fxEuropeanOptionPricer

Syntax

fxEuropeanOptionPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve, volSurf)

Details

Prices a foreign exchange European option and returns its net present value (NPV).

Return value: A DOUBLE scalar.

Arguments

instrument An INSTRUMENT scalar representing the FX European option to be priced. See Product Field Specifications for details.

pricingDate A DATE scalar specifying the valuation date.

spot A numeric scalar representing the spot FX rate.

domesticCurve A MKTDATA scalar representing the domestic discount curve. See Curve Field Specifications for details.

foreignCurve A MKTDATA scalar representing the foreign discount curve. See Curve Field Specifications for details.

volSurf A MKTDATA scalar representing the FX volatility surface. See Curve Field Specifications for details.

Examples

pricingDate = 2025.08.18
ccyPair = "USDCNY"

option = {
    "productType": "Option",
    "optionType": "EuropeanOption",
    "assetType": "FxEuropeanOption",
    "version": 0,
    "notional": ["USD", 1E6],
    "strike": 7.2,
    "maturity": 2025.10.28,
    "payoffType": "Call",
    "dayCountConvention": "Actual365",
    "underlying": ccyPair
}

quoteTerms = ['1d', '1w', '2w', '3w', '1M', '2M', '3M', '6M', '9M', '1y', '18M', '2y', '3y']
quoteNames = ["ATM", "D25_RR", "D25_BF", "D10_RR", "D10_BF"]
quotes = [0.030000, -0.007500, 0.003500, -0.010000, 0.005500, 
          0.020833, -0.004500, 0.002000, -0.006000, 0.003800, 
          0.022000, -0.003500, 0.002000, -0.004500, 0.004100, 
          0.022350, -0.003500, 0.002000, -0.004500, 0.004150, 
          0.024178, -0.003000, 0.002200, -0.004750, 0.005500, 
          0.027484, -0.002650, 0.002220, -0.004000, 0.005650, 
          0.030479, -0.002500, 0.002400, -0.003500, 0.005750, 
          0.035752, -0.000500, 0.002750,  0.000000, 0.006950, 
          0.038108,  0.001000, 0.002800,  0.003000, 0.007550, 
          0.039492,  0.002250, 0.002950,  0.005000, 0.007550, 
          0.040500,  0.004000, 0.003100,  0.007000, 0.007850, 
          0.041750,  0.005250, 0.003350,  0.008000, 0.008400, 
          0.044750,  0.006250, 0.003400,  0.009000, 0.008550]
quotes = reshape(quotes, size(quoteNames):size(quoteTerms)).transpose()

curveDates = [2025.08.21,
              2025.08.27,
              2025.09.03,
              2025.09.10,
              2025.09.22,
              2025.10.20,
              2025.11.20,
              2026.02.24,
              2026.05.20,
              2026.08.20,
              2027.02.22,
              2027.08.20,
              2028.08.21]
              
domesticCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "CNY",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[1.5113, 
              1.5402, 
              1.5660, 
              1.5574, 
              1.5556, 
              1.5655, 
              1.5703, 
              1.5934, 
              1.6040, 
              1.6020, 
              1.5928, 
              1.5842, 
              1.6068]/100
}
foreignCurveInfo = {
    "mktDataType": "Curve",
    "curveType": "IrYieldCurve",
    "referenceDate": pricingDate,
    "currency": "USD",
    "dayCountConvention": "Actual365",
    "compounding": "Continuous",  
    "interpMethod": "Linear",
    "extrapMethod": "Flat",
    "frequency": "Annual",
    "dates": curveDates,
    "values":[4.3345, 
              4.3801, 
              4.3119, 
              4.3065, 
              4.2922, 
              4.2196, 
              4.1599, 
              4.0443, 
              4.0244, 
              3.9698, 
              3.7740, 
              3.6289, 
              3.5003]/100
}

spot = 7.1627
instrument = parseInstrument(option)
domesticCurve = parseMktData(domesticCurveInfo)
foreignCurve = parseMktData(foreignCurveInfo)
surf = fxVolatilitySurfaceBuilder(pricingDate, ccyPair, quoteNames, quoteTerms, quotes, spot, domesticCurve, foreignCurve)

npv = fxEuropeanOptionPricer(instrument, pricingDate, spot, domesticCurve, foreignCurve, surf)
print(npv)

