KirkEngine Class Reference

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

#include <ql/pricingengines/basket/kirkengine.hpp>

Inheritance diagram for KirkEngine:

Public Member Functions

 KirkEngine (const boost::shared_ptr< BlackProcess > &process1, const boost::shared_ptr< BlackProcess > &process2, Real correlation)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::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< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments arguments_
 
BasketOption::results results_
 

Detailed Description

Pricing engine for spread option on two futures.

This class implements formulae from "Correlation in the Energy Markets", E. Kirk Managing Energy Price Risk. London: Risk Publications and Enron, pp. 71-78

Tests:
the correctness of the returned value is tested by reproducing results available in literature.