AnalyticAmericanMargrabeEngine Class Reference

Analytic engine for American Margrabe option. More...

#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>

Inheritance diagram for AnalyticAmericanMargrabeEngine:

Public Member Functions

 AnalyticAmericanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< MargrabeOption::arguments, MargrabeOption::results >
MargrabeOption::arguments arguments_
 
MargrabeOption::results results_
 

Detailed Description

Analytic engine for American Margrabe option.

This class implements formulae from "The Value of an American Option to Exchange One Asset for Another", W. Margrabe, Journal of Finance, 33, 177-86.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.