Option Pricer Under Local-Volatility Model
for Equity, FX and Commodity Options

Lognormal VannaVolga LocalVol Heston SLV
Premium
Delta
Gamma
Vega
Vanna
Volga
Theta
N/A N/A N/A N/A Leverage Surface
source: cfets, 2020-11-18 11:50
Term ATM 25DRR 25DBF 10DRR 10DBF
Bid Ask Bid Ask Bid Ask Bid Ask Bid Ask
1D 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
1W 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
2W 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
3W 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
1M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
2M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
3M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
6M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
9M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
1Y 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
18M 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
2Y 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
3Y 5.6915 5.6927 0.2298 0.2299 0.3871 0.3872 0.2769 0.277 0.547 0.5471
Term Date Fwd Points outrights CNY FR007(%) Implied USD(%) Libor USD(%) Spread(%)
ON 2020-11-12 5.0
TN 2020-11-13 4.75
SN 2020-11-16 14.82
1W 2020-11-20 36.3
2W 2020-11-27 72.0
3W 2020-12-04 118.71
1M 2020-12-14 185.0
2M 2021-01-13 398.0
3M 2021-02-18 634.0
4M 2021-03-15 751.0
5M 2021-04-13 867.0
6M 2021-05-13 992.0
9M 2021-08-13 1372.0
1Y 2021-11-15 1771.0
18M 2022-05-13 2617.5
2Y 2022-11-14 3465.0
3Y 2023-11-13 5325.0
4Y 2024-11-13 7100.0
5Y 2025-11-13 8575.0
Bootstrapping Result
3D Vol surface

1D
1W
2W
3W
1M
2M
3M
6M
9M
1Y
18M
2Y
3Y
bid
mid
ask