Re: [Quantlib-users] How to handle different Vol DCC for multi-asset payoffs in MC framework

[Luigi B. <lui...@gm...>]

Hello,
    there was a similar discussion in the past because, even for a purely
EQ payoff, the day counters for volatility and risk-free rate might be
different; but I can't find a link now.  Anyway, the difference
unfortunately is not handled.

Luigi


On Tue, Mar 2, 2021 at 2:45 PM SX L <han...@ho...> wrote:

> I am not sure if similar questions have been asked before. Say, I have an
> EQ and FX hybrid payoff, and I decide to use MC to price it. How to handle
> the different Vol DCCs for EQ and FX? You know, for certain day, it could
> be a biz day for FX, but holiday for EQ (vol = 0).
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