- QuantLib
- AnalyticEuropeanMargrabeEngine
Analytic engine for European Margrabe option. More...
#include <ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp>
Public Member Functions | |
AnalyticEuropeanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) | |
void | calculate () const |
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.