Component 
Resolution  Exotic Options 




Function Definition 
oX_TwoAssetCorrelation_Imp(OptionValue, CallPut, ValueDate, ExpiryDate, SpotOne, SpotTwo, StrikeOne, StrikeTwo, RiskFree, CarryOne, CarryTwo, VolatilityOne, VolatilityTwo, Correlation, OutputFlag) Given the option value, calculates an implied value for a twoasset correlation option using Zhang's (1995) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


CallPut 

Option type. 

Enumerated Constant 

1  Call 

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 


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 

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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