Posted by
totalbull on
URL: http://quantlib.414.s1.nabble.com/Data-input-tp7456p7457.html
Hello, I am very new to Quantlib; please forgive the elementary
question:
I wish to price a foreign exchange option using the following data:
Currency: USDMXN
MXN interest rate: 8%
USD interest rate: 1%
USDMXN carry: 6.93%
Current USDMXN: 13.9
12m forward USDMXN (364 days): 14.863 (= 13.9*1.0693)
Strike: 14.863 (ie ATMF)
Maturity: 12m (364 days)
Option type: straddle (ie put = call pricing).
Vol: 25%
In addition I'd love to know, given the above, how to find out what
the 10 delta or 25 delta strikes would be. I'm happy to use either
quantlib itself, or preferably, in order to learn the structure of the
classes, an example in quantlibXL.
Thanks in advance.
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