QuantLib_KirkSpreadOptionEngine man page

KirkSpreadOptionEngine — Kirk approximation for European spread option on futures.

Synopsis

#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>

Inherits SpreadOption::engine.

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

Detailed Description

Kirk approximation for European spread option on futures.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

KirkSpreadOptionEngine(3) is an alias of QuantLib_KirkSpreadOptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib