Key Features:
1. Computes American and European option price for equity (including equity index), foreign currency option and option on futures
2. Computes Option Greeks - Delta, Vega, Theta, Gamma and Rho. In case of currency option, Rho 2 (sensitivity to foreign interest rate) is calculated.
3. Implied volatility - Both from American and European Call/Put option prices, implied volatility is derived.
Call, put, covered call and protective put option strategy payoff is provided.
Input:
1. Stock Price/Future Price/Foreign Currency Spot Price
2. Strike/Exercise Price
3. Expiration time in day, month, year or select expiration date
4. Risk free interest rate or domestic interest rate
5. Optional Dividend yield for equity/index options
6. Foreign interest rate for foreign currency options
7. Historic volatility of the security
Output:
1. Summary - American/European Call/Put Price, Intrinsic Value and Time Value
2. Greeks - Delta, Gamma, Theta, Vega, Rho and Rho 2 (foreign currency) for call/put
3. Payoff- payoff of call, put, covered call and protective put
Implied Volatility - From European/American Call/Put price, implied volatility is calculated.
Graphs/Charts of Profitability
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