@FUNCTION=OPT_2_ASSET_CORRELATION
@SYNTAX=OPT_2_ASSET_CORRELATION(call_put_flag,spot1,spot2,strike1,strike2,time,cost_of_carry1,cost_of_carry2,rate,volatility1,volatility2,rho)
@DESCRIPTION=OPT_2_ASSET_CORRELATION models the theoretical price of options on 2 assets with correlation @rho.
The payoff for a call is max(@spot2 - @strike2,0) if @spot1 > @strike1 or 0 otherwise.
The payoff for a put is max (@strike2 - @spot2, 0) if @spot1 < @strike1 or 0 otherwise.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot1 & @spot2 are the spot prices of the underlying assets.
@strike1 & @strike2 are the strike prices at which the option is struck.
@time is the initial maturity of the option in years.
@rate is the annualized risk-free rate of interest.
@cost_of_carry1 & @cost_of_carry2 are the leakage in value of the underlying assets, for common stocks, this would be the dividend yield.
@volatility1 & @volatility2 are the annualized volatility in price of the underlying assets.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA
