- QuantLib
- KirkEngine
Pricing engine for spread option on two futures. More...
#include <ql/pricingengines/basket/kirkengine.hpp>
Public Member Functions | |
KirkEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, Real correlation) | |
void | calculate () const |
Pricing engine for spread option on two futures.
This class implements formulae from "Correlation in the Energy Markets", E. Kirk Managing Energy Price Risk. London: Risk Publications and Enron, pp. 71-78