Fx otc

[gilles herzog]

Good Afternoon everybody,
I want to use quantlib for fx otc options.
First, I focus myself on plain Vanilla options.
We have C(t)=exc(-r1)+...+exp(-r2)*... ( Garman & Kohlhagen )
Is it possible to use quantlib for these options ?
Or is it possible to use quantlib to adapt some classes of Quantlib ?
How can I do ??
Thank you very much

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[Luigi Ballabio]

On 1/18/06, gilles herzog <[hidden email]> wrote:
> I want to use quantlib for fx otc options.
> First, I focus myself on plain Vanilla options.
> We have C(t)=exc(-r1)+...+exp(-r2)*... ( Garman & Kohlhagen )
> Is it possible to use quantlib for these options ?

Gilles,
    apologies for the delay. You might use the Black-Scholes vanilla
options and pass the foreign risk-free rate in place of the dividend
yield. Not pretty, but it might work...

Luigi