KirkEngine Class Reference

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

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

Public Member Functions
	KirkEngine (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.

This class implements formulae from "Correlation in the Energy Markets", E. Kirk Managing Energy Price Risk. London: Risk Publications and Enron, pp. 71-78

Tests

the correctness of the returned value is tested by reproducing results available in literature.