The Spread function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of a European style spread option using GaussLegendre integration and the BlackScholes model. See Multiple Asset Options for a further explanation.
Spread 
(OptionType, ModelStatistic, Asset1, Asset2, Strike, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, QtyAsset1, QtyAsset2, 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 •StrikeSensitivity = 11 •ImpliedStrike = 13 •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. 
Strike 
The price at which the asset 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. 
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 European style spread call option where the option is 180 days from expiration. The first asset price is $95, the second asset price is $89, the exercise price is $10, the riskfree interest rate is 8% per annum, the yield rate of the first and second assets are both 7% per annum, the correlation is 0.5, the annual volatility of the first asset is 25%, and the annual volatility of the second asset is 20%. All rates are considered continuous and the quantities are set to 1. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
4.143476 
Asset1: 
95 

4 
Theta: 
0.014996 
Asset2: 
89 

7 
Rho: 
0.017987 
Strike: 
10 

11 
Strike Sensitivity: 
0.364732 
TimeExpire 
180 

13 
Implied Strike: 
10.398598 
Volatility1: 
25% 

30 
Delta Asset 1: 
0.413641 
Volatility2: 
20% 

31 
Delta Asset 2: 
0.353989 
InterestRate 
8% 

32 
Gamma 1: 
0.025452 
YieldRate1: 
7% 

33 
Gamma 2: 
0.023411 
YieldRate2: 
7% 

34 
Implied Vol. 1: 
0.241985 
Correlation: 
0.5 

35 
Implied Vol. 2: 
0.114090 
QtyAsset1 
1 

36 
Vega Vol. 1: 
0.181410 
QtyAsset2 
1 

37 
Vega Vol. 2: 
0.055675 
MarketPrice: 
4 

38 
Psi Yield 1: 
0.193788 
TimeFormat 
Days 

39 
Psi Yield 2: 
0.155367 



42 
Lambda 1: 
9.483791 



43 
Lambda 2: 
7.603535 



48 
Chi: 
5.087923 



50 
Implied Corr: 
0.527862 
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.