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From: Ashish B. <ash...@gm...> - 2022-12-02 09:50:49
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Hi, I use the Blackscholes engine to evaluate the commodity options. However, it supports only positive strikes and throws error for a negative strike. Now, I wish to evaluate the spread options traded on CBOT: Consecutive Corn CSO Quotes - CME Group <https://www.cmegroup.com/markets/agriculture/grains/corn.quotes.options.html#optionProductId=2730> How can I evaluate these using Quantlib? Any suggestions on the correct engine to use which supports the negative strike? Thanks Ashish Bansal |