Related functions: parseInstrument, parseMktData

Product Field Specifications


Field Name	Data Type	Description	Required
productType	STRING	Must be "Option"	√
optionType	STRING	Must be "EuropeanOpiton"	√
assetType	STRING	Must be "FxEuropeanOpiton"	√
version	INT	Version, default 0	×
notional	ANY vector	Notional principal amount, e.g., ["USD", 1.0]	√
instrumentId	STRING	InstrumentId ID	×
maturity	DATE	Maturity date	√
underlying	STRING	The currency pair, in the format "EURUSD", "EUR.USD", or "EUR/USD". Supported currency pairs include: "EURUSD": Euro to US Dollar "USDCNY": US Dollar to Chinese Yuan "EURCNY": Euro to Chinese Yuan "GBPCNY": British Pound to Chinese Yuan "JPYCNY": Japanese Yen to Chinese Yuan "HKDCNY": Hong Kong Dollar to Chinese Yuan	√
direction	STRING	Trading direction, can be "Buy" or "Sell"	√
strike	DOUBLE	Strike price	√
dayCountConvention	STRING	The day count convention. It can be: "ActualActualISDA", "ActualActualISMA"," Actual365", "Actual360"	√
payoffType	STRING	Payoff type. It can be "Call" or "Put".	√
domesticCurve	STRING	The domestic discount curve name	×
foreignCurve	STRING	The foreign discount curve name	×

Curve Field Specifications

IrYieldCurve


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Curve"	√
referenceDate	DATE	Reference Date	√
version	INT	Version, default 0	×
curveType	STRING	Must be "IrYieldCurve"	√
dayCountConvention	STRING	The day count convention to use. It can be: "Actual360": actual/360 "Actual365": actual/365 "ActualActualISMA": actual/actual according to ISMA (International Securities Market Association) convention "ActualActualISDA": actual/actual according to ISDA (International Swaps and Derivatives Association) convention.	√
interpMethod	STRING	Interpolation method. It can be: "Linear": linear interpolation "CubicSpline": cubic spline interpolation "CubicHermiteSpline": cubic Hermite interpolation	√
extrapMethod	STRING	Extrapolation method. It can be Flat: flat extrapolation Linear: linear extrapolation	√
dates	DATE vector	Date of each data point	√
values	DOUBLE vector	Value of each data point, corresponding to the elements in dates.	√
curveName	STRING	Curve name	×
currency	STRING	Currency. It can be CNY", "USD", "EUR", "GBP", "JPY", "HKD"	√
compounding	STRING	The compounding interest. It can be: "Compounded": discrete compounding "Simple": simple interest (no compounding). "Continuous": continuous compounding.	√
settlement	DATE	Settlement date. If specified, all subsequent tenor intervals are computed starting from "settlement" rather than from "referenceDate".	×
frequency	INTEGRAL/STRING	The interest payment frequency. Supported values: -1 or "NoFrequency": No payment frequency 0 or "Once": Single lump-sum payment of principal and interest at maturity. 1 or "Annual": Annually 2 or "Semiannual": Semiannually 3 or "EveryFourthMonth": Every four months 4 or "Quarterly": Quarterly 6 or "BiMonthly": Every two months 12 or "Monthly": Monthly 13 or "EveryFourthWeek": Every four weeks 26 or "BiWeekly": Every two weeks 52 or "Weekly": Weekly 365 or "Daily": Daily 999 or "Other": Other frequencies	×
curveModel	STRING	Curve construction model; Currently, only "Bootstrap" is supported.	×
curveParams	DICT	Model parameters.	×

FxVolatilitySurface


Field Name	Data Type	Description	Required
mktDataType	STRING	Must be "Surface"	√
referenceDate	DATE	Reference Date	√
version	INT	Version, default 0	×
surfaceType	STRING	Must be "FxVolatilitySurface"	√
smileMethod	STRING	Volatility smile method. It can be: "Linear": linear smile "CubicSpline": cubic-spline smile "SVI": SVI-model smile "SABR": SABR-model smile	√
volSmiles	DICT(STRING, ANY)vector	Volatility smiles vector. Each element is one smile . It has the following members: strikes: A DOUBLE vector indicating the strike prices. vols: A DOUBLE vector indicating the volatilities corresponding to strikes (of the same length). curveParams: A DICT(STRING, DOUBLE) indicating the model parameters for the smile method; only effective when smileMethod is "SVI" or "SABR": smileMethod = 'SVI': Must have the keys: 'a', 'b', 'rho', 'm', 'sigma' smileMethod = 'SABR': Must have the keys: 'alpha', 'beta', 'rho', 'nu' fwd (optional ): A DOUBLE scalar indicating the forward value. It is required when smileMethod is "SVI" or "SABR".	√
termDates	DATE vector	Term date corresponding to each smile in volSmiles.	√
surfaceName	STRING	Surface name	×
currencyPair	STRING	Foreign exchange currency pair. Available options: "EURUSD", "USDCNY", "EURCNY", "GBPCNY", "JPYCNY", "HKDCNY". Currency pairs may also use `.` or `/` as separators. For example, "EURUSD" can also be written as "EUR.USD" or "EUR/USD".	√