The Artificial Pancreas (AP) is a new technology for helping people with type 1 diabetes to better control their glucose levels through automated delivery of insulin and optionally glucagon in response to sensed glucose levels. In a dual hormone AP, insulin and glucagon are delivered automatically to the body based on glucose sensor measurements using a control algorithm that calculates the amount of hormones to be infused. A dual-hormone MPC may deliver insulin continuously; however, it must avoid continuous delivery of glucagon because nausea can occur from too much glucagon. In this paper, we propose a novel dual-hormone (DH) switching model predictive control and compare it with a single-hormone (SH) MPC. We extended both MPCs by integrating an exercise model and compared performance with and without the exercise model included. Results were obtained on a virtual patient population undergoing a simulated exercise event using a mathematical glucoregulatory model that includes exercise. Time spent in hypoglycemia is significantly less with the DH-MPC than the SH-MPC (p=0.0022). Additionally, including the exercise model in the DH-MPC can help prevent hypoglycemia (p < 0.001).