The Exchange function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of an American or European exchange one asset for another option using Margrabe’s model. See Multiple Asset Options for a further explanation.
Exchange 
(ExerciseType, ModelStatistic, Asset1, Asset2, TimeExpire, Volatility1, Volatility2, YieldRate1, YieldRate2, Correlation, QtyAsset1, QtyAsset2, MarketPrice, TimeFormat, Yield1Type, Yield2Type) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
ExerciseType 
Alphanumeric value indicating the exercise type: •American = 0 or "a" (case insensitive) •European = 1 or "e" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Theta = 4 •Delta1 = 30 •Delta2 = 31 •Gamma1 = 32 •Gamma2 = 33 •ImpliedVol1 = 34 •ImpliedVol2 = 35 •Vega1 = 36 •Vega2 = 37 •Psi1 = 38 •Psi2 = 39 •Lambda1 = 42 •Lambda2 = 43 •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. 
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. 
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. 
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) 
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 European style exchange option which is 150 days from expiration, the first asset price is $23, the second asset price is $20, the yield rate of the first asset is 9% per annum, the yield rate of the second asset is 6% per annum, the correlation is 0.6, the annual volatility of the first asset is 25%, and the annual volatility of the second asset is 15%. All rates are considered continuous and the quantities are set to 1. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
ExerciseType 
European 

1 
Theoretical: 
2.876415 
Asset1: 
23 

4 
Theta: 
0.000129 
Asset2: 
20 

30 
Delta Asset 1: 
0.823934 
TimeExpire 
150 

31 
Delta Asset 2: 
0.803704 
Volatility1: 
25% 

32 
Gamma 1: 
0.074495 
Volatility2: 
15% 

33 
Gamma 2: 
0.098520 
YieldRate1: 
9% 

34 
Implied Vol. 1: 
0.292530 
YieldRate2: 
6% 

35 
Implied Vol. 2: 
0.025829 
Correlation: 
0.6 

36 
Vega Vol. 1: 
0.025911 
QtyAsset1 
1 

37 
Vega Vol. 2: 
0.000000 
QtyAsset2 
1 

38 
Psi Yield 1: 
0.077879 
MarketPrice: 
3 

39 
Psi Yield 2: 
0.066058 
TimeFormat 
Days 

42 
Lambda 1: 
6.588233 



43 
Lambda 2: 
5.588233 



48 
Chi: 
0.607287 



50 
Implied Corr: 
0.394422 
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.