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oX_ForeignEquity( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_ForeignEquity(CallPut, ForeignValue, ExchangeRate, ValueDate, ExpiryDate, Spot, Strike, RiskFree, DividendYield, RateVolatility, AssetVolatility, Correlation, OutputFlag)

Calculates the option value and various Greeks for an option on a foreign equity using Reiner's (1992) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ForeignValue

 

Should the option value be returned in units of Foreign or Domestic currency?

 

Enumerated Constant

 

1 - Foreign Currency
2 - Domestic Currency

ExchangeRate

 

Spot exchange rate. When the option value is returned in units of foreign currency, the exchange rate should be quoted in units of foreign currency per unit of domestic currency. When the option value is returned in units of domestic currency, the exchange rate should be quoted in units of domestic currency per unit of foreign currency.

 

Double

 

ExchangeRate > 0

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

Strike

 

Strike price of the option.

 

Double

 

Strike > 0

RiskFree

 

Risk free interest rate, expressed as an annually compounded Actual 365 rate.

 

Double

 

DividendYield

 

Continuous dividend yield of the underlying asset, expressed as an annually compounded Actual/365 rate.

 

Double

 

RateVolatility

 

Annualized volatility of the exchange rate, expressed as a decimal.

 

Double

 

RateVolatility > 0

AssetVolatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

AssetVolatility > 0

Correlation

 

Correlation between the asset and the currency in which the option is valued.

 

Double

 

Correlation > -1
Correlation < 1

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value and Greeks
1 - Value
2 - Delta
3 - Gamma
4 - Theta
5 - Sensitivity to Asset Volatility
6 -Sensitivity to Rate Volatility
7 - Rho
8 - Phi
9 - Sensitivity to Exchange Rate
10 - Sensitivity to Correlation

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