QuantLib: a free/open-source library for quantitative finance
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spreadoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file spreadoption.hpp
21 \brief Spread option on two assets
22*/
23
24#ifndef quantlib_spread_option_hpp
25#define quantlib_spread_option_hpp
26
29
30namespace QuantLib {
31
32 //! Spread option on two assets
34 public:
35 class engine;
36 SpreadOption(const ext::shared_ptr<PlainVanillaPayoff>& payoff,
37 const ext::shared_ptr<Exercise>& exercise)
39 };
40
41 //! %Spread option %engine base class
43 : public GenericEngine<SpreadOption::arguments,
44 SpreadOption::results> {};
45
46}
47
48
49#endif
template base class for option pricing engines
Base class for options on multiple assets.
ext::shared_ptr< Payoff > payoff() const
Definition: option.hpp:45
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
Spread option engine base class
Spread option on two assets.
SpreadOption(const ext::shared_ptr< PlainVanillaPayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
Option on multiple assets.
Definition: any.hpp:35
Payoffs for various options.