QuantLib_MargrabeOption man page

MargrabeOption — Margrabe option on two assets.  

Synopsis

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

Inherits MultiAssetOption.

Classes

class arguments
Extra arguments for Margrabe option.
class engine
Margrabe option engine base class
class results
Extra results for Margrabe option.

Public Member Functions

MargrabeOption (Integer Q1, Integer Q2, const boost::shared_ptr< Exercise > &)
void setupArguments (PricingEngine::arguments *) const
Real delta1 () const
Real delta2 () const
Real gamma1 () const
Real gamma2 () const
void fetchResults (const PricingEngine::results *) const

Protected Attributes

Integer Q1_
Integer Q2_
Real delta1_
Real delta2_
Real gamma1_
Real gamma2_

Additional Inherited Members

Detailed Description

Margrabe option on two assets.

This option gives the holder the right to exchange Q2 stocks of the second asset for Q1 stocks of the first at expiration.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

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Referenced By

delta1(3), delta1_(3), delta2(3), delta2_(3), gamma1(3), gamma1_(3), gamma2(3), gamma2_(3), MargrabeOption(3), Q1_(3) and Q2_(3) are aliases of QuantLib_MargrabeOption(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib