- QuantLib
- MargrabeOption
Margrabe option on two assets. More...
#include <ql/experimental/exoticoptions/margrabeoption.hpp>
Classes | |
class | arguments |
Extra arguments for Margrabe option. More... | |
class | engine |
Margrabe option engine base class More... | |
class | results |
Extra results for Margrabe option. More... | |
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_ |
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.
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 MultiAssetOption.
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 MultiAssetOption.