Hot answers tagged

2

I recenlty worked on a similar problem and solved it with the help of Quantlib library. Assuming you are working with EUR and USD: get cross currency (xccy) swap data EUR / USD. You want to know how the xccy is collateralized and if Mark-to-Market resets apply to the USD leg. get interest rates swaps fixed vs ois / 3m / 6m in EUR and USD build USD/...


1

There's no such engine at this time. If you want to code it, you can clone and rename the MCEuropeanBasketEngine and the EuropeanMultiPathPricer classes. The new path-pricer class must be modified so that its operator() returns the payoff of your option as calculated on a given path; the new engine will be mostly unmodified, except for the pathPricer method ...



Only top voted, non community-wiki answers of a minimum length are eligible