ExchangeBin

(ExerciseType, ModelStatistic, Asset1, Asset2, TimeExpire, Volatility1, Volatility2, YieldRate1, YieldRate2, Correlation, Iterations, QtyAsset1, QtyAsset2, MarketPrice, TimeFormat, Yield1Type, Yield2Type)

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 = 20

•Delta2 = 21

•Gamma1 = 22

•Gamma2 = 23

•ImpliedVol1 = 24

•ImpliedVol2 = 25

•Vega1 = 26

•Vega2 = 27

•Psi1 = 30

•Psi2 = 31

•Lambda1 = 32

•Lambda2 = 33

•Chi = 38

•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.

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)

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.

Calculate all of functions of a American style exchange option which is 60 days from expiration, the first asset price is $47, the second asset price is $50, the yield rate of the first asset is 6% per annum, the yield rate of the second asset is 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, the quantities are set to 1 and Iterations = 50. So,

Input

Output

Variable

Value

Function

Name

Value

ExerciseType

American

1

Theoretical:

0.694515

Asset1:

47

4

Theta:

-0.012267

Asset2:

50

30

Delta Asset 1:

0.273086

TimeExpire

60

31

Delta Asset 2:

-0.242810

Volatility1:

25%

32

Gamma 1:

0.070279

Volatility2:

20%

33

Gamma 2:

0.064428

YieldRate1:

6%

34

Implied Vol. 1:

0.314949

YieldRate2:

7%

35

Implied Vol. 2:

0.296042

Correlation:

0.5

36

Vega Vol. 1:

0.041189

Iterations

50

37

Vega Vol. 2:

0.020801

QtyAsset1

1

38

Psi Yield 1:

-0.020959

QtyAsset2

1

38

Psi Yield 2:

0.019841

MarketPrice:

1

42

Lambda 1:

18.480556

TimeFormat

Days

43

Lambda 2:

17.480556

48

Chi:

-1.376484

50

Implied Corr:

0.263449

Dual Strike

Exchange

Exchange on Exchange

Portfolio

Rainbow

Rainbow Binomial

Spread

Spread Binomial

Two Asset Correlation