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Hi Luigi,
One further question regarding the new process framework...
Let's say one wanted to price a spread option via monte-carlo between 2
differnet indexes so that the payoff is
max( (fixing_Index1 - fixing_Index2) - X, 0.0).
It looks like to me that the two interest rate processes (fixing_Index1 and
fixing_Index2) along with the correlation between the two can be modelled
via the StochasticProcessArray class and thus the spread option priced
correctly via monte-carlo.
I guess you can even simulate the FX between the two (if the indexes
represents rates in different currencies) and have three correlated
processes.
Would you agree that under the new process framework, the set-up I have
presented above is correct and would be priced correctly?
I'm not too sure whether the interest rate processes along with a
correlation matrix is compatible with the StochasticProcessArray class. The
interfaces suggest yes, but will the computed rates from the simulation
account correctly for the correlation?
Toy out.
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