Quanto options

[Diallo Amadou]

Hello,
I search a C++ example program for  quanto or combo options pricing from quantilib under linux.
Thanks for your help

[Luigi Ballabio]

On 4/6/06, Diallo Amadou <[hidden email]> wrote:
>  I search a C++ example program for  quanto or combo options pricing from
> quantilib under linux.

There's no example at this time, but you might look at the
quanto-option files in the test suite and start from there.

Later,
    Luigi

[Gísli Sigurbjörn Óttarsson KB banki]

I found the exchange in the following thread quite enlightening:

http://sourceforge.net/mailarchive/message.php?msg_id=14765553


 

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of Luigi Ballabio
Sent: 11. apríl 2006 11:58
To: Diallo Amadou
Cc: [hidden email]
Subject: Re: [Quantlib-users] Quanto options

On 4/6/06, Diallo Amadou <[hidden email]> wrote:
>  I search a C++ example program for  quanto or combo options pricing
> from quantilib under linux.

There's no example at this time, but you might look at the quanto-option files in the test suite and start from there.

Later,
    Luigi


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