QuantLib: C:/dev/QuantLib/ql/experimental/exoticoptions/kirkspreadoptionengine.hpp File Reference

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QuantLib: a free/open-source library for quantitative finance

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Kirk approximation for European spread option on futures. More...

#include <ql/experimental/exoticoptions/spreadoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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Classes
class	KirkSpreadOptionEngine
	Kirk approximation for European spread option on futures. More...

Namespaces
namespace	QuantLib

Detailed Description

Kirk approximation for European spread option on futures.

Definition in file kirkspreadoptionengine.hpp.