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Methodologies / fx-garman-kohlhagen

Garman–Kohlhagen FX Option

European FX call/put premium and Greeks with continuous domestic and foreign rates.

v1.0fx-garman-kohlhagen

Formula

c = S e^{-r_f τ} N(d1) − K e^{-r_d τ} N(d2); put via put–call; d1,d2 standard GK

Assumptions

Spot and strike are quote per 1 base.
Rates are continuously compounded.
τ = calendar days / 365.

Limitations

No smile, barriers, or early exercise.
No holiday calendar.

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