24#ifndef quantlib_kirk_engine_hpp
25#define quantlib_kirk_engine_hpp
27#include <ql/instruments/basketoption.hpp>
28#include <ql/processes/blackscholesprocess.hpp>
45 KirkEngine(ext::shared_ptr<BlackProcess> process1,
46 ext::shared_ptr<BlackProcess> process2,
Basket-option engine base class
Pricing engine for spread option on two futures.
void calculate() const override
ext::shared_ptr< BlackProcess > process1_
ext::shared_ptr< BlackProcess > process2_