For those interested (I hope all of you... ) I would like to post the foreign exchange variation of the Black Scholes model.
http://upload.wikimedia.org/math/d/6...6eda5d8346.png
http://upload.wikimedia.org/math/b/0...f898bc9511.png
http://upload.wikimedia.org/math/e/7...e8f75ba4ae.png
http://upload.wikimedia.org/math/a/d...b0c30ed685.png
S0 is the current spot rateK is the strike price
N is the cumulative normal distribution function
rd is domestic risk free simple interest rate
rf is foreign risk free simple interest rate
T is the time to maturity (calculated according to the appropriate day count convention)and
σ is the volatility of the FX rate.
So, now we have everything together. Does anyone share my view that this indicator may well be valuable for Geoff's already great ea?
http://upload.wikimedia.org/math/d/6...6eda5d8346.png
http://upload.wikimedia.org/math/b/0...f898bc9511.png
http://upload.wikimedia.org/math/e/7...e8f75ba4ae.png
http://upload.wikimedia.org/math/a/d...b0c30ed685.png
S0 is the current spot rateK is the strike price
N is the cumulative normal distribution function
rd is domestic risk free simple interest rate
rf is foreign risk free simple interest rate
T is the time to maturity (calculated according to the appropriate day count convention)and
σ is the volatility of the FX rate.
So, now we have everything together. Does anyone share my view that this indicator may well be valuable for Geoff's already great ea?