BjerksundStenslandSpreadEngine Class Reference

Pricing engine for spread option on two futures. More...

#include <ql/pricingengines/basket/bjerksundstenslandspreadengine.hpp>

Public Member Functions
	BjerksundStenslandSpreadEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation)

Protected Member Functions
Real	calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const override

Detailed Description

Pricing engine for spread option on two futures.

P. Bjerksund and G. Stensland, Closed form spread option valuation, Quantitative Finance, 14 (2014), pp. 1785–1794.