Interactive quantitative project
Build and inspect an FX option structure
Select one G10 pair and maturity, combine up to five vanilla legs, and inspect indicative premium, delta, vega and expiry P&L using a simplified forward Black model.
Single pair
Single maturity
ATM volatility
Static snapshot
Model output
Structure analytics
Total premium
-
Total delta
-
Delta notional
-
Vega / 1 vol pt
-
Expiry P&L
Price the structure to generate its payoff profile.
Structure P&L
Current spot
No priced structure
Leg breakdown
| Leg | Position | Strike | Premium | Delta | Vega |
|---|---|---|---|---|---|
| Price the structure to see component analytics. | |||||
Model boundary.
Indicative educational output using a static market snapshot and ATM volatility for every
strike. Discount factors, smile interpolation, premium-adjusted delta conventions and live
market calibration are outside this prototype.