QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
spreadoption.hpp File Reference

Spread option on two assets. More...

#include <ql/instruments/multiassetoption.hpp>
#include <ql/instruments/payoffs.hpp>

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Classes

class  SpreadOption
 Spread option on two assets. More...
 
class  SpreadOption::engine
 Spread option engine base class More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Spread option on two assets.

Definition in file spreadoption.hpp.