The ExchOnExch function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of a European exchange option on exchange option using Carr’s model. See Multiple Asset Options for a further explanation.
ExchOnExch 
(ExchangeType, ModelStatistic, Asset1, Asset2, QtyAsset2, TimeOption, TimeExpire, Volatility1, Volatility2, YieldRate1, YieldRate2, Correlation, MarketPrice, TimeFormat, Yield1Type, Yield2Type) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
ExchangeType 
Numeric value indicating the exchange option on exchange option type: •Asset2OptionAsset2For1 = 1 •Asset2For1OptionAsset2 = 2 •Asset2OptionAsset1For2 = 3 •Asset1For2OptionAsset2 = 4 
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. 
QtyAsset2 
The quantity of asset two. 
TimeOption 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the original options expiration. Must be > 0. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the underlying 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. 
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 an exchange option on exchange option where the original option expires in half a year and the underlying option expires in a year. The first asset price is $120, the second asset price is $102, the yield rate of the first asset is 8% per annum, the yield rate of the second asset is 6% per annum, the correlation is 0.51, the annual volatility of the first asset is 25%, and the annual volatility of the second asset is 35%. The quantity of asset two is 0.05 and ExchangeType = Asset2OptionAsset2For1. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
ExchangeType 
ExchExchFforA 

1 
Theoretical: 
16.900151 
Asset1: 
120 

4 
Theta: 
0.011596 
Asset2: 
102 

30 
Delta Asset 1: 
0.644764 
QtyAsset2 
0.05 

31 
Delta Asset 2: 
0.592858 
TimeOption 
0.5 

32 
Gamma 1: 
0.009854 
TimeExpire 
1 

33 
Gamma 2: 
0.013639 
Volatility1: 
25% 

34 
Implied Vol. 1: 
0.260837 
Volatility2: 
35% 

35 
Implied Vol. 2: 
0.353715 
YieldRate1: 
8% 

36 
Vega Vol. 1: 
0.085961 
YieldRate2: 
6% 

37 
Vega Vol. 2: 
0.267500 
Correlation: 
0.51 

38 
Psi Yield 1: 
0.776503 
MarketPrice: 
17 

39 
Psi Yield 2: 
0.586902 
TimeFormat 
Years 

42 
Lambda 1: 
4.578165 



43 
Lambda 2: 
3.578165 



48 
Chi: 
10.519678 



50 
Implied Corr: 
0.500473 
See Also
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.