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