The DualStrikeBin function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of an American or European style dualstrike or reverse dual strike option using a three dimensional binomial model. See Multiple Asset Options for a further explanation.
DualStrikeBin 
(ModelType, ExerciseType, OptionType, ModelStatistic, Asset1, Asset2, Strike1, Strike2, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, Iterations, QtyAsset1, QtyAsset2, MarketPrice, TimeFormat, InterestType, YieldRate1Type, YieldRate2Type) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
ModelType 
Alphanumeric value indicating the type of dualstrike option: •Standard = 1 or “s” (Standard dualstrike option) •Reverse = 2 or “r” (Reverse dualstrike option) 
ExerciseType 
Alphanumeric value indicating the exercise type: •American = 0 or "a" (case insensitive) •European = 1 or "e" (case insensitive) 
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 •StrikeSensitivity1 = 44 •ImpliedStrike1 = 45 •StrikeSensitivity2 = 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. 
Iterations 
The number of iterations used for the model. Must be between 5 and 100. As the number of iterations increase, the time required for a calculation increases exponentially. Good results can be obtained with 30 iterations. 
QtyAsset1 
Optional. The quantity of asset one. If omitted, QtyAsset1=1. QtyAsset1 must be > 0. 
QtyAsset2 
Optional. The quantity of asset two. If omitted, QtyAsset2=1. QtyAsset2 must be > 0. 
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 reverse American style dualstrike call where the option is 180 days from expiration, the first asset price is $33, the second asset price is $28, the first exercise price is $35, the second exercise price is $30, the riskfree interest rate is 6% per annum, the yield rate of the first and second assets are both 2% per annum, the correlation is 0.3, the annual volatility of the first asset is 35%, and the annual volatility of the second asset is 25%. All rates are considered continuous, the quantities are set to 1 and Iterations = 10. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
ModelType 
Reverse 

1 
Theoretical: 
5.003526 
ExerciseType 
American 

4 
Theta: 
0.012664 
OptionType 
Call 

7 
Rho: 
0.009317 
Asset1: 
33 

30 
Delta Asset 1: 
0.379471 
Asset2: 
28 

31 
Delta Asset 2: 
0.451532 
Strike1: 
35 

32 
Gamma 1: 
0.034971 
Strike2: 
30 

33 
Gamma 2: 
0.061171 
TimeExpire 
180 

34 
Implied Vol. 1: 
0.349584 
Volatility1: 
35% 

35 
Implied Vol. 2: 
0.249497 
Volatility2: 
25% 

36 
Vega Vol. 1: 
0.084786 
IntRate 
6% 

37 
Vega Vol. 2: 
0.070057 
YieldRate1: 
2% 

38 
Psi Yield 1: 
0.061755 
YieldRate2: 
2% 

39 
Psi Yield 2: 
0.049703 
Correlation: 
0.3 

42 
Lambda 1: 
2.502746 
Iterations 
10 

43 
Lambda 2: 
2.526798 
QtyAsset1 
1 

44 
Strike Sens 1: 
0.287411 
QtyAsset2 
1 

45 
Implied Strike 1: 
35.012293 
MarketPrice: 
5 

46 
Strike Sens 2: 
0.506109 
TimeFormat 
Days 

47 
Implied Strike 2: 
29.993001 



48 
Chi: 
0.730448 



50 
Implied Corr: 
0.295041 
For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Multiple Asset Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.