The TwoAssetCorr function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of a European twoasset correlation option using Zhang’s model. See Multiple Asset Options for a further explanation.
TwoAssetCorr 
(OptionType, ModelStatistic, Asset1, Asset2, Strike1. Strike2, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, MarketPrice, TimeFormat, InterestType, Yield1Type, Yield2Type) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Theta = 4 •Rho = 7 •Delta1 = 30 •Delta2 = 31 •Gamma1 = 32 •Gamma2 = 33 •ImpliedVol1 = 34 •ImpliedVol2 = 35 •Vega1 = 36 •Vega2 = 37 •Psi1 = 38 •Psi2 = 39 •Lambda1 = 42 •Lambda2 = 43 •StrikeSens1 = 44 •ImpliedStrike1 = 45 •StrikeSens2 = 46 •ImpliedStrike2 = 47 •Chi = 48 •ImpliedCorrelation = 50 
Asset1 
The price of the underlying asset one. Must be > 0. 
Asset2 
The price of the underlying asset two. Must be > 0. 
Strike1 
The price at which the asset one can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
Strike2 
The price at which the asset two can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility1 
Annualized volatility of the asset one. Must be > 0. 
Volatility2 
Annualized volatility of the asset two. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate1 
Yield, expressed as a percentage (dividends or interest yield), of the first underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the Yield1Type argument. 
YieldRate2 
Yield, expressed as a percentage (dividends or interest yield), of the second underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the Yield2Type argument. 
Correlation 
The correlation between the first underlying asset price and the second underlying asset price. Must be 1 < Correlation < 1. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Yield1Type 
Optional. Alphanumeric value indicating the type of YieldRate1 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Yield2Type 
Optional. Alphanumeric value indicating the type of YieldRate2 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions of a twoasset correlation call where the option is 75 days from expiration, the first asset price is $96, the second asset price is $104, the first exercise price is $95, the second exercise price is $100, the riskfree interest rate is 6% per annum, the yield rate of the first and second assets are both 3% per annum, the correlation is 0.4, the annual volatility of the first asset is 30%, and the annual volatility of the second asset is 25%. All rates are considered continuous and the quantities are set to 1. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
5.023962 
Asset1: 
96 

4 
Theta: 
0.022414 
Asset2: 
104 

7 
Rho: 
0.119584 
Strike1: 
95 

30 
Delta Asset 1: 
0.202196 
Strike2: 
100 

31 
Delta Asset 2: 
0.421254 
TimeExpire 
75 

32 
Gamma 1: 
0.010312 
Volatility1: 
30% 

33 
Gamma 2: 
0.014057 
Volatility2: 
25% 

34 
Implied Vol. 1: 
0.314717 
InterestRate 
6% 

35 
Implied Vol. 2: 
0.248132 
YieldRate1: 
3% 

36 
Vega Vol. 1: 
0.016747 
YieldRate2: 
3% 

37 
Vega Vol. 2: 
0.128356 
Correlation: 
0.4 

38 
Psi Yield 1: 
0.039885 
MarketPrice: 
5 

39 
Psi Yield 2: 
0.090021 
TimeFormat 
Days 

42 
Lambda 1: 
3.863651 



43 
Lambda 2: 
8.720298 



44 
Strike Sens 1: 
0.204325 



45 
Implied Strike 1: 
95.117063 



46 
Strike Sens 2: 
0.387865 



47 
Implied Strike 2: 
100.061855 



48 
Chi: 
3.141151 



50 
Implied Corr: 
0.392371 
See Also