AnalyticEuropeanMargrabeEngine Class Reference

Analytic engine for European Margrabe option. More...

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

Inheritance diagram for AnalyticEuropeanMargrabeEngine:

Public Member Functions

 AnalyticEuropeanMargrabeEngine (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 European Margrabe option.

This class implements formulae from "The Value of an Option to Exchange One Asset for Another", W. Margrabe, Journal of Finance, 33 (March 1978), 177-186.

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