GarmanKohlhagen

Garman-Kohlhagen — a European option on an FX rate quoted as units of domestic per unit of foreign. The foreign rate r_f acts as a continuous yield on the underlying, so the cost of carry is b = r_d - r_f and discounting is at the domestic rate r_d.

rho() is dV/dr_d (domestic rho, carry tracking); foreignRho is dV/dr_f.