Guys - thanks very much - I'll give it a try and feedback >>
Am working at Calyon BTW (Credit Agricole's investment bank) in sales
to hedge funds. Do a lot of deep linear and non-linear trading in FX
and rates. Evaluating Quantlib generally for foreign exchange and
emerging markets (hope you'll implement cross currency swaps soon).
Very new to Quantlib so forgive my simple questions, and thank you
again for the pointers.
Thomas
On 17 Feb 2009, at 13:20, Luigi Ballabio wrote:
> On Tue, 2009-02-17 at 12:51 +0000, Bojan Nikolic wrote:
>> You can rework the EquityOption.cpp example in QuantLib to price
>> simple FX options under the assumption dividend yield == foreign
>> rate. I have posted a simple bare-bones example at:
>>
>>
http://www.bnikolic.co.uk/blog/ql-fx-option-simple.html>
> Yes--thanks, Bojan. Just a note: to make it clearer that you're
> modeling an exchange rate, you might use GarmanKohlagenProcess instead
> of BlackScholesMertonProcess. It's the same, but the inputs have the
> right names. :)
>
> Luigi
>
>
> --
>
> The young man knows the rules, but the old man knows the exceptions.
> -- O. W. Holmes
>
>
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