SOLVETakeoverFXoption

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

1. ValueDate parameter
   
   
   This parameter cannot be solved for. Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   This parameter cannot be solved for. 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. PremiumVal parameter
   
   
   This parameter cannot be solved for. Premium Value that will be tested against.
4. SolverKey parameter
   
   
   This parameter cannot be solved for. Key to an already created Solver object (Within the 'CapeTools One-Dimensional Solvers' category of functions).
5. tolerance parameter
   
   
   This parameter cannot be solved for. tolerance (ie - 0.0001).
6. v parameter
   
   
   Value of foreign firm.
7. b parameter
   
   
   Number of currency units.
8. E parameter
   
   
   Exchange rate specified in units of domestic currency per unit of foreign currency.
9. X parameter
   
   
   Strike price in domestic currency
10. T parameter
    
    
    This parameter cannot be solved for. Time to option maturity.
11. r parameter
    
    
    Domestic interest rate
12. rf parameter
    
    
    Foreign interest rate.
13. vV parameter
    
    
    Volatility of the foreign firm.
14. vE parameter
    
    
    Volatility of the domestic exchange rate.
15. rho parameter
    
    
    Correlation between the foreign firm and the domestic exchange rate.
16. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVETakeoverFXoption( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
Double v, _
Double b, _
Double E, _
Double X, _
Long T, _
Double r, _
Double rf, _
Double vV, _
Double vE, _
Double rho, _
String SolveFor)

=CT.SOLVETakeoverFXoption(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell PremiumVal,
Excel String Cell SolverKey,
Excel Numeric Cell tolerance,
Excel Numeric Cell v,
Excel Numeric Cell b,
Excel Numeric Cell E,
Excel Numeric Cell X,
Excel Numeric Cell T,
Excel Numeric Cell r,
Excel Numeric Cell rf,
Excel Numeric Cell vV,
Excel Numeric Cell vE,
Excel Numeric Cell rho,
Excel String Cell SolveFor)

static double SOLVETakeoverFXoption(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
double v,
double b,
double E,
double X,
long T,
double r,
double rf,
double vV,
double vE,
double rho,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVETakeoverFXoption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
System.Double v,
System.Double b,
System.Double E,
System.Double X,
System.Int32 T,
System.Double r,
System.Double rf,
System.Double vV,
System.Double vE,
System.Double rho,
System.String SolveFor);

• Brent() ( CT.QL.Models20 )
• SOLVETakeoverFXoption() ( CT.QL.Pricing20 )

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