Re: Equity/FX index
Posted by Lapin on Aug 24, 2015; 2:37pm
URL: http://quantlib.414.s1.nabble.com/Equity-FX-index-tp16836p16842.html
Peter,
I am seriously considering QL to run a risk engine, and to revalue trades as they mature.
For this, we need to make sure that fixings are up to date.
For example we need to make sure an autocall is expired one we are autocalled otherwise any risk measure is meaningless.
Right now on equity, I have only use QL for pricing primary trades, so I was nto concerned about the fixings...