• Currency Pair: a drop-down list allowing the user to select the currency pair of the option

• Payoff Type: a drop-down list allowing the user to select either of:

  - Straddle, i.e., a {Call + Put at the same Strike} position.

  - Strangle, i.e., a {Call + Put at Strikes KCall and KPut} position, such that: KPut < F < KCall, F being the Forward Rate.

  - Butterfly, i.e., a {Strangle - At-The-Money Straddle} position.^(*)

  - Risk-Reversal, i.e., a {Call - Put at Strikes KCall and KPut} position, such that: KPut < F < KCall, F being the Forward Rate.

  - Collar (aka Call Spread), i.e., a {Call - Call at Strikes KLow and Khi} position, such that: KLo < KHi.

• Maturity: a drop-down list allowing to user to select either:

  • a predetermined maturity, ranging from one week to one year

  • a user-input actual exercise date

• Exercise Date: an input box for the user to input the date in the day, month, year format, only to be used if the selected maturity is "Actual Exercise Date"

• Moneyness Type: a drop-down list allowing the user to select either:

  • Actual Strike, i.e., an actual value for the option's exercise price (may only be used for Straddles). When no value is specified, the Strike is set to the Forward Rate, i.e., At-The-Money-Forward.

  • Ratio of the Strike to the Forward Rate, i.e., the ratio of the option' strike to the Forward FX Rate (may only be used for Straddles). At-The-Money-Forward when no ratio is specified.

  • Left-Hand-Side Delta (protects option value in the underlying currency). If no value is specified, then the pricer will look for the Strike that makes the Straddle Zero-Left-Hand-Side-Delta (may only be used for Straddles). If a delta target is specified, then the pricer will automatically determine two Strikes: that of the Call whose Spot Left-Hand-Side Delta is equal to the specified target and that of the Put whose Spot Left-Hand-Side Delta is equal to the specified target.

  • Right-Hand-Side Delta (protects option value in the numéraire currency). If no value is specified, then the pricer will look for the Strike that makes the Straddle Zero-Right-Hand-Side-Delta (may only be used for Straddles). If a delta target is specified, then the pricer will automatically determine two Strikes: that of the Call whose Spot Right-Hand-Side Delta is equal to the specified target and that of the Put whose Spot Right-Hand-Side Delta is equal to the specified target.

• Exercise Price or Delta: an input box for the user to enter either the desired Strike or the Delta target, depending on the selected Moneyness Type

The possible Payoff / Moneyness combinations are as per the table below:

^(*)At-The-Money-Straddle:

• When DELTA is specified as Moneyness Type, "At-The-Money-Straddle" means Zero-Delta-Straddle (both Left- and Right-Hand-Side): the Strike of both the Call and the Put is such that the Delta of the Call (positive) and the Delta of the Put (negative) cancel each other. The Implied Strike for a Left-Hand-Side ZDS is different from the Implied Strike for a Right-Hand-Side ZDS.
• When STRIKE is specified as Moneyness Type, "At-The-Money-Straddle" means At-The-Money-Forward Straddle: the Strike of both the Call and the Put is equal to the Forward Rate.

Pricing Results

The pricing output is laid out as follows:

• Deal Terms Recap
• Deal Premium and Greeks
• For each deal component:
• Component Terms Recap
• Component Premium and Greeks

• Zero-Delta-Straddle
• D-Delta Strangle
• D-Delta Butterfly
• D-Delta Risk-Reversal
• Collar / Call Spread