BK_Quanto




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A fixed exchange-rate foreign-equity option (Quanto) is denominated in another currency than that of the underlying equity exposure.

The face value of the currency protection expands or contracts to cover changes in the foreign currency value of the underlying asset.

This function utilizes an analytical (closed-form) algorithm.

Note that the risk (greek) numbers produced are the mathematically defined equivalent of a derivative (instantaneous change).

You can convert the risk number to your own definition of risk by multiplying by the shift you require.

For example, for a typical definition of VANNA, (change in underlying and volatility), where one defines the change in the underlying as a single unit of change (1.0) and the change in volatility as a one percent change (0.01), simply multiply the VANNA result calculated by (1.0*0.01).

For VEGA, change in volatility of one percent (0.01), simply multiply the VEGA result by 0.01. Within option contracts THETA is negative, however the mathematically defined equivalent of THETA (instantaneous FORWARD change in time) is positive.

Internally we have negated this value for you.

To express THETA as THETA per day, simply multiply the THETA result by 1/365 or 1/252 (depending on whether you require calendar days or business days).

This function stores a portfolio of equity, commodities, futures or FX options in memory and returns a key.

This allows you to price or query the portfolio for different value dates via just the portfolio key.

You can price the portfolio via the PriceOptionBook() function.

You can view the trades within the portfolio via the DisplayOptionBook() function.

The DisplayOptionBook() function allows you to sort the portfolio using any column (or combination of columns).

A column is simply the NAME of any of the parameters within this function (excluding the 'TradeKey' and 'Reload' parameters).

In addition you can create a new portfolio object from this object by grouping trades within the portfolio, for example by Currency, Units, Sector etc..., using the GroupOptionBook() function.

You simply provide the NAME of the parameters that you wish to group.

Groups can represent more than one column and thus enables you to price a portion of the portfolio (a group) using the same PriceOptionBook() function.

You can view the grouped names within the grouped portfolio via the DisplayOptionGroups() function.

You can view the trades within a group via the DisplayGRPOptionBook() function.

Furthermore you can create a new portfolio from this portfolio object by selecting a portion of the trades (via a sql-like language).

Again this portfolio can be priced via the PriceOptionBook() function.

You can also execute the WriteXLRange(), WriteXLRange2() or WriteXLRange3() and the corresponding ReadXLRange(), ReadXLRange2() or ReadXLRange3() functions in order to read and write the portfolio data to file (XML).

WriteXLRange2() is preferable as you can save each of the ranges of this function to different slots (total of 15) within the XML file.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "Quanto"



Note: Within Excel, the function is named - CT.BK_Quanto


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



Parameter Description


  1. TradeKey parameter

    User Handle used to retrieve the object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when recomputing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. ID parameter

    Identifier of deal. Used in order to index within the portfolio.
  4. TAG parameter

    User defined Tag. The information within this column can be used within the 'CapeTools Select Sub-Portfolios' or 'CapeTools Group Sub-Portfolios' categories of functions.
  5. Ccy parameter

    Currency of the portfolio.
  6. Units parameter

    Number of option contracts you wish to trade in (positive value).
  7. Position parameter

    Whether you are long or short the option.
  8. CallPut parameter

    Option Types (C)all or (P)ut
  9. Ep parameter

    Predetermined exchange rate specified in units of domestic currency per unit of foreign currency.
  10. S parameter

    Underlying price in foreign currency
  11. X parameter

    Delivery price in foreign currency
  12. T parameter

    Time to option maturity.
  13. r parameter

    Domestic interest rate
  14. rf parameter

    Foreign interest rate.
  15. q parameter

    Instantaneous proportional dividend payout rate of the underlying asset
  16. vS parameter

    Volatility of the underlying asset.
  17. vE parameter

    Volatility of the domestic exchange rate.
  18. rho parameter

    Correlation between the asset and the domestic exchange rate.


