MargrabeOption Class Reference
Margrabe option on two assets. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>
Inheritance diagram for MargrabeOption:

Classes | |
class | arguments |
Extra arguments for Margrabe option. More... | |
class | engine |
Margrabe option engine base class More... | |
class | results |
Extra results for Margrabe option. More... | |
Public Member Functions | |
MargrabeOption (Integer Q1, Integer Q2, const boost::shared_ptr< Exercise > &) | |
void | setupArguments (PricingEngine::arguments *) const |
Real | delta1 () const |
Real | delta2 () const |
Real | gamma1 () const |
Real | gamma2 () const |
void | fetchResults (const PricingEngine::results *) const |
Protected Attributes | |
Integer | Q1_ |
Integer | Q2_ |
Real | delta1_ |
Real | delta2_ |
Real | gamma1_ |
Real | gamma2_ |
Detailed Description
Margrabe option on two assets.
This option gives the holder the right to exchange Q2 stocks of the second asset for Q1 stocks of the first at expiration.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from MultiAssetOption.
void fetchResults | ( | const PricingEngine::results * | r | ) | const [virtual] |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from MultiAssetOption.