Spread Option

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