kirkspreadoptionengine.hpp File Reference

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

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

Go to the source code of this file.

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.