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