Quanto

High level graphic of Quanto() function with parameters. Blue square node is the actual function with the parameters ordered.

1. ValueDate parameter
   
   
   Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   For any input parameter within this function that represents a dividend rate, risk free rate, foreign rate or holding cost rate, these rates will be defined as annually compounded using the DayCounter defined within this parameter. Thus if 'actual365' is used for this 'dayCounter' parameter, then all input parameters that represent a dividend, risk free, foreign or holding cost rates will be defined as annually compounded Actual365 rates.
3. CallPut parameter
   
   
   Option Types (C)all or (P)ut
4. Ep parameter
   
   
   Predetermined exchange rate specified in units of domestic currency per unit of foreign currency.
5. S parameter
   
   
   Underlying price in foreign currency
6. X parameter
   
   
   Delivery price in foreign currency
7. T parameter
   
   
   Time to option maturity.
8. r parameter
   
   
   Domestic interest rate
9. rf parameter
   
   
   Foreign interest rate.
10. q parameter
    
    
    Instantaneous proportional dividend payout rate of the underlying asset
11. vS parameter
    
    
    Volatility of the underlying asset.
12. vE parameter
    
    
    Volatility of the domestic exchange rate.
13. rho parameter
    
    
    Correlation between the asset and the domestic exchange rate.
14. Greek parameter
    
    
    For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dEp' (for the 'Ep' parameter), 'dS' (for the 'S' parameter), 'dX' (for the 'X' parameter), 'dT' (for the 'T' parameter), 'dr' (for the 'r' parameter), 'drf' (for the 'rf' parameter), 'dq' (for the 'q' parameter), 'dvS' (for the 'vS' parameter), 'dvE' (for the 'vE' parameter), 'drho' (for the 'rho' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dSdS', 'dvSdvS', 'dSdvS'. )

Double CTExoticOptions.Quanto( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double Ep, _
Double S, _
Double X, _
Long T, _
Double r, _
Double rf, _
Double q, _
Double vS, _
Double vE, _
Double rho, _
String Greek)

=CT.EXO.Quanto(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell Ep,
Excel Numeric Cell S,
Excel Numeric Cell X,
Excel Numeric Cell T,
Excel Numeric Cell r,
Excel Numeric Cell rf,
Excel Numeric Cell q,
Excel Numeric Cell vS,
Excel Numeric Cell vE,
Excel Numeric Cell rho,
Excel String Cell Greek)

static double Quanto(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double Ep,
double S,
double X,
long T,
double r,
double rf,
double q,
double vS,
double vE,
double rho,
std::string Greek);

System.Double CTExoticOptionsSA.Quanto(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double Ep,
System.Double S,
System.Double X,
System.Int32 T,
System.Double r,
System.Double rf,
System.Double q,
System.Double vS,
System.Double vE,
System.Double rho,
System.String Greek);

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• Example Java Driver function. Preparing the parameters and the final function call (the result).