Analytic engine for American Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>
Public Member Functions | |
AnalyticAmericanMargrabeEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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MargrabeOption::arguments | arguments_ |
MargrabeOption::results | results_ |
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.