CommoditySpreadOptionAnalyticalEngine Class Reference

#include <qle/pricingengines/commodityspreadoptionengine.hpp>

Inheritance diagram for CommoditySpreadOptionAnalyticalEngine:

Public Member Functions
	CommoditySpreadOptionAnalyticalEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &volTSLongAsset, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &volTSShortAsset, const QuantLib::Handle< QuantExt::CorrelationTermStructure > &rho, Real beta=0.0)
void	calculate () const override

Protected Attributes
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volTSLongAsset_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volTSShortAsset_
const QuantLib::Handle< QuantExt::CorrelationTermStructure >	rho_
QuantLib::Real	beta_

Detailed Description

Commodity Spread Option Engine Uses the Kirk Approximation described in Iain J. Clark - Commodity Option Pricing - Section 2.9 Rho is the correlation between two commodities and for asian future spreads the intra-asset correlation between two future contracts are parametrized as \(\rho(s, t) = \exp(-\beta * \abs(s - t))\) where \(s\) and \(t\) are times to futures expiry.