text_combined: spread option code change zhiyang zhiyun vince told london trouble calculate spread option correl 1 voll vol 2 case effective volatility becomes zero option zero time value modified unitcorrpremium routine force code treat situation special case returns discounted intrinsic value please incorporate chang code longer cause problems happen first place questions please let know zimin double unitcorrpremium double sl double 2 double strike double r double ql double q 2 double voll double vol 2 double correl double tmat int opttype double retval tmat 0 0 return intrinsic sl 2 strike opttype look right change two lines 1 0 correl tiny setup sl 2 strike r ql q 2 voll vol 2 correl tmat opttype retval disc gauherint ffuncoc sqrtpi else retval disc gauherint ffuncop sqrtpi return retval