The TakeoverFX function calculates the theoretical price, sensitivities, the implied volatility, the implied strike, and the implied correlation value of a European takeover foreign exchange call option using a model developed by Schnabel and Wei (1994). See Currency Translated Options for a further explanation.
Syntax
TakeoverFX 
(ModelStatistic, ValueFirm, NumCurrency, Strike, ExchangeRate, TimeExpire, VolFirm, VolExch, IntRateDom, IntRateFor, Correlation, MarketPrice, TimeFormat, IntRateDomType, IntRateForType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •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) •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) 
ValueFirm 
The value of the foreign firm in the foreign currency. Must be > 0. 
NumCurrency 
The number of currency units at the option expiration. 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. 
VolFirm 
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 IntRateForType argument. Must be > 0. 
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. 
Example
Calculate all of functions for a Takeover ForeignExchange call option on a firm whose value 0.5 years from expiration is $65, the number of currency units is 60, the exercise price is $1.0, the exchange rate is $1.5, the domestic riskfree interest rate is 8% per annum, the foreign riskfree interest rate is 6% per annum, the annual volatility of the firm is 40%, the annual volatility of the exchange is 12%, and the correlation between the asset price and the currency rate is 0.4. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
ValueFirm 
65 

1 
Theoretical: 
11.182581 
NumCurrency 
60 

2 
Delta: 
0.615329 
Strike 
1 

3 
Gamma: 
0.020011 
ExchangeRate 
1.5 

4 
Theta: 
0.007250 
TimeExpire 
0.5 

9 
Lambda: 
3.576666 
VolFirm 
40% 

11 
Strike Sens: 
23.946199 
VolExch 
12% 

13 
Implied Strike: 
1.007625 
IntRateDom 
8% 

48 
Chi: 
1.907386 
IntRateFor 
6% 

50 
Implied Corr.: 
0.495641 
Correlation 
0.4 

51 
Implied Vol. A: 
0.388068 
MarketPrice 
11 

52 
Implied Vol. E: 
0.893261 
TimeFormat 
Years 

53 
Rho Domestic: 
0.119731 



54 
Rho Foreign: 
0.375626 



55 
Exchange Sens: 
23.419186 



56 
Vega Vol. A: 
0.150029 



57 
Vega Vol. E: 
0.063578 
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.