# Calculating the Delta of FX option

I'm tying to reconcile the delta value for an FX option. I'm comparing the results to Bloomberg to verify our calculation is correct.

I've looked at this - Quantlib: Greeks of FX option in Python but it doesn't show where Rd (domestic interest rate) Rf (foreign interest rate) came from.

The option I'm trying to calculate the Delta for is as follows:

The Black-Scholes formula for delta is as follows:

where:

Using the information for the ScreenShot I get:

S = 108.947

X = 83.200

T = 83 / 365 = 0.2274 years

σ = 15.703% = 15.703 / 100 = 0.15703

Where can I find the Rd (domestic interest rate) Rf (foreign interest rate) from the screen shot? Do I need to access this from another screen in Bloomberg?

• Do CAD Depo and JPY Depo look like intetest rates? Aug 10, 2023 at 16:11
• Does this answer your question? Quantlib: day-by-day evaluation of option value Aug 10, 2023 at 17:21
• I know you referenced that question but it has the inputs highlighted and a complete replication of the result in Julia and quantlib. Aug 10, 2023 at 17:25
• @Akdemy I see the rates as CAD Depo (4.754%) and JPY Depo (-0.361%). Thanks for pointing this out. Will test these inuts Aug 10, 2023 at 18:29
• Actually, you do realize you compute a digital here? That is a spread and you cannot replicate that easily because you do not have access to the vols used. Aug 10, 2023 at 19:41