QuantLib_KirkEngine man page
KirkEngine — Pricing engine for spread option on two futures.
Public Member Functions
KirkEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, Real correlation)
void calculate () const
Additional Inherited Members
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.
KirkEngine(3) is an alias of QuantLib_KirkEngine(3).