The EquityLinkedFX function calculates the theoretical price, sensitivities, the implied volatility, the implied strike, and the implied correlation value of a European EquityLinked ForeignExchange option 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.
EquityLinkedFX 
(OptionType, CurrencyType, ModelStatistic, Asset, Strike, ExchangeRate, TimeExpire, VolAsset, VolExch, IntRateDom, IntRateFor, YieldRate, Correlation, MarketPrice, TimeFormat, IntRateDomType, IntRateForType, 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 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 •ImpliedCorr = 40 •Chi = 48 •AssetImpliedVol = 51 (Implied Volatility of the underlying asset) •ExchangeImpliedVol = 52 (Implied Volatility of the exchange rate) •RhoDomestic = 53 (Rho of the Domestic interest rate) •RhoForeign = 54 (Rho of the Foreign interest 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. 
IntRateDom 
Riskfree domestic interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the IntRateDomType argument. Must be > 0. 
IntRateFor 
Riskfree domestic interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InRatetForType 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) 
IntRateDomType 
Optional. Alphanumeric value indicating the type of IntRateDom to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
IntRateForType 
Optional. Alphanumeric value indicating the type of IntRateFor 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 an equitylinked foreignexchange put option whose asset price 89 days from expiration is $35.5, the exercise price is of the option $1.75, the exchange rate is $2, the domestic riskfree interest rate is 8% per annum, the foreign riskfree interest rate is 6% per annum, the yield rate is 5% per annum, the annual volatility of the asset is 20%, the annual volatility of the exchange is 30%, and the correlation between the asset price and the currency rate is 0.6. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Domestic 
Foreign 
OptionType 
Put 

1 
Theoretical: 
0.812746 
16.653847 
Asset 
35.5 

2 
Delta: 
0.022894 
0.469122 
Strike 
1.75 

3 
Gamma: 
0.000000 
0.000000 
ExchangeRate 
2 

4 
Theta: 
0.011397 
0.118776 
TimeExpire 
89 

8 
Psi: 
0.001982 
0.040608 
VolAsset 
20% 

9 
Lambda: 
1.000000 
1.000000 
VolExch 
30% 

11 
Strike Sens: 
6.189512 
103.94654 
IntRateDom 
8% 

13 
Implied Strike: 
1.747928 
1.425723 
IntRateFor 
6% 

48 
Chi: 
0.158468 
2.661316 
YieldRate 
5% 

50 
Implied Corr.: 
0.680953 
14.607846 
Correlation 
0.6 

51 
Implied Vol. A: 
0.226985 
4.869281 
MarketPrice 
0.8 

52 
Implied Vol. E: 
0.298296 
0.119372 
TimeFormat 
Days 

53 
Rho Domestic: 
0.026411 
0.443553 



54 
Rho Foreign: 
0.026411 
0.443553 



55 
Exchange Sens: 
5.009450 
69.289928 



56 
Vega Vol. A: 
0.004754 
0.079839 



57 
Vega Vol. E: 
0.074977 
0.830642 
For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Currency Translated Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.