Extended information

Function Syntax

VB Syntax 


String CTStorage.BK_Quanto( _
String TradeKey, _
Long Reload, _
Variant ID, _
Variant TAG, _
Variant Ccy, _
Variant Units, _
Variant Position, _
Variant CallPut, _
Variant Ep, _
Variant S, _
Variant X, _
Variant T, _
Variant r, _
Variant rf, _
Variant q, _
Variant vS, _
Variant vE, _
Variant rho)


Excel Spreadsheet Syntax 


=CT.BK_Quanto(
Excel String Cell TradeKey,
Excel Numeric Cell Reload,
XLRange ID,
XLRange TAG,
XLRange Ccy,
XLRange Units,
XLRange Position,
XLRange CallPut,
XLRange Ep,
XLRange S,
XLRange X,
XLRange T,
XLRange r,
XLRange rf,
XLRange q,
XLRange vS,
XLRange vE,
XLRange rho)


C++ Syntax 


static std::string BK_Quanto(
std::string TradeKey,
long Reload,
CTRangeDataCPP ID,
CTRangeDataCPP TAG,
CTRangeDataCPP Ccy,
CTRangeDataCPP Units,
CTRangeDataCPP Position,
CTRangeDataCPP CallPut,
CTRangeDataCPP Ep,
CTRangeDataCPP S,
CTRangeDataCPP X,
CTRangeDataCPP T,
CTRangeDataCPP r,
CTRangeDataCPP rf,
CTRangeDataCPP q,
CTRangeDataCPP vS,
CTRangeDataCPP vE,
CTRangeDataCPP rho);


DotNET Syntax 


System.String CTStorageSA.BK_Quanto(
System.String TradeKey,
System.Int32 Reload,
CTRangeData ID,
CTRangeData TAG,
CTRangeData Ccy,
CTRangeData Units,
CTRangeData Position,
CTRangeData CallPut,
CTRangeData Ep,
CTRangeData S,
CTRangeData X,
CTRangeData T,
CTRangeData r,
CTRangeData rf,
CTRangeData q,
CTRangeData vS,
CTRangeData vE,
CTRangeData rho);

Parameter data types

ArgNameArgTypeIsKey
TradeKeyStringFALSE
ReloadLongFALSE
IDRangeFALSE
TAGRangeFALSE
CcyRangeFALSE
UnitsRangeFALSE
PositionRangeFALSE
CallPutRangeFALSE
EpRangeFALSE
SRangeFALSE
XRangeFALSE
TRangeFALSE
rRangeFALSE
rfRangeFALSE
qRangeFALSE
vSRangeFALSE
vERangeFALSE
rhoRangeFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
TradeKeyFALSEMyBK_QuantoDeal
ReloadFALSE1
IDFALSEBK_Quanto_ID_Range (creates a range object)
TAGFALSEBK_Quanto_TAG_Range (creates a range object)
CcyFALSEBK_Quanto_Ccy_Range (creates a range object)
UnitsFALSEBK_Quanto_Units_Range (creates a range object)
PositionFALSEBK_Quanto_Position_Range (creates a range object)
CallPutFALSEBK_Quanto_CallPut_Range (creates a range object)
EpFALSEBK_Quanto_Ep_Range (creates a range object)
SFALSEBK_Quanto_S_Range (creates a range object)
XFALSEBK_Quanto_X_Range (creates a range object)
TFALSEBK_Quanto_T_Range (creates a range object)
rFALSEBK_Quanto_r_Range (creates a range object)
rfFALSEBK_Quanto_rf_Range (creates a range object)
qFALSEBK_Quanto_q_Range (creates a range object)
vSFALSEBK_Quanto_vS_Range (creates a range object)
vEFALSEBK_Quanto_vE_Range (creates a range object)
rhoFALSEBK_Quanto_rho_Range (creates a range object)


Example range for parameter : ID

Within Excel, a range such as this can be passed directly into the ID parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : ID 


CTQL.CTRangeData BK_Quanto_ID;


string[] arrBBK_Quanto_ID = {
"DEAL-11",
"DEAL-12",
"DEAL-13",
"DEAL-14",
"DEAL-15",
"DEAL-16",
"DEAL-17",
"DEAL-18",
"DEAL-19",
"DEAL-20",
"DEAL-21",
"DEAL-22",
"DEAL-23",
"DEAL-24",
"DEAL-25",
"DEAL-26",
"DEAL-27",
"DEAL-28",
"DEAL-29",
"DEAL-30"  //  Array Data

};

CTQL.StringVector arrBK_Quanto_ID =
new  CTQL.StringVector(arrBBK_Quanto_ID);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_ID = new  CTQL.CTRangeData(arrBK_Quanto_ID, false);

Example range for parameter : TAG

Within Excel, a range such as this can be passed directly into the TAG parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : TAG 


