binary option

Posted by Emilie Drouet on Nov 08, 2016; 7:30am
URL: http://quantlib.414.s1.nabble.com/binary-option-tp17858.html

Hello,

I'm a student and since less than one month i'm using QuantLibXL. I don't have find on it a function that allows me to write a script and automatically calculate the scripte. Do you know how i can do it?

I will calculate for example:

If S<= K1 than payoff=0

If S>K1 and S<=K2 then payoff = 1,5x(S-K1)

If S>K2 and S<= K3 then payoff = 1,5x(S-K3)

And If S>K3 then payoff=0

I don't want to create a macro, juste a sprit to allow to do lot of simulation without having to redo a macro.

Best regards,

Emilie Drouet

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