bjerksundstenslandspreadengine.hpp File Reference

Bjerksund and Stensland formulae (2006) More...

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

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Classes
class	BjerksundStenslandSpreadEngine
	Pricing engine for spread option on two futures. More...

Namespaces
namespace	QuantLib

Detailed Description

Bjerksund and Stensland formulae (2006)

Definition in file bjerksundstenslandspreadengine.hpp.