mc for quanto interest rate derivatives

[Pomarico Francesco Ivan]

Hi all,

is there in Quantlib something already done for pricing quanto option on interest rate, preferably through a montecarlo engine?

So far I didn’t find anything, but my knowledge of quantlib is still limited. If not, do you have any suggestion on where to start or which classes can be easily adapted? Thanks a lot.

 

Regards,

Ivan

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[Luigi Ballabio]

On Tue, 2009-11-24 at 10:25 +0100, Pomarico Francesco Ivan wrote:
> is there in Quantlib something already done for pricing quanto option
> on interest rate, preferably through a montecarlo engine?

No, there's not.  I'd try defining a process for the quantities you want
to evolve (inheriting it from StochasticProcess.)  Once you have that,
you're half way to implementing an engine; your process will work with
the existing MultiPathGenerator, and you'll have to write the
PathPricer.

Luigi



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