- 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.