KirkSpreadOptionEngine Class Reference

Kirk approximation for European spread option on futures. More...

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

Inheritance diagram for KirkSpreadOptionEngine:

List of all members.

Public Member Functions

 KirkSpreadOptionEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, const Handle< Quote > &correlation)
void calculate () const

Detailed Description

Kirk approximation for European spread option on futures.