PROJECT · BROWSER DEMO
Hornet FX desk
A compact USD/MXN pricing and risk desk adapted from my Hornet Trading Contest project. Change the market or trade inputs to see the model reprice in your browser.
Model value and risk
Forward —Loading the Rust pricing module…
Model valueUSD
| Risk measure | USD impact | Move |
|---|---|---|
| Delta | spot +1% | |
| Gamma | half × 1%² | |
| ATM vega | vol +1 point | |
| Rega | RR +1 point | |
| Fly vega | fly +1 point | |
| USD rho | USD rate +1 bp | |
| MXN rho | MXN rate +1 bp | |
| Carry | 1 calendar day |
About this model
The calculator ports the Hornet practice engine’s USD/MXN FX option formula, three-node quadratic volatility smile, and finite-difference risk bumps to Rust and WebAssembly. The starting market is an illustrative exercise scenario; no live quotes or external services are used.
This is an adaptation for the portfolio site, not a certified cell-for-cell copy of the original workbook. Its smile interpolation follows the practice engine’s coordinates, whose parity with the recovered workbook has not been established.