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cnms2: Not that I ever doubted you, but I thought it was worth pointing out that our results are identical. Ref: Options as a Strategic Investment, Lawrence G. McMillan; pages 947-949 For those that are following this thread, here is the simple calculation for delta. Delta =...

cnms2: I appreciate it. I intend to take your code/results and compare it to what I posted. Thanks again.

For those interested, here are the Excel VBA functions for the calendar spread calculations: Function BlackScholes(Price As Double, Strike As Double, Time As Double, Deviation As Double, RiskFreeRate As Double, PCVar As String) Dim d As Double, C As String, P As String d = (LN(Price /...

Choad, Thanks. I took a quick glance through the code sample that you recommended. Now, that I have a working model. Would anyone be interested in testing it against one of their own. Thanks for sharing. Cheers.

All: Can someone direct me to a simple Excel spreadsheet that models the profit and loss profiles for calendar spreads? If this is not possible, maybe someone can direct me to pseudocode, algorithms, or any other information that may help me in producing such a spreadsheet? I have spent...