OperatorSplittingSpreadEngine Class Reference

Pricing engine for spread options with two assets. More...

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

Public Types
enum	Order { First , Second }

Public Member Functions
	OperatorSplittingSpreadEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation, Order order=Second)

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

Protected Attributes
const Order	order_

Detailed Description

Pricing engine for spread options with two assets.

Chi-Fai Lo, Pricing Spread Options by the Operator Splitting Method, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2429696