AnalyticAmericanMargrabeEngine Class Reference

Analytic engine for American Margrabe option. More...

#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>

Inheritance diagram for AnalyticAmericanMargrabeEngine:

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

Additional Inherited Members
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.