GarmanKohlhagen

Garman-Kohlhagen — a European option on an FX rate quoted as units of domestic per unit of foreign. The foreign rate r_f acts as a continuous yield on the underlying, so the cost of carry is b = r_d - r_f and discounting is at the domestic rate r_d.

rho() is dV/dr_d (domestic rho, carry tracking); foreignRho is dV/dr_f.

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Record components

greeks: AnalyticGreeks
foreignRho: double

Methods

static GarmanKohlhagen of(OptionType type, double spot, double strike, double maturity, double rateDom, double rateForeign, double vol)

type: call or put on the FX rate
spot: spot FX rate X (domestic per foreign)
strike: strike K
maturity: time to expiry in years T
rateDom: domestic continuously-compounded rate r_d
rateForeign: foreign continuously-compounded rate r_f
vol: lognormal volatility of the FX rate sigma

double price()