AnalyticEuropeanMargrabeEngine Class Reference

Analytic engine for European Margrabe option. More...

#include <ql/pricingengines/exotic/analyticeuropeanmargrabeengine.hpp>

Inheritance diagram for AnalyticEuropeanMargrabeEngine:

Public Member Functions
	AnalyticEuropeanMargrabeEngine (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 Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

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 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.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.