Re: Pricing FX TARF using Quantlib
Posted by
Luigi Ballabio on
Sep 14, 2016; 8:30am
URL: http://quantlib.414.s1.nabble.com/Pricing-FX-TARF-using-Quantlib-tp17670p17724.html
Hello,
an implementation of FX TARFs has been contributed as a pull request on GitHub at <
https://github.com/lballabio/QuantLib/pull/18>. It's not yet included in a QuantLib release (I'm hoping to do so in the next one) but you can try it out if you check out that branch explicitly.
Hope this helps,
Luigi
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