TwoAssetCorrelation

High level graphic of TwoAssetCorrelation() function with parameters. Blue square node is the actual function with the parameters ordered.

1. ValueDate parameter
   
   
   Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   For any input parameter within this function that represents a dividend rate, risk free rate, foreign rate or holding cost rate, these rates will be defined as annually compounded using the DayCounter defined within this parameter. Thus if 'actual365' is used for this 'dayCounter' parameter, then all input parameters that represent a dividend, risk free, foreign or holding cost rates will be defined as annually compounded Actual365 rates.
3. CallPut parameter
   
   
   Option Types (C)all or (P)ut
4. Underlying1 parameter
   
   
   Price of the first underlying
5. Underlying2 parameter
   
   
   Price of the second underlying
6. Strike1 parameter
   
   
   Strike price of underlying Price1.
7. Strike2 parameter
   
   
   Strike price of underlying Price2.
8. Time parameter
   
   
   Expiration date of the option.
9. b1 parameter
   
   
   For the first underlying (equity, futures, FX or commodity), this should be an annualised rate (dividend rate, risk free rate, foreign rate or holding cost rate respectively). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the foreign rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the domestic rate.
10. b2 parameter
    
    
    For the second underlying (equity, futures, FX or commodity), this should be an annualised rate (dividend rate, risk free rate, foreign rate or holding cost rate respectively). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the foreign rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the domestic rate.
11. Rate parameter
    
    
    For the underlying (equity, futures, FX or commodity), this should be an annualised rate (risk free rate or foreign rate). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the domestic rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the foreign rate.
12. Vol1 parameter
    
    
    Volatility of the underlying Price1.
13. Vol2 parameter
    
    
    Volatility of the underlying Price2.
14. Rho parameter
    
    
    Correlation between the two assets.
15. Greek parameter
    
    
    For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dUnderlying1' (for the 'Underlying1' parameter), 'dUnderlying2' (for the 'Underlying2' parameter), 'dStrike1' (for the 'Strike1' parameter), 'dStrike2' (for the 'Strike2' parameter), 'dTime' (for the 'Time' parameter), 'db1' (for the 'b1' parameter), 'db2' (for the 'b2' parameter), 'dRate' (for the 'Rate' parameter), 'dVol1' (for the 'Vol1' parameter), 'dVol2' (for the 'Vol2' parameter), 'dRho' (for the 'Rho' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dUnderlying1dUnderlying1', 'dVol1dVol1', 'dUnderlying1dVol1'. )

Double CTExoticOptions.TwoAssetCorrelation( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double Underlying1, _
Double Underlying2, _
Double Strike1, _
Double Strike2, _
Long Time, _
Double b1, _
Double b2, _
Double Rate, _
Double Vol1, _
Double Vol2, _
Double Rho, _
String Greek)

=CT.EXO.TwoAssetCorrelation(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell Underlying1,
Excel Numeric Cell Underlying2,
Excel Numeric Cell Strike1,
Excel Numeric Cell Strike2,
Excel Numeric Cell Time,
Excel Numeric Cell b1,
Excel Numeric Cell b2,
Excel Numeric Cell Rate,
Excel Numeric Cell Vol1,
Excel Numeric Cell Vol2,
Excel Numeric Cell Rho,
Excel String Cell Greek)

static double TwoAssetCorrelation(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double Underlying1,
double Underlying2,
double Strike1,
double Strike2,
long Time,
double b1,
double b2,
double Rate,
double Vol1,
double Vol2,
double Rho,
std::string Greek);

System.Double CTExoticOptionsSA.TwoAssetCorrelation(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double Underlying1,
System.Double Underlying2,
System.Double Strike1,
System.Double Strike2,
System.Int32 Time,
System.Double b1,
System.Double b2,
System.Double Rate,
System.Double Vol1,
System.Double Vol2,
System.Double Rho,
System.String Greek);

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
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• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).