Posted by
Peter Caspers-4 on
Nov 14, 2015; 8:07am
URL: http://quantlib.414.s1.nabble.com/Question-on-stochastic-local-vol-MC-pricing-for-FX-Tarf-tp17073p17074.html
Hi Harvey,
both the FxTarf engines and Klaus' / Johannes' SLV model are not yet
part of the official release as far as I know.
Concerning the FxTarf, the engine takes a
GeneralizedBlackScholesProcess, so in principle a local volatility
process is possible. The extension to a SLV process would require
changes, though it would be doable. You can find (unofficial) sample
code for FxTarf pricing here
https://github.com/pcaspers/quantlib/blob/master/QuantLib/Examples/fxtarf.cpphttps://github.com/pcaspers/quantlib/blob/master/QuantLib/Examples/fxtarf_simple.cppEverything around the FxTarf is considered experimental, so bugs are
likely to occur.
Best regards
Peter
On 14 November 2015 at 06:45, Harvey Wu <
[hidden email]> wrote:
> Hi,
>
> I saw there is FX Tarf available as an instrument using MC simulation
> without smile. Just wonder whether currently we can price FX Tarf using
> stochastic local vol MC sinmulation. Any pointers to the examples would be
> be much appreciated.
>
> Thanks
> Harvey
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users>
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users