1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2014 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 analytictwoassetcorrelationengine.hpp 21 \brief Analytic engine for two-asset correlation options 22 */ 23 24 #ifndef quantlib_analytic_two_asset_correlation_option_engine_hpp 25 #define quantlib_analytic_two_asset_correlation_option_engine_hpp 26 27 #include <ql/experimental/exoticoptions/twoassetcorrelationoption.hpp> 28 #include <ql/processes/blackscholesprocess.hpp> 29 30 namespace QuantLib { 31 32 //! Analytic two-asset correlation option engine 33 class AnalyticTwoAssetCorrelationEngine 34 : public TwoAssetCorrelationOption::engine { 35 public: 36 AnalyticTwoAssetCorrelationEngine( 37 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1, 38 const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2, 39 const Handle<Quote>& correlation); 40 void calculate() const; 41 private: 42 ext::shared_ptr<GeneralizedBlackScholesProcess> p1_; 43 ext::shared_ptr<GeneralizedBlackScholesProcess> p2_; 44 Handle<Quote> correlation_; 45 }; 46 47 } 48 49 50 #endif 51