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Re: Equity/FX index

Posted by Peter Caspers-4 on Aug 24, 2015; 2:23pm
URL: http://quantlib.414.s1.nabble.com/Equity-FX-index-tp16836p16841.html

as long as it is necessary for pricing I would agree - so yes we
should have it already for a cash settled option; technically the
index class is suitable for daily fixings, but not to store additional
fields like low / high at the same time (as far as I know), so some
work would be required here, too.

what do you mean by life cycle, do you use QuantLib for a full PnL
measurement or the like ?


On 24 August 2015 at 15:37, Lapin <[hidden email]> wrote:

> Also, do you agree that such a change should be generalized at all the
> equity/FX payoffs?
> Even a vanilla option would need such a feature in order to correctly
> calculate the redemption at maturity.
>
>
>
>
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> View this message in context: http://quantlib.10058.n7.nabble.com/Equity-FX-index-tp16836p16840.html
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