Component 
Resolution  Exotic Options 




Function Definition 
oX_Quanto_Imp(OptionValue, CallPut, ForeignValue, FXRateSpot, FXRateFixed, ValueDate, ExpiryDate, Spot, Strike, RiskFreeD, RiskFreeF, DividendYield, RateVolatility, AssetVolatility, Correlation, OutputFlag) Given the option value, calculates an implied value for a fixed exchangerate foreignequity option (quanto) 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


CallPut 

Option type. 

Enumerated Constant 

1  Call 

ForeignValue 

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

Enumerated Constant 

1  Foreign 

FXRateSpot 

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 


FXRateFixed 

Fixed 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 


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 

RiskFreeD 

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

Double 


RiskFreeF 

Foreign 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 price and the domestic exchange rate. 

Double 

Correlation > 1 

OutputFlag 

Indicates which implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank. 

Enumerated Constant 

1  Spot 
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