FxCalc is a currency option calculator which computes industry standard option values for European and American style currency options. Spot and forward rates can be entered in American or European terms. Option values are simultaneously calculated and displayed in all standard formats. FxCalc automatically maintains and adjusts the interest rate arbitrage relationship between spot, forward and the interest rates of the two currencies. FxCalc computes zero range forwards.
Volatilities can differ between the two option legs.
The two option legs can also be be held in ratios other than one-toone. FxCalc automatically computes implied volatilities from counter-currency points or from percent currey.