calculation

To calculate the alternative interest and swap rates:

  1. If you want to calculate swap and forward rates, enter the following data: the bid/ask spot rate, the interest rates for the 1st and 2nd currencies and the volatility of the bid/ask rate.

  2. By choosing Start of the navigation path Calculate Next navigation step Swap Next navigation step / End of the navigation path forward rates the corresponding fields are filled automatically.

  3. If you want to calculate the forward rates and the interest rate of the 2nd currency, enter the following data: the bid/ask spot rate, the interest rate for the 1st currency, the swap rates and the volatility of the bid/ask spot rate.

  4. Choose Start of the navigation path Calculate Next navigation step Swap/forward rates. Next navigation step . The corresponding fields are filled automatically. End of the navigation path

Calculating premiums

To calculate the premium:

  1. When you have calculated the market data, enter the basis price (exercise price) in the Put 1 to 3, and Call 1 to 3 fields in the Premiums area of the screen.

  2. Choose Start of the navigation path Calculate Next navigation step Calculate premiums Next navigation step . End of the navigation path

The system calculates the premium in price points (bid/ask) for European-style and American-style exercise.

To find out the volatility upon which the calculation of a known option premium is based:

  1. Enter one or more premiums in the Premiums area of the screen.

  2. Position the cursor on an entry.

  3. Choose Start of the navigation path Calculate Next navigation step Implied volatility Next navigation step . End of the navigation path

An additional window appears displaying the implied volatility.

You can integrate this volatility into your market data.

After you have calculated market data and premiums, you can display a list of the sensitivities of a single premium or of all premiums.

To view the sensitivities of a single premium:

  1. Position the cursor on a premium.

  2. Choose Start of the navigation path Calculate Next navigation step Sensitivities Next navigation step . An additional window appears showing the sensitivities of this premium. End of the navigation path

To display the sensitivities of all premiums:

  1. Choose Start of the navigation path Edit Next navigation step List of results Next navigation step . End of the navigation path

This generates a global evaluation/list of all sensitivities.