Option Price Calculator 
Use
To calculate the value of the
Option Premium, you can make use of the direct connection to the option price calculator while you enter a transaction.You can also use the option price calculator to perform market data calculations for Currency options.
The option price calculator also delivers the key sensitivities of the option alongside the premium. You can set up the option premium field on the entry screens as a percentage of the base transaction (in points) or as a fixed amount.
It takes into account the agreed Barriers and Rebates that are paid upon expiration of the option if necessary.
For more information on this, see
Option Price Calculator in the Market Risk area.
Features
You call up the option price calculator by choosing Trading
®
Utilities
®
Option Price Calculator or Extras ®
Option price calculator. You can also choose the 
Option price calculator pushbutton.To make calculations, you have the following options:
Market data
To calculate up-to-date market data:
- Choose Trading
®
Utilities
®
Option Price Calculator.
The entry screen for calculating premiums for OTC options appears.
Enter the following data:
- Currency pair (for example, USD/DEM)
- Start and end date of the option term.
- 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.
- By choosing the Market data pushbutton, the system automatically inserts the current values into the fields in the Market data areas of the screen: spot rates, interest rates for currency 1 and 2 and the market volatility.
- The system uses this information to calculate the swap rate.
- Alternatively, you can enter strike prices for the underlying foreign exchange transaction for 3 put and call options.
Swap and forward rate calculation
If you want to calculate swap and forward rates you have to 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.
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.
Choose the Swap/forward function and to fill the corresponding fields.
Calculating premiums
The premium is calculated on the basis of the spot price, strike price, term, interest rates without risk in both currencies, the option category and the volatility of the exchange rate.
- 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 lower part of the screen.
- Choose the Premiums pushbutton.
- The system calculates the premium in price points (bid/ask) for European-style and American-style exercise.
Sensitivities
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:
- Position your cursor on a premium.
- Choose the Sensitivities pushbutton. The option sensitivities (for example, delta and gamma) are calculated and displayed in a separate window.
Implicit volatilities
To find out the volatility upon which the calculation of a known option premium is based:
- Enter one or more premiums in the lower part of the screen.
- Position the cursor on an entry.
- Press the Implied volatility pushbutton.
- The calculated implied volatility is displayed in a separate window. You can integrate this volatility into your market data.
List
To display the sensitivities of all premiums:
- Choose List.
- This generates a global evaluation/list of all sensitivities.
Exotic options
When you choose Exotic options the initial screen for exotic options appears and when you choose Standard options you return to the entry screen for standard options.
The premiums area is divided into the following fields: Category, Basis, Barrier, Rebate. The premium is calculated in the European style.
