Hello,
I'm not sure that we have something close to what you need. The
one possibility that comes to mind is the Libor market-model code
written by Mark Joshi, that you can find in <ql/models/marketmodels>.
Examples of use are in Examples/MarketModel and in a number of files
in the test suite. I don't think that the examples cover the case of
two curves in different currencies, but I'm afraid that's as close as
it gets.
Hope this helps,
Luigi
On Sat, Jun 8, 2013 at 9:12 AM, adamquestio <
[hidden email]> wrote:
> I would like to price a PRDC with quantlib. Is there any example code that I
> should extend for this purpose? Any hint will be appreciated
>
> Thanks
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/PRDC-pricing-tp14354.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. A cloud service to automate IT design, transition and operations
> 2. Dashboards that offer high-level views of enterprise services
> 3. A single system of record for all IT processes
>
http://p.sf.net/sfu/servicenow-d2d-j> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
This SF.net email is sponsored by Windows:
Build for Windows Store.
http://p.sf.net/sfu/windows-dev2dev_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
