KirkEngine Class Reference

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

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

Inheritance diagram for KirkEngine:

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

Additional Inherited Members
Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_
BasketOption::results	results_

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.