Re: Specifics of Himalayan Option

Posted by Marcin Pawlik on
URL: http://quantlib.414.s1.nabble.com/Specifics-of-Himalayan-Option-tp5293p5296.html

2009/12/17 Andreas Spengler <[hidden email]>:
> Hi Marcin,
>
> thanks for your quick response; would the below also hold for the
> QuantLib implementation?

Yes. QuantLib defines Himalaya Option as having relative strike and
averaging performances relative to the starting time.
Look at: ql/pricingengines/basket/mchimalayaengine.cpp.

M.

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