- QuantLib
- KirkSpreadOptionEngine
 
Kirk approximation for European spread option on futures. More...
#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>

| Public Member Functions | |
| KirkSpreadOptionEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, const Handle< Quote > &correlation) | |
| void | calculate () const | 
Kirk approximation for European spread option on futures.