Hello,
it covers FX and derivatives, not commodities at this time. It
doesn't cover roller coasters out of the box, but I think it provides
all the pieces to build them; ditto for PFE with Monte Carlo. It's
probably not going to be easy, though.
Luigi
On Fri, Dec 16, 2011 at 2:50 PM, <
[hidden email]> wrote:
> (To the moderator: I posted this with the wrong mail adress before)
> Hello,
>
> this is my first post to this mailing list. By background ist IT, not so
> much bank mathematics.
>
> I am working as a product mgr for a bank in southern Germany and we are
> about to kickoff a new project for PFE. Besides looking at commercial
> products from Sungard, i have the task to check for alterntive solutions.
>
> The requirements are:
> + PFE with Monte-Carlo-Simulation
> + Products : FX, Derivatives, Commodities
> + roller coaster Structures and plain vanilla
> + Netting, Collaterals
>
> I have an idea about the interfaces we need for market datat, trades, etc,
> but have not enough knowloedge on Quantlib yet as if it is usefull as a
> computing core.
>
> Could someone tell me if quantlib can handle the above requirements ?
>
> Thanks .. Thomas
>
>
>
>
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