/// <summary>
/// Initial instance of <see cref="ExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
/// </summary>
/// <param name="name">Name of the deferred exchange option</param>
/// <param name="s1">Asset to be received</param>
/// <param name="s2">Asset to be delivered</param>
/// <param name="rho">Correlation between two assets</param>
/// <param name="maturity">Time to maturity of option</param>
public ExchangeOption(string name, Stock s1, Stock s2, object rho, object maturity) : base(name, maturity)
{
this.Rho = Input(rho);
this.Price = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.Maturity()) * s1.Price(),
() => Math.Exp(-s2.Divd() * this.Maturity()) * s2.Price(),
() => Math.Sqrt(
Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
}
/// <summary>
/// Initial instance of <see cref="DeferredExchangeOption"/> from two <see cref="Stock"/>s. Use Margrabe Formula to price.
/// </summary>
/// <param name="name">Name of the deferred exchange option</param>
/// <param name="s1">Asset to be received</param>
/// <param name="s2">Asset to be delivered</param>
/// <param name="rho">Correlation between two assets</param>
/// <param name="optionMaturity">Time to maturity of option</param>
/// <param name="exchangeMaturity">Time until exchange >= TOption</param>
public DeferredExchangeOption(string name, Stock s1, Stock s2, object rho, object optionMaturity,
object exchangeMaturity) : base(name, s1, s2, rho, optionMaturity)
{
this.ExchangeMaturity = Input(exchangeMaturity);
this.Price = GenericOption.PriceFunc(() => Math.Exp(-s1.Divd() * this.ExchangeMaturity()) * s1.Price(),
() => Math.Exp(-s2.Divd() * this.ExchangeMaturity()) * s2.Price(),
() => Math.Sqrt(
Math.Pow(s1.Sigma(), 2) + Math.Pow(s2.Sigma(), 2) -
2 * this.Rho() * s1.Sigma() * s2.Sigma()), this.Maturity);
}