Kirk approximation for European spread option on futures. More...
#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>
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 | |
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SpreadOption::arguments | arguments_ |
SpreadOption::results | results_ |
Kirk approximation for European spread option on futures.