Futures Spread Option


Futures Spread Option is a direct subtype of MultiAsset Option
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with functions Futures Spread Option Functions, keys Futures Spread Option keys and example object FutSpreadOpt

TYPE INCLUSION RELATIONSHIPS

MultiAsset Option

Futures Spread Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Base Option

Futures 1

Futures 2

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TYPICAL OBJECTS OF TYPE Futures Spread Option

FutSpreadOpt

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This type represents a specialization that only differs from a Spread Option in that the payoff at exercise depends on the difference between the futures prices at that time of two futures contracts rather than two underlying assets.
It follows that only cash settlement is possible since generally no physical assets exist the price of which equal these futures prices.
Due to this, the Futures Spread Option is considered "more exotic" than the corresponding Spread Option

The following features are currently not supported by QuantLib:
Barriers, discrete dividends/storage costs.

The pricing methodology is specified in Model[MultiAsset Option]