Black-Scholes greeks
For all the graphs below I am using the following input parameters:
Currency pair = GBPUSD
Spot = 1.9600
USD interest rate = 5%
GBP interest rate = 5%
Volatility = 10%
Strike = 2.0000
Call on GBP
GBP notional = 50,000,000
TV (theoretical value)
8,000,000
7,000,000
6,000,000
5,000,000
Vanilla Today
Greek
4,000,000 Vanilla 100d
Vanilla 30d
3,000,000 Vanilla 1d
2,000,000
1,000,000
0
1.5680
1.6072
1.6464
1.6856
1.7248
1.7640
1.8032
1.8424
1.8816
1.9208
1.9600
1.9992
2.0384
2.0776
2.1168
2.1560
2.1952
2.2344
2.2736
2.3128
Spot
Greek Greek
Delta
Gamma
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
0
0
1.5680 1.5680
1.6072 1.6072
1.6464 1.6464
1.6856 1.6856
1.7248 1.7248
1.7640 1.7640
1.8032 1.8032
1.8424 1.8424
1.8816 1.8816
1.9208 1.9208
Spot
Spot
1.9600 1.9600
1.9992 1.9992
2.0384 2.0384
2.0776 2.0776
2.1168 2.1168
2.1560 2.1560
2.1952 2.1952
2.2344 2.2344
2.2736 2.2736
2.3128 2.3128
Vanilla 7d
Vanilla 1d
Vanilla 30d
Vanilla 90d
Vanilla 30d
Vanilla 90d
Vanilla Today
Vanilla Today
Greek
Greek
Vega
-2,000
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
160,000
180,000
200,000
0
DVegaDVol
1.5680 1.5680
1.6072 1.6072
1.6464 1.6464
1.6856 1.6856
1.7248 1.7248
1.7640 1.7640
1.8032 1.8032
1.8424 1.8424
1.8816 1.8816
1.9208 1.9208
Spot
1.9600
Spot
1.9600
1.9992 1.9992
2.0384 2.0384
2.0776 2.0776
2.1168 2.1168
2.1560 2.1560
2.1952 2.1952
2.2344 2.2344
2.2736 2.2736
2.3128 2.3128
Vanilla 7d
Vanilla 7d
Vanilla 30d
Vanilla 90d
Vanilla 30d
Vanilla 90d
Vanilla Today
Vanilla Today