QuantLib_AnalyticAmericanMargrabeEngine man page

AnalyticAmericanMargrabeEngine — Analytic engine for American Margrabe option.


#include <ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp>

Inherits MargrabeOption::engine.

Public Member Functions

AnalyticAmericanMargrabeEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation)

void calculate () const

Additional Inherited Members

Detailed Description

Analytic engine for American Margrabe option.

This class implements formulae from 'The Value of an American Option to Exchange One Asset for Another', W. Margrabe, Journal of Finance, 33, 177-86.


the correctness of the returned value is tested by reproducing results available in literature.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticAmericanMargrabeEngine(3) and calculate(3) are aliases of QuantLib_AnalyticAmericanMargrabeEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016