ExchOnExch

(ExchangeType, ModelStatistic, Asset1, Asset2, QtyAsset2, TimeOption, TimeExpire, Volatility1, Volatility2, YieldRate1, YieldRate2, Correlation, MarketPrice, TimeFormat, Yield1Type, Yield2Type)

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.

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

Dual Strike

Exchange

Exchange Binomial

Portfolio

Rainbow

Rainbow Binomial

Spread

Spread Binomial

Two Asset Correlation