24#ifndef quantlib_spread_option_hpp
25#define quantlib_spread_option_hpp
27#include <ql/instruments/multiassetoption.hpp>
28#include <ql/instruments/payoffs.hpp>
37 const ext::shared_ptr<Exercise>&
exercise)
44 SpreadOption::results> {};
template base class for option pricing engines
Base class for options on multiple assets.
ext::shared_ptr< Payoff > payoff() const
ext::shared_ptr< Exercise > exercise() const
Spread option engine base class
Spread option on two assets.
SpreadOption(const ext::shared_ptr< PlainVanillaPayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)