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