Thanks - will give it a bash. Thanks also to Bojan.
> On Thu, 2009-04-16 at 21:40 +0100,
[hidden email] wrote:
>> 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%
>
> You can have a look at the EquityOption example and try to modify it
> to
> suit your problem. Instead of a BlackScholesMertonProcess with a
> risk-free rate and a dividend rate, you'll have to use a
> GarmanKohlagenProcess with a local and a foreign rate. For the
> straddle,
> you'll have to create both the call and the put and add their two
> values.
>
>
>> 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.
>
> No, I'm afraid I'll pass on this one.
>
> Luigi
>
>
>
> --
>
> A debugged program is one for which you have not yet found the
> conditions that make it fail.
> -- Jerry Ogdin
>
>