AnalyticAmericanMargrabeEngine Class Reference

Analytic engine for American Margrabe option. More...

#include <analyticamericanmargrabeengine.hpp>

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 ()=default
	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.

Definition at line 41 of file analyticamericanmargrabeengine.hpp.

Constructor & Destructor Documentation

AnalyticAmericanMargrabeEngine()

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

Definition at line 31 of file analyticamericanmargrabeengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 40 of file analyticamericanmargrabeengine.cpp.

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Member Data Documentation

process1_

ext::shared_ptr<GeneralizedBlackScholesProcess> process1_

private

Definition at line 49 of file analyticamericanmargrabeengine.hpp.

process2_

ext::shared_ptr<GeneralizedBlackScholesProcess> process2_

private

Definition at line 50 of file analyticamericanmargrabeengine.hpp.

rho_

Real rho_

private

Definition at line 51 of file analyticamericanmargrabeengine.hpp.