24#ifndef quantlib_analytic_two_asset_correlation_option_engine_hpp
25#define quantlib_analytic_two_asset_correlation_option_engine_hpp
37 ext::shared_ptr<GeneralizedBlackScholesProcess> p2,
42 ext::shared_ptr<GeneralizedBlackScholesProcess>
p1_;
43 ext::shared_ptr<GeneralizedBlackScholesProcess>
p2_;
Analytic two-asset correlation option engine.
Handle< Quote > correlation_
ext::shared_ptr< GeneralizedBlackScholesProcess > p1_
void calculate() const override
ext::shared_ptr< GeneralizedBlackScholesProcess > p2_
Shared handle to an observable.
Two-asset correlation option.