Re: [Quantlib-users] FX binary option payout currency

[Aleksis A. R. <ale...@go...>]

Thanks Jacek - indeed for the binary case (using AssetOrNothing and adjusting the NPV by spot) appears to work. