Greetings all,
Is there some example code showing how quantlib can be used to price an equity
range accrual using MC?
Coupons are multiplied by (n/N) i.e. (days in range) / (total days in period)
Can we ever get a Path which includes the history?
For pricing existing trades we want to drop historical coupons
but also have access to the recent history which will determine the next coupon.
Has anyone used quantlib to price an
equity accumulator?
Is there some example code?
In a (basic) accumulator, the holder will an accumulate (receive) a fixed number of shares per day
and will pay a fixed (strike) price. There is an up-and-out barrier on the daily closes.
So it is just like a string of knock-out forwards
Thanks
Philip
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