Spread Option


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

TYPE INCLUSION RELATIONSHIPS

MultiAsset Option

Spread Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Base Option

Tradable 1

Tradable 2

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TYPICAL OBJECTS OF TYPE Spread Option

SpreadOpt

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This type represents a specialization that only differs from a Vanilla Option in that the underlying is the difference between two assets rather than a single asset.

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

The pricing methodology is specified in Model[MultiAsset Option]