OPT_2_ASSET_CORRELATION(call_put_flag,spot1,spot2,strike1,strike2,time,cost_of_carry1,cost_of_carry2,rate,volatility1,volatility2,rho)
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.
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.