spreadblackscholesvanillaengine.hpp File Reference

base class for 2d spread pricing engines using the Black-Scholes model. More...

#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	SpreadBlackScholesVanillaEngine

Namespaces
namespace	QuantLib

Detailed Description

base class for 2d spread pricing engines using the Black-Scholes model.

Definition in file spreadblackscholesvanillaengine.hpp.