kirkengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2010 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file kirkengine.hpp
    \brief kirk formulae, due to Kirk (1995)
*/
 
#ifndef quantlib_kirk_engine_hpp
#define quantlib_kirk_engine_hpp
 
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! Pricing engine for spread option on two futures
    /*! This class implements formulae from
        "Correlation in the Energy Markets", E. Kirk
        Managing Energy Price Risk. 
        London: Risk Publications and Enron, pp. 71-78
 
        \ingroup basketengines
 
        \test the correctness of the returned value is tested by
              reproducing results available in literature.
    */
    class KirkEngine : public BasketOption::engine {
      public:
        KirkEngine(ext::shared_ptr<BlackProcess> process1,
                   ext::shared_ptr<BlackProcess> process2,
                   Real correlation);
        void calculate() const override;
 
      private:
        ext::shared_ptr<BlackProcess> process1_;
        ext::shared_ptr<BlackProcess> process2_;
        Real rho_;
    };
 
}
 
 
#endif