WebCab XL Community Edition

EuropeanTheta.CallThetaOnCurrency Method (Double, Double, Double, Double, Double, Double)

Returns the theta of a European call option on a currency.

public double CallThetaOnCurrency(
   double Interest,
   double ExchangeRate,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   double TimeToMaturity
);

Parameters

Interest
The continuously compounded risk free interest rate on the foreign currency.
ExchangeRate
The exchange rate.
Strike
The exchange rate at which the currency option is exercised at.
RiskFreeRate
The continuously compounded risk free interest rate in the base currency.
Volatility
The volatility of the exchange rate.
TimeToMaturity
The time until the option expires.

Remarks

The full name of this function inside Excel is Option_EuropeanTheta_CallThetaOnCurrency_ByTimeSpans.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.CallThetaOnCurrency Overload List