- QuantLib
- SpreadOption
Spread option on two assets. More...
#include <ql/experimental/exoticoptions/spreadoption.hpp>
Classes | |
class | engine |
Spread option engine base class More... | |
Public Member Functions | |
SpreadOption (const boost::shared_ptr< PlainVanillaPayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) |
Spread option on two assets.