On Sat, 2008-08-23 at 11:36 -0700,
[hidden email] wrote:
> I recently implemented a quanto barrier option instrument in QL and
> priced this using the same methodology used for vanilla and forward
> vanilla option. The behaviour of the quanto adjustment seems correct,
> although I don;t have an exact reference example to verify against.
>
> Should I submit the instrument and test code to OK it for review
> and/or inclusion in the library? (there was some discussion about a
> ql/contrib folder Luigi suggested previously..)
Yes, please do.
Thanks,
Luigi
P.S. As for the paperwork: are you in academia, self-employed, or
employed? If the latter, it would be nice to get a disclaimer from your
employer stating that he's happy to have you contribute.
--
There is no opinion so absurd that some philosopher will not
express it.
-- Marcus Tullius Cicero, "Ad familiares"
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