kirkspreadoptionengine.hpp File Reference

Kirk approximation for European spread option on futures. More...

#include <ql/experimental/exoticoptions/spreadoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	KirkSpreadOptionEngine

Namespaces
namespace	QuantLib

Detailed Description

Kirk approximation for European spread option on futures.

Definition in file kirkspreadoptionengine.hpp.