QuantLib_KirkEngine man page

KirkEngine — Pricing engine for spread option on two futures.


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

Inherits BasketOption::engine.

Public Member Functions

KirkEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, Real correlation)

void calculate () const

Additional Inherited Members

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


the correctness of the returned value is tested by reproducing results available in literature.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

KirkEngine(3) is an alias of QuantLib_KirkEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016