CommoditySchwartzFutureOptionEngine Class Reference

Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More...

#include <qle/pricingengines/commodityschwartzfutureoptionengine.hpp>

Inheritance diagram for CommoditySchwartzFutureOptionEngine:

Public Member Functions
	CommoditySchwartzFutureOptionEngine (const boost::shared_ptr< CommoditySchwartzModel > &model)
void	calculate () const override

Detailed Description

Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model.