KirkSpreadOptionEngine Class Reference

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

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

Inheritance diagram for KirkSpreadOptionEngine:

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

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

Detailed Description

Kirk approximation for European spread option on futures.