Spread option pricing tool.
The tool evaluates at time t=0 premium and Greeks of the contract that matures at t=T and pays
(F1,T - F2,T - K)+
for call and
(K - F1,T + F2,T )+
for put. The notation (x)+ refers to the max(x,0). The stochastic processes F1,T and F2,T are assumed to follow the Black model. The K is the strike (a real number).
The tool may be used as an executable file, in a spread sheet (see the SpreadTest.xls) or otherwise through the COM interface (see the Spread.odl).