Posted by
Thomas Browne-2 on
URL: http://quantlib.414.s1.nabble.com/Data-input-tp7456p7460.html
Is anybody able to help on this USDMXN option?
On 16 Apr 2009, at 21:40,
[hidden email] wrote:
> 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.
>
> ------------------------------------------------------------------------------
> Stay on top of everything new and different, both inside and
> around Java (TM) technology - register by April 22, and save
> $200 on the JavaOne (SM) conference, June 2-5, 2009, San Francisco.
> 300 plus technical and hands-on sessions. Register today.
> Use priority code J9JMT32.
http://p.sf.net/sfu/p> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------
Stay on top of everything new and different, both inside and
around Java (TM) technology - register by April 22, and save
$200 on the JavaOne (SM) conference, June 2-5, 2009, San Francisco.
300 plus technical and hands-on sessions. Register today.
Use priority code J9JMT32.
http://p.sf.net/sfu/p_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users