OPT_ON_OPTIONS(type_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
type_flag: 'cc' for calls on calls, 'cp' for calls on puts, and so on for 'pc', and 'pp'
spot: spot price
strike1: strike price at which the option being valued is struck
strike2: strike price at which the underlying option is struck
time1: time in years to maturity of the option
time2: time in years to the maturity of the underlying option
rate: annualized risk-free interest rate
cost_of_carry: net cost of holding the underlying asset of the underlying option
volatility: annualized volatility in price of the underlying asset of the underlying option
For common stocks, cost_of_carry is the risk free rate less the dividend yield. time2 ≥ time1
OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA.