Volatility Curve
The volatility for Fx (currency) option markets are quoted with three parameters for each expiry date. These are ATM volatility, 25 delta butterfly and 25 delta riskseversal. DerivativeEngines get these standart market volatility data from various brokers for each expiry date and generates a volatility smile for each strike with Vanna Volga method. Since the volatility curve is a quoted curve, it changes with the market conditions. All of the option types and structured products in this web site are priced with the market volatility, and the results are close to real time conditions.
FX Options Pricing
- Option Pricer
- Vanilla Option : A single vanilla option which can be priced with both market voltility and user input volatility.
- Multiple Option: A portfolio of upto 5 vanilla options can be priced with market volatility
- Barrier Option: A single Barrier option which can be priced with both market voltility and user input volatility.
- One Touch Option: will be launched in the future
- No Touch Option: will be launched in the future
- Double No Touch Option: will be launched in the future
- Double One Touch Option: will be launched in the future
- European Digital Option: will be launched in the future
- European Range Option: will be launched in the future
- Range Accrual Option: will be launched in the future
Structured Products Pricing
- Structured Products Pricer
- DCD (Dual Currency Deposit) A single DCD product can be priced with market volatility
- Asymetric Forward : A single Asymetric Forward Product can be priced with market volatility.
- Zero Cost Collar : A single Zero Cost Collar Product can be priced with market volatility.
- Seagull (3 Way Collar) : A single Seagull (3 Way Collar) Product can be priced with market volatility.