OpenChainGraph · QFA-01 · Wave 3 · Zero-Egress

Options Greeks Calculator

Black-Scholes pricer with full first-order Greeks — delta, gamma, theta, vega, rho. Equity, FX and interest rate presets. Payoff profile and delta sensitivity sweep. Exports AP2 risk_parameter mandate, chainable into QFA-04 XVA/CVA. FRTB SA · Basel III market risk.

v1.0.0 risk_parameter Black-Scholes Wave 3 Zero-Egress
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Preset
Equity Call
ATM call · S=100 · K=100 · 90d · σ=20% · r=4.5%
FX Put
EUR/USD put · S=1.0850 · K=1.08 · 30d · σ=8%
Rate Caplet
IR caplet · F=5.2% · K=5% · 180d · σ=100bp
Call
Put
Greeks & Price
Payoff Profile — P&L at Expiry
Delta & Gamma vs Spot±35% spot sweep
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