QuantLib: C:/dev/QuantLib/ql/pricingengines/basket/kirkengine.hpp File Reference

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

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kirk formulae, due to Kirk (1995) More...

#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

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Classes
class	KirkEngine
	Pricing engine for spread option on two futures. More...

Namespaces
namespace	QuantLib

Detailed Description

kirk formulae, due to Kirk (1995)

Definition in file kirkengine.hpp.