{"categories":["FX"],"contentHtml":"<p>The FE-635 workbook implements Black–Scholes-style pricing for calls, puts, forwards, and deposits. Its inputs separate the domestic discount rate from the foreign rate, because an FX option has two money-market accounts in the carry relationship.</p>\n<p>The spreadsheet's maturity convention is explicit: \\(T=\\text{Days}/365\\). The pricing routine then consumes forward or strike, domestic and foreign rates, and volatility. That separation is more important than the function name; passing spot where the workbook expects forward FX changes the result systematically.</p>\n<p>The notes treat the implementation as a practitioner tool. It is a compact expression of the assumptions, not a substitute for checking quote direction, settlement, and discounting currency.</p>","contentMarkdown":"The FE-635 workbook implements Black–Scholes-style pricing for calls, puts, forwards, and deposits. Its inputs separate the domestic discount rate from the foreign rate, because an FX option has two money-market accounts in the carry relationship.\n\nThe spreadsheet's maturity convention is explicit: \\(T=\\text{Days}/365\\). The pricing routine then consumes forward or strike, domestic and foreign rates, and volatility. That separation is more important than the function name; passing spot where the workbook expects forward FX changes the result systematically.\n\nThe notes treat the implementation as a practitioner tool. It is a compact expression of the assumptions, not a substitute for checking quote direction, settlement, and discounting currency.","dataUrl":"https://sharifhsn.dev/api/posts/fx-black-scholes-pricing.json","date":"2025-02-24","datePublished":"2025-02-24","description":"The FE-635 workbook implements Black–Scholes-style pricing for calls, puts, forwards, and deposits. Its inputs separate the domestic discount rate from the foreign rate, because an…","site":"https://sharifhsn.dev","slug":"fx-black-scholes-pricing","source":"FE-635 | Risk Engineering","sourceUrl":null,"tags":["FX","Black–Scholes","Option Pricing"],"title":"Black–Scholes Pricing for FX","url":"https://sharifhsn.dev/blog/fx-black-scholes-pricing/","version":"1","wordCount":105}