The Foreign Equity function calculates the theoretical price, sensitivities, the implied volatility, the implied strike, and the implied correlation value of a European Foreign Equity option struck in domestic currency using Reiner’s model. The valuation of the option is done in either domestic or foreign currency See Currency Translated Options for a further explanation.
ForeignEquity 
(OptionType, CurrencyType, ModelStatistic, Asset, Strike, ExchangeRate, TimeExpire, VolAsset, VolExch, InterestRate, YieldRate, Correlation, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
CurrencyType 
Alphanumeric value indicating the which currency type to value the option in: •Domestic = 1 or "d" (case insensitive) •Foreign = 2 or "f" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •Rho = 7 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 •Chi = 48 •ImpliedCorr = 50 •AssetImpliedVol = 51 (Implied Volatility of the underlying asset) •ExchangeImpliedVol = 52 (Implied Volatility of the exchange rate) •ExchangeSensitivity = 55 (Sensitivity to a change in the exchange rate) •AssetVega = 56 (Vega of the asset price's volatility) •ExchangeVega = 57 (Vega of the exchange rate's volatility) 
Asset 
The price of the underlying asset. Must be > 0. 
Strike 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
ExchangeRate 
The spot exchange rate. For options valued in domestic currency, it is specified in units of domestic currency per unit of foreign currency. For options valued in foreign currency, it is specified in units of foreign currency per unit of domestic currency. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
VolAsset 
Annualized volatility of the underlying security. Must be > 0. 
VolExch 
Annualized volatility of the exchange rate. Must be > 0. 
InterestRate 
Riskfree domestic interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
Correlation 
The correlation between the underlying asset price and the exchange rate. Must be 1 < Correlation < 1. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when any implied value is calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldType 
Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions for a foreign equity call option whose asset price 68 days from expiration is $59, the exercise price is $60, the exchange rate is $1.25, the riskfree interest rate is 8% per annum, the yield rate is 6% per annum, the annual volatility of the asset is 30%, the annual volatility of the exchange is 25%, and the correlation between the asset price and the currency rate is 0.25. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Domestic 
Foreign 
OptionType 
Call 

1 
Theoretical: 
14.635792 
0.215742 
Asset 
59 

2 
Delta: 
1.096392 
0.061011 
Strike 
60 

3 
Gamma: 
0.021351 
0.013941 
ExchangeRate 
1.25 

4 
Theta: 
0.019680 
0.007795 
TimeExpire 
68 

7 
Rho: 
0.093246 
0.006304 
VolAsset 
30% 

8 
Psi: 
0.120513 
0.006706 
VolExch 
25% 

9 
Lambda: 
4.419792 
16.684936 
InterestRate 
8% 

11 
Strike Sens: 
0.834189 
0.056398 
YieldRate 
6% 

13 
Implied Strike: 
60.163114 
59.925190 
Correlation 
0.25 

48 
Chi: 
1.038424 
0.678085 
TimeFormat 
Days 

50 
Implied Corr: 
0.118227 
0.243741 
MarketPrice (Domestic) 
14.5 

51 
Implied Vol. A: 
0.271626 
0.301968 
MarketPrice(Foreign) 
0.22 

52 
Implied Vol. E: 
0.218017 
0.252662 



55 
Exchange Sens: 
51.749725 
2.707119 



56 
Vega Vol. A: 
0.050191 
0.021473 



57 
Vega Vol. E: 
0.044998 
0.015822 