QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
KirkSpreadOptionEngine Class Reference

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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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_
 

Detailed Description

Kirk approximation for European spread option on futures.