Start the Spread.exe:
Enter the input parameters and click the compute button.
Input parameters.
| Notation | Meaning | Units | Connection to math notation |
| F1 | Current price of the first asset. | Units of reference currency | F1=F1,0 |
| F2 | Current price of the 2nd asset. | Units of reference currency | F1=F2,0 |
| K | Strike | Units of reference currency | K=K |
| rate | Riskless (discount) rate | % | rate=100% r |
| Vol1 | Volatility of the first asset | % | Vol1=100% s1 |
| Vol2 | Volatility of the first asset | % | Vol2=100% s2 |
| Corr | Correlation of the assets | % | Corr=100% r |
| T | Time to expiration | years | T=T |
Output parameters.
| Notation | Meaning | Units | Connection to math notation |
| Premium | Premium | Units of reference currency | Premium=V |
| Delta1 | Delta of the first asset | Absolute number | Delta1=dV/dF1,0 |
| Delta2 | Delta of the second asset | Absolute number | Delta1=dV/dF2,0 |
| Rho | Rho | Currency/% | Rho=0.01 dV/dr |
| Vega1 | Vega of the first asset | Currency/% | Vega1=0.01 dV/ds1 |
| Vega2 | Vega of the second asset | Currency/% | Vega2=0.01 dV/ds2 |
| D Corr | Sensitivity to correlation | Currency/% | D Corr=0.01 dV/dr |
| Theta | Theta | Currency/years | Theta=-dV/dT |