FX Pricer
Assumptions and pricing methodology

These assumptions drive the valuation engine used on the portfolio page.

  • • Spot rates are taken from the latest NBP fixing for EUR/PLN and USD/PLN.
  • • Domestic PLN rates and foreign EUR/USD rates are resolved from the selected curve points using linear interpolation over actual days to maturity.
  • • Forward rates use a covered-interest-parity estimate with Act/365 for PLN and Act/360 for EUR/USD.
  • • For forwards, the quoted price is the forward rate minus the strike, and the intrinsic value equals that amount. Time value is zero.
  • • For options, the price is calculated with a Garman–Kohlhagen model using spot, strike, domestic/foreign rates, volatility and time to maturity. Intrinsic value is the payoff at expiry, and time value is the option price minus intrinsic value.
Manual Assumptions

PLN Money-Market Curve (%, annualized)

No free live WIBOR feed is available (redistribution is licensed) — enter current WIBOR/PLN rates by tenor.

EUR/PLN Volatility (%, annualized)

No public FX volatility surface exists — enter your own vol assumption per tenor.

USD/PLN Volatility (%, annualized)

Used to price USD/PLN options via Garman-Kohlhagen.