Component 
Resolution  Exotic Options 




Function Definition 
oX_TwoAssetCashOrNothing_Imp(OptionValue, AssetOneUpDown, AssetTwoUpDown, ValueDate, ExpiryDate, SpotOne, SpotTwo, StrikeOne, StrikeTwo, Payoff, RiskFree, CarryOne, CarryTwo, VolatilityOne, VolatilityTwo, Correlation, OutputFlag) Given an option value, calculates an implied value for a twoasset cashornothing option using Heynen and Kat's (1996) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


AssetOneUpDown 

Barrier direction. 

Enumerated Constant 

1  Up 

AssetTwoUpDown 

Barrier direction. 

Enumerated Constant 

1  Up 

ValueDate 

Valuation date. 

Date 


ExpiryDate 

Expiry date of the option. 

Date 


SpotOne 

Current market price of the first underlying asset. 

Double 


SpotTwo 

Current market price of the second underlying asset. 

Double 


StrikeOne 

Strike price for the first asset. 

Double 


StrikeTwo 

Strike price for the second asset. 

Double 


Payoff 

Amount paid out if the option expires in the money. 

Double 


RiskFree 

Risk free interest rate, expressed as an annually compounded Actual 365 rate. 

Double 


CarryOne 

Net cost of carry of the first underlying asset, expressed as an annually compounded Actual 365 rate. 

Double 


CarryTwo 

Net cost of carry of the second underlying asset, expressed as an annually compounded Actual 365 rate. 

Double 


VolatilityOne 

Annualized volatility of the first underlying asset, expressed as a decimal. 

Double 


VolatilityTwo 

Annualized volatility of the second underlying asset, expressed as a decimal. 

Double 


Correlation 

Correlation between the prices of the first and second assets. 

Double 

Correlation > 1 

OutputFlag 

Indicates which implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank. 

Enumerated Constant 

1  Spot One 
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