KirkSpreadOptionEngine Class Reference

### A free/open-source library for quantitative finance

Public Member Functions
KirkSpreadOptionEngine Class Reference

Kirk approximation for European spread option on futures. More...

`#include <ql/experimental/exoticoptions/kirkspreadoptionengine.hpp>`

Inheritance diagram for KirkSpreadOptionEngine:
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List of all members.

## Public Member Functions
| KirkSpreadOptionEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, const Handle< Quote > &correlation)
void | calculate () const

## Detailed Description

Kirk approximation for European spread option on futures.