Pricing FX TARF using Quantlib

[satyaki]

Hi,

I am trying to price an FX TARF using Quantlib. I am new to QuantLib .

I understand that this is probably priced by solving the Garman-Kohlhagen PDE. Is this correct ?
 
Can anyone provide some pointers on how deal setup and pricing can be done using Quantlib ?

Regards,

Satyaki

[Luigi Ballabio]

Hello,

    an implementation of FX TARFs has been contributed as a pull request on GitHub at <https://github.com/lballabio/QuantLib/pull/18>. It's not yet included in a QuantLib release (I'm hoping to do so in the next one) but you can try it out if you check out that branch explicitly.

Hope this helps,

    Luigi

On Thu, Aug 25, 2016 at 11:10 AM satyaki <[hidden email]> wrote:

Hi,

I am trying to price an FX TARF using Quantlib. I am new to QuantLib .

I understand that this is probably priced by solving the Garman-Kohlhagen
PDE. Is this correct ?

Can anyone provide some pointers on how deal setup and pricing can be done
using Quantlib ?

Regards,

Satyaki





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