Analytic engine for European Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
Public Member Functions | |
AnalyticEuropeanMargrabeEngine (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 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.