The CashOrNothingTA function calculates the theoretical price, sensitivities, the implied volatility, the implied strike and the implied correlation value of a European twoasset cashornothing option using Heynen and Kat’s model. See Binary Options for a further explanation.
CashOrNothingTA 
(OptionType, ModelStatistic, Asset1, Asset2, Strike1, Strike2, Payout, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, MarketPrice, TimeFormat, InterestType, YieldRate1Type, YieldRate2Type) 
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) •Up_Down = 3 or "u" (case insensitive) •Down_Up = 4 or "d" (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 •ImpliedCorr = 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. 
Payout 
The amount paid at expiration if the option is in the money. 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 YieldRate1Type 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 YieldType 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. 
YieldRate1Type 
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. 
YieldRate2Type 
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 cashornothing call where the option is 225 days from expiration, the first asset price is $83, the second asset price is $90, the first exercise price is $80, the second exercise price is $85, the payoff is $5, the riskfree interest rate is 8% per annum, the yield rate of the first and second assets are both 6% 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 of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
2.082812 
Asset1: 
83 

4 
Theta: 
0.001741 
Asset2: 
90 

7 
Rho: 
0.058231 
Strike1: 
80 

30 
Delta Asset 1: 
0.072603 
Strike2: 
85 

31 
Delta Asset 2: 
0.061145 
Payoff: 
5 

32 
Gamma 1: 
0.003094 
TimeExpire 
225 

33 
Gamma 2: 
0.004302 
Volatility1: 
25% 

34 
Implied Vol. 1: 
0.307022 
Volatility2: 
20% 

35 
Implied Vol. 2: 
0.241502 
InterestRate 
8% 

36 
Vega Vol. 1: 
0.016489 
YieldRate1: 
6% 

37 
Vega Vol. 2: 
0.022512 
YieldRate2: 
6% 

38 
Psi Yield 1: 
0.037147 
Correlation: 
0.5 

39 
Psi Yield 2: 
0.033923 
MarketPrice: 
2 

42 
Lambda 1: 
2.893245 
TimeFormat 
Days 

43 
Lambda 2: 
2.642146 



44 
Strike Sens 1: 
0.075326 



45 
Implied Strike 1: 
81.089004 



46 
Strike Sens 2: 
0.064742 



47 
Implied Strike 2: 
86.241444 



48 
Chi: 
0.818114 



50 
Implied Corr: 
0.395642 
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 Binary Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.