Function rainbow_2colour(S1, S2, K, t, r, q1, q2, v1, v2, rho)
' Calculates the price of a (two-coloured rainbow) option delivering the best of two risky assets or cash
v = Sqr(v1 ^ 2 + v2 ^ 2 - 2 * v1 * v2 * rho)
rho1 = (rho * v2 - v1) / v
rho2 = (rho * v1 - v2) / v
X1 = d_1(S1, K, t, r, q1, v1)
X2 = d_1(S2, K, t, r, q2, v2)
Y1 = d_1(S1, S2, t, q2, q1, v)
Y2 = d_1(S2, S1, t, q1, q2, v)
part1 = S1 * Exp(-q1 * t) * (Gauss(Y1) - Henery(-X1, Y1, rho1))
part2 = S2 * Exp(-q2 * t) * (Gauss(Y2) - Henery(-X2, Y2, rho2))
part3 = K * Exp(-r * t) * Henery(-X1 + v1 * Sqr(t), -X2 + v2 * Sqr(t), rho)
rainbow_2colour = part1 + part2 + part3
End Function


Function rainbow_bestof2(S1, S2, t, q1, q2, v1, v2, rho)
v = Sqr(v1 ^ 2 + v2 ^ 2 - 2 * v1 * v2 * rho)
rho1 = (rho * v2 - v1) / v
rho2 = (rho * v1 - v2) / v
Y1 = d_1(S1, S2, t, q2, q1, v)
Y2 = d_1(S2, S1, t, q1, q2, v)
part1 = S1 * Exp(-q1 * t) * Gauss(Y1)
part2 = S2 * Exp(-q2 * t) * Gauss(Y2)
rainbow_bestof2 = part1 + part2
End Function