Kirk approximation for European spread option on futures. More...
#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>
Inheritance diagram for KirkSpreadOptionEngine:Public Member Functions | |
| KirkSpreadOptionEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, const Handle< Quote > &correlation) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< SpreadOption::arguments, SpreadOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< SpreadOption::arguments, SpreadOption::results > | |
| SpreadOption::arguments | arguments_ |
| SpreadOption::results | results_ |
Kirk approximation for European spread option on futures.