QuantLib_AnalyticEuropeanMargrabeEngine man page

AnalyticEuropeanMargrabeEngine — Analytic engine for European Margrabe option.


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

Inherits MargrabeOption::engine.

Public Member Functions

AnalyticEuropeanMargrabeEngine (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 European Margrabe option.

This class implements formulae from 'The Value of an Option to Exchange One Asset for Another', W. Margrabe, Journal of Finance, 33 (March 1978), 177-186.


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

AnalyticEuropeanMargrabeEngine(3) is an alias of QuantLib_AnalyticEuropeanMargrabeEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016