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oX_TwoAssetCorrelation( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_TwoAssetCorrelation(CallPut, ValueDate, ExpiryDate, SpotOne, SpotTwo, StrikeOne, StrikeTwo, RiskFree, CarryOne, CarryTwo, VolatilityOne, VolatilityTwo, Correlation, OutputFlag)

Calculates the option value and Greeks for a two-asset correlation option using Zhang's (1995) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

SpotOne

 

Current market price of the first underlying asset.

 

Double

 

SpotOne > 0

SpotTwo

 

Current market price of the second underlying asset.

 

Double

 

SpotTwo > 0

StrikeOne

 

First strike price of the option.

 

Double

 

StrikeOne > 0

StrikeTwo

 

Second strike price of the option.

 

Double

 

StrikeTwo > 0

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

 

VolatilityOne > 0

VolatilityTwo

 

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

 

Double

 

VolatilityTwo > 0

Correlation

 

Correlation between the prices of the first and second assets.

 

Double

 

Correlation > -1
Correlation < 1

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value
2 - Delta (Asset One)
3 - Delta (Asset Two)
4 - Gamma (Asset One)
5 - Gamma (Asset Two)
6 - Theta
7 - Vega (Asset One)
8 - Vega (Asset Two)
9 - Rho
10 - Phi (Asset One)
11 - Phi (Asset Two)
12 - Sensitivity to Payoff
13 - Sensitivity to Correlation

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