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Re: Equity/FX index

Posted by Peter Caspers-4 on Aug 24, 2015; 12:23pm
URL: http://quantlib.414.s1.nabble.com/Equity-FX-index-tp16836p16838.html

Hi Guillaume,

I had the same need and so far came up with this (experimental and
inofficial) kind of thing

https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/fx/fxindex.hpp

used for example here

https://github.com/pcaspers/quantlib/blob/master/QuantLib/ql/experimental/fx/fxtarf.hpp#L100-L108

Is that what you are talking about ?

Best regards
Peter




On 24 August 2015 at 10:15, Lapin <[hidden email]> wrote:

> All,
>
> I have always use QL for pricing primary market deals, meaning no need to
> follow trade life cycles.
> Now I am faced with this dilemma for FX/Equity.
> It looks to me that in order to keep the good work done in FI, we will need
> to create an index type for Equity and FX (for example in FX we could create
> a fixing type WMCO), but this will need to be passed in the constructor of
> the instrument (like in VanillaSwap for example).
>
> This way, we should be able to follow the life cycle of the trade (like for
> range accruals or autocallable structures). It will come with the burden of
> redesigning the instruments already there.
>
> Does it make sense, or is there any other way to do this life cycle for
> trade ex-FI?
>
> Thanks
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Equity-FX-index-tp16836.html
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