Foreign Exchange Options (FX Option Calculator - iPhone/iPad App)

Foreign exchange option (also called FX option or currency option) is a derivative financial instrument that grants the owner the right but
not the obligation to exchange money denominated in one currency into another currency at a pre-agreed exchange rate on a specified
date. There are 2 types of options: call (the right to buy)  and put  (the right to sell) foreign exchange at a fixed date and price.

As in the "Black-Scholes option price model" for stock options, the value of a European option on an FX rate is also calculated by
utilizing Black-Scholes model following a log-normal process. There are 6 inputs required in the Black-Scholes option valuation model:

  1. Current spot exchange rate;
  2. The strike price;
  3. The time to maturity;
  4. Domestic risk free interest rate;
  5. Foreign risk free interest rates; and
  6. Volatility of the FX rate.
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