QuantLib: a free/open-source library for quantitative finance
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analyticeuropeanmargrabeengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file analyticeuropeanmargrabeengine.hpp
21 \brief Analytic engine for European Margrabe option
22*/
23
24#ifndef quantlib_analytic_european_margrabe_engine_hpp
25#define quantlib_analytic_european_margrabe_engine_hpp
26
29
30namespace QuantLib {
31
32 //! Analytic engine for European Margrabe option
33 /*! This class implements formulae from
34 "The Value of an Option to Exchange One Asset for Another",
35 W. Margrabe,
36 Journal of Finance, 33 (March 1978), 177-186.
37
38 \test the correctness of the returned value is tested by
39 reproducing results available in literature.
40 */
42 public:
43 AnalyticEuropeanMargrabeEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process1,
44 ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
45 Real correlation);
46 void calculate() const override;
47
48 private:
49 ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
50 ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
52 };
53
54}
55
56#endif
Black-Scholes processes.
Analytic engine for European Margrabe option.
ext::shared_ptr< GeneralizedBlackScholesProcess > process2_
ext::shared_ptr< GeneralizedBlackScholesProcess > process1_
Margrabe option engine base class
QL_REAL Real
real number
Definition: types.hpp:50
Margrabe option on two assets.
Definition: any.hpp:35