Butterfly risk reversal fx option

The FX Option Strategy Pricer allows its user to price the following option strategies: The input page layout is as follows:. Actual Strikei. When no value is specified, the Strike is set to the Forward Rate, i.

*** Options strategy - Butterfly Spread

Ratio of the Strike to the Forward Ratei. At-The-Money-Forward when no ratio is specified. 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 butterfly risk reversal fx option specified, then t he pricer will automatically determine two Strikes: 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. Exercise Price or Delta: Sign in Report Abuse Print Page Powered By Google Sites.

Average Price Option Strip Case Study. Commodity Swap Case Study. FX Option Strategy User Guide.

Risk Reversal

Vanilla FX Options User Guide. Input Page The input page layout is as follows: The Implied Strike for a Left-Hand-Side ZDS is different from the Implied Strike for a Right-Hand-Side ZDS.

FX D-Delta Butterfly Example Pricing FX D-Delta Collar Pricing Example FX D-Delta Risk-Reversal Example Pricing FX D-Delta Strangle Example Pricing FX Zero-Delta Straddle Example Pricing.