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.