operatorsplittingspreadengine.hpp File Reference

Analytic operator splitting approximation by Chi-Fai Lo (2015) More...

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

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Classes
class	OperatorSplittingSpreadEngine
	Pricing engine for spread options with two assets. More...

Namespaces
namespace	QuantLib

Detailed Description

Analytic operator splitting approximation by Chi-Fai Lo (2015)

Definition in file operatorsplittingspreadengine.hpp.