ql/pricingengines/basket/kirkengine.hpp File Reference

kirk formulae, due to Kirk (1995) More...

#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for kirkengine.hpp:

Classes

class  KirkEngine
 Pricing engine for spread option on two futures. More...

Detailed Description

kirk formulae, due to Kirk (1995)