AnalyticEuropeanMargrabeEngine Class Reference
Analytic engine for European Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
Inheritance diagram for AnalyticEuropeanMargrabeEngine:

Public Member Functions | |
AnalyticEuropeanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
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.