KirkEngine Class Reference

Pricing engine for spread option on two futures. More...

#include <ql/pricingengines/basket/kirkengine.hpp>

Inheritance diagram for KirkEngine:

List of all members.

Public Member Functions

 KirkEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, Real correlation)
void calculate () const

Detailed Description

Pricing engine for spread option on two futures.

This class implements formulae from "Correlation in the Energy Markets", E. Kirk Managing Energy Price Risk. London: Risk Publications and Enron, pp. 71-78

Tests:
the correctness of the returned value is tested by reproducing results available in literature.