%% Price a European Call Option with the Garman-Kohlhagen Model
% Price an FX option on buying GBP with USD.

S = 1.6;  % spot exchange rate 
X = 1.6;  % strike 
T = .3333; 
r_d = .08;  % USD interest rate 
r_f = .11;  % GBP interest rate 
sigma = .2; 

Price = blsprice(S,X,r_d,T,sigma,r_f)

% Copyright 2012 The MathWorks, Inc.