CTQL.CTRangeData BK_Quanto_TAG;


string[] arrBBK_Quanto_TAG = {
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2"  //  Array Data

};

CTQL.StringVector arrBK_Quanto_TAG =
new  CTQL.StringVector(arrBBK_Quanto_TAG);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_TAG = new  CTQL.CTRangeData(arrBK_Quanto_TAG, false);

Example range for parameter : Ccy

Within Excel, a range such as this can be passed directly into the Ccy parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Ccy 


CTQL.CTRangeData BK_Quanto_Ccy;


string[] arrBBK_Quanto_Ccy = {
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"GBP"  //  Array Data

};

CTQL.StringVector arrBK_Quanto_Ccy =
new  CTQL.StringVector(arrBBK_Quanto_Ccy);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_Ccy = new  CTQL.CTRangeData(arrBK_Quanto_Ccy, false);

Example range for parameter : Units

Within Excel, a range such as this can be passed directly into the Units parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Units 


CTQL.CTRangeData BK_Quanto_Units;


int[] arrBBK_Quanto_Units = {
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1  //  Array Data

};

CTQL.IntVector arrBK_Quanto_Units =
new  CTQL.IntVector(arrBBK_Quanto_Units);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_Units = new  CTQL.CTRangeData(arrBK_Quanto_Units, false);

Example range for parameter : Position

Within Excel, a range such as this can be passed directly into the Position parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Position 


CTQL.CTRangeData BK_Quanto_Position;


string[] arrBBK_Quanto_Position = {
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG"  //  Array Data

};

CTQL.StringVector arrBK_Quanto_Position =
new  CTQL.StringVector(arrBBK_Quanto_Position);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_Position = new  CTQL.CTRangeData(arrBK_Quanto_Position, false);

Example range for parameter : CallPut

Within Excel, a range such as this can be passed directly into the CallPut parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : CallPut 


CTQL.CTRangeData BK_Quanto_CallPut;


string[] arrBBK_Quanto_CallPut = {
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call",
"Call"  //  Array Data

};

CTQL.StringVector arrBK_Quanto_CallPut =
new  CTQL.StringVector(arrBBK_Quanto_CallPut);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_CallPut = new  CTQL.CTRangeData(arrBK_Quanto_CallPut, false);

Example range for parameter : Ep

Within Excel, a range such as this can be passed directly into the Ep parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Ep 


CTQL.CTRangeData BK_Quanto_Ep;


double[] arrBBK_Quanto_Ep = {
1.437,
1.5684,
1.5456,
1.5304,
1.4331,
1.5352,
1.5546,
1.5507,
1.6056,
1.593,
1.5308,
1.5489,
1.6064,
1.3794,
1.3799,
1.451,
1.5261,
1.6164,
1.3551,
1.5  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_Ep =
new  CTQL.DoubleVector(arrBBK_Quanto_Ep);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_Ep = new  CTQL.CTRangeData(arrBK_Quanto_Ep, false);

Example range for parameter : S

Within Excel, a range such as this can be passed directly into the S parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : S 


CTQL.CTRangeData BK_Quanto_S;


double[] arrBBK_Quanto_S = {
109.8159,
101.1965,
93.3278,
101.8645,
90.213,
97.0413,
99.685,
106.118,
92.4769,
90.1762,
105.5,
98.0138,
93.7672,
100.373,
97.7076,
97.9974,
108.997,
94.1416,
103.0278,
100.0  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_S =
new  CTQL.DoubleVector(arrBBK_Quanto_S);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_S = new  CTQL.CTRangeData(arrBK_Quanto_S, false);

Example range for parameter : X

Within Excel, a range such as this can be passed directly into the X parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : X 


CTQL.CTRangeData BK_Quanto_X;


int[] arrBBK_Quanto_X = {
96,
106,
110,
96,
101,
101,
115,
95,
99,
114,
102,
102,
107,
112,
97,
96,
110,
110,
107,
105  //  Array Data

};

CTQL.IntVector arrBK_Quanto_X =
new  CTQL.IntVector(arrBBK_Quanto_X);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_X = new  CTQL.CTRangeData(arrBK_Quanto_X, false);

Example range for parameter : T

Within Excel, a range such as this can be passed directly into the T parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : T 


CTQL.CTRangeData BK_Quanto_T;


int[] arrBBK_Quanto_T = {
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrBK_Quanto_T =
new  CTQL.IntVector(arrBBK_Quanto_T);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_T = new  CTQL.CTRangeData(arrBK_Quanto_T, false);

