Analytic engine for American Margrabe option. More...

Inheritance diagram for AnalyticAmericanMargrabeEngine:

Collaboration diagram for AnalyticAmericanMargrabeEngine:

Public Member Functions
	AnalyticAmericanMargrabeEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation)

void	calculate () const override

Public Member Functions inherited from GenericEngine< MargrabeOption::arguments, MargrabeOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process1_

ext::shared_ptr< GeneralizedBlackScholesProcess >	process2_

Real	rho_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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.

Constructor & Destructor Documentation

AnalyticAmericanMargrabeEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process1,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	process2,
		Real	correlation
	)