1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file analyticamericanmargrabeengine.hpp
21     \brief Analytic engine for American Margrabe option
22 */
23 
24 #ifndef quantlib_analytic_american_margrabe_engine_hpp
25 #define quantlib_analytic_american_margrabe_engine_hpp
26 
27 #include <ql/experimental/exoticoptions/margrabeoption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 
30 namespace QuantLib {
31 
32     //! Analytic engine for American Margrabe option
33     /*! This class implements formulae from
34         "The Value of an American Option to Exchange One Asset for Another",
35         W. Margrabe,
36         Journal of Finance, 33, 177-86.
37 
38         \test the correctness of the returned value is tested by
39               reproducing results available in literature.
40     */
41     class AnalyticAmericanMargrabeEngine : public MargrabeOption::engine {
42       public:
43         AnalyticAmericanMargrabeEngine(
44             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
45             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
46             Real correlation);
47         void calculate() const;
48       private:
49         ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
50         ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
51         Real rho_;
52     };
53 
54 }
55 
56 #endif
57