Example range for parameter : r

Within Excel, a range such as this can be passed directly into the r parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : r 


CTQL.CTRangeData BK_Quanto_r;


double[] arrBBK_Quanto_r = {
0.0815,
0.0834,
0.0753,
0.0853,
0.0817,
0.0806,
0.0782,
0.0811,
0.0842,
0.0748,
0.0787,
0.0867,
0.0826,
0.0858,
0.0782,
0.0745,
0.0844,
0.0768,
0.0723,
0.08  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_r =
new  CTQL.DoubleVector(arrBBK_Quanto_r);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_r = new  CTQL.CTRangeData(arrBK_Quanto_r, false);

Example range for parameter : rf

Within Excel, a range such as this can be passed directly into the rf parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : rf 


CTQL.CTRangeData BK_Quanto_rf;


double[] arrBBK_Quanto_rf = {
0.0527,
0.048,
0.0513,
0.0484,
0.0527,
0.0529,
0.0548,
0.0455,
0.0515,
0.0486,
0.0536,
0.0544,
0.0511,
0.0528,
0.0547,
0.0524,
0.0457,
0.0457,
0.0484,
0.05  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_rf =
new  CTQL.DoubleVector(arrBBK_Quanto_rf);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_rf = new  CTQL.CTRangeData(arrBK_Quanto_rf, false);

Example range for parameter : q

Within Excel, a range such as this can be passed directly into the q parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : q 


CTQL.CTRangeData BK_Quanto_q;


double[] arrBBK_Quanto_q = {
0.0405,
0.0403,
0.0434,
0.0363,
0.0382,
0.0402,
0.042,
0.0389,
0.0371,
0.0414,
0.0391,
0.04,
0.0428,
0.0393,
0.0424,
0.0409,
0.0419,
0.0387,
0.0404,
0.04  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_q =
new  CTQL.DoubleVector(arrBBK_Quanto_q);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_q = new  CTQL.CTRangeData(arrBK_Quanto_q, false);

Example range for parameter : vS

Within Excel, a range such as this can be passed directly into the vS parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : vS 


CTQL.CTRangeData BK_Quanto_vS;


double[] arrBBK_Quanto_vS = {
0.2161,
0.184,
0.2014,
0.1829,
0.1853,
0.1949,
0.1835,
0.203,
0.1958,
0.2006,
0.1841,
0.1976,
0.1926,
0.1991,
0.1922,
0.2124,
0.2005,
0.1881,
0.197,
0.20  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_vS =
new  CTQL.DoubleVector(arrBBK_Quanto_vS);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_vS = new  CTQL.CTRangeData(arrBK_Quanto_vS, false);

Example range for parameter : vE

Within Excel, a range such as this can be passed directly into the vE parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : vE 


CTQL.CTRangeData BK_Quanto_vE;


double[] arrBBK_Quanto_vE = {
0.0982,
0.0969,
0.1064,
0.095,
0.0966,
0.093,
0.1092,
0.0982,
0.0971,
0.1062,
0.0903,
0.0982,
0.0922,
0.1005,
0.0934,
0.095,
0.1083,
0.0978,
0.1098,
0.10  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_vE =
new  CTQL.DoubleVector(arrBBK_Quanto_vE);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_vE = new  CTQL.CTRangeData(arrBK_Quanto_vE, false);

Example range for parameter : rho

Within Excel, a range such as this can be passed directly into the rho parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : rho 


CTQL.CTRangeData BK_Quanto_rho;


double[] arrBBK_Quanto_rho = {
0.2792,
0.3222,
0.3018,
0.3034,
0.2789,
0.2874,
0.2882,
0.2931,
0.2978,
0.2814,
0.2887,
0.2988,
0.2738,
0.3296,
0.2911,
0.2863,
0.2829,
0.2823,
0.3278,
0.3  //  Array Data

};

CTQL.DoubleVector arrBK_Quanto_rho =
new  CTQL.DoubleVector(arrBBK_Quanto_rho);

// Second parameter determines whether the array is a column array (false) or a row array (true)
BK_Quanto_rho = new  CTQL.CTRangeData(arrBK_Quanto_rho, false);


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.OptionPortfolios20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the BK_Quanto() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the BK_Quanto() function call


MyBK_QuantoDeal_39.Quanto.0

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