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Pricing of Structured Product with Schedules

Posted by Haoyun XU on Jul 23, 2013; 6:41am
URL: http://quantlib.414.s1.nabble.com/Pricing-of-Structured-Product-with-Schedules-tp14462.html

Hi Luigi,

I am considering the feasibility of using QuantLib's existing finite difference framework to price more exotic products like knockout daily accumulators (KODA). However, after reading the code for quite a while, I am still struggling. Really appreciated if you can show me the right direction.

Basically, these products may have a schedule with multiple periods. The payment is settled at each period end. They may also have features like KO (daily or periodically) and KI (American, European, etc). 

We would like to build the mesh and evolve backward in time just once to get the price and Greeks. For instance, the KODA is actually a bunch of knockout forwards, which can be further decomposed into knockout calls and puts. However,instead of pricing each of these components then adding them up, we would like to evolve on the mesh once and change the payoff on the fly. Does the current framework support this? Or do you have a better design?

Also, I wonder what's the place of such structure product in the instrument hierarchy?


Thank you very much for your time!

Best,
Henry

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