24#ifndef quantlib_analytic_european_margrabe_engine_hpp
25#define quantlib_analytic_european_margrabe_engine_hpp
44 ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
49 ext::shared_ptr<GeneralizedBlackScholesProcess>
process1_;
50 ext::shared_ptr<GeneralizedBlackScholesProcess>
process2_;
Analytic engine for European Margrabe option.
ext::shared_ptr< GeneralizedBlackScholesProcess > process2_
ext::shared_ptr< GeneralizedBlackScholesProcess > process1_
void calculate() const override
Margrabe option engine base class
Margrabe option on two assets.