Re: Specifics of Himalayan Option

Posted by Andreas Spengler-2 on
URL: http://quantlib.414.s1.nabble.com/Specifics-of-Himalayan-Option-tp5293p5300.html

Luigi Ballabio wrote

> In the meantime, I guess I better put Himalaya options in the
> experimental tree before release 1.0.

Not necessary from my point of view... ;-)

> Are you willing to have a go at the implementation?

I am in the middle of adapting the Himalayan (and Rainbow option, btw) to
a project I am currently doing. It would include the ability to include
past observations in the form of a Matrix as well as interim averaging
between fixings.

However, I have yet to arrange with the project sponsor that the changes
can be given back to QL...

Rgds,

Andreas



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