Kirk approximation for European spread option on futures. More...
#include <ql/experimental/exoticoptions/spreadoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes | |
class | KirkSpreadOptionEngine |
Kirk approximation for European spread option on futures. More... | |
Namespaces | |
namespace | QuantLib |
Kirk approximation for European spread option on futures.