Configuration
🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
For options: strike vs. spot determines moneyness (ATM/ITM/OTM).
EUR/USD 6M implied vol ~7–10%. EM pairs 12–25%.
About this tool

Option pricing uses the Garman-Kohlhagen model (extension of Black-Scholes for FX), which accounts for both domestic and foreign risk-free rates. Forward rates use covered interest parity: F = S × e^((r_d − r_f) × T).

Greeks computed: Delta (rate sensitivity), Gamma (delta change per 1% spot move), Theta (time decay per day), Vega (sensitivity to 1% vol change).

Payoff diagrams show P&L at expiry across a ±15% spot range. Hedge effectiveness is the ratio of hedged position variance to unhedged variance reduction.

  • Garman, M.B. & Kohlhagen, S.W. (1983) — Foreign currency option values. Journal of International Money and Finance
  • ISDA — FX Derivatives Product Definitions (2002/2012)
  • BIS Triennial Central Bank Survey 2022 — OTC FX derivatives outstanding
Hedging Instrument Analysis
Hedging Strategy Memo