1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2011 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5 
6  This file is part of QuantLib, a free-software/open-source library
7  for financial quantitative analysts and developers - http://quantlib.org/
8 
9  QuantLib is free software: you can redistribute it and/or modify it
10  under the terms of the QuantLib license.  You should have received a
11  copy of the license along with this program; if not, please email
12  <quantlib-dev@lists.sf.net>. The license is also available online at
13  <http://quantlib.org/license.shtml>.
14 
15  This program is distributed in the hope that it will be useful, but WITHOUT
16  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17  FOR A PARTICULAR PURPOSE.  See the license for more details.
18 */
19 
20 /*! \file kirkspreadoptionengine.hpp
21     \brief Kirk approximation for European spread option on futures
22 */
23 
24 #ifndef quantlib_kirk_spread_option_engine_hpp
25 #define quantlib_kirk_spread_option_engine_hpp
26 
27 #include <ql/experimental/exoticoptions/spreadoption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 
30 namespace QuantLib {
31 
32     //! Kirk approximation for European spread option on futures
33     class KirkSpreadOptionEngine : public SpreadOption::engine {
34       public:
35         KirkSpreadOptionEngine(
36             const ext::shared_ptr<BlackProcess>& process1,
37             const ext::shared_ptr<BlackProcess>& process2,
38             const Handle<Quote>& correlation);
39         void calculate() const;
40       private:
41         ext::shared_ptr<BlackProcess> process1_;
42         ext::shared_ptr<BlackProcess> process2_;
43         Handle<Quote> rho_;
44     };
45 
46 }
47 
48 #endif
49