text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
  
   This file is part of QuantLib, a free-software/open-source library
   for financial quantitative analysts and developers - http://quantlib.org/
  
   QuantLib is free software: you can redistribute it and/or modify it
   under the terms of the QuantLib license.  You should have received a
   copy of the license along with this program; if not, please email
   <quantlib-dev@lists.sf.net>. The license is also available online at
   <http://quantlib.org/license.shtml>.
  
   This program is distributed in the hope that it will be useful, but WITHOUT
   ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
   FOR A PARTICULAR PURPOSE.  See the license for more details.
  */
  
  /*! \file analyticamericanmargrabeengine.hpp
      \brief Analytic engine for American Margrabe option
  */
  
  #ifndef quantlib_analytic_american_margrabe_engine_hpp
  #define quantlib_analytic_american_margrabe_engine_hpp
  
  #include <ql/experimental/exoticoptions/margrabeoption.hpp>
  #include <ql/processes/blackscholesprocess.hpp>
  
  namespace QuantLib {
  
      //! 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.
  
          \test the correctness of the returned value is tested by
                reproducing results available in literature.
      */
      class AnalyticAmericanMargrabeEngine : public MargrabeOption::engine {
        public:
          AnalyticAmericanMargrabeEngine(
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& process1,
              const boost::shared_ptr<GeneralizedBlackScholesProcess>& process2,
              Real correlation);
          void calculate() const;
        private:
          boost::shared_ptr<GeneralizedBlackScholesProcess> process1_;
          boost::shared_ptr<GeneralizedBlackScholesProcess> process2_;
          Real rho_;
      };
  
  }
  
  #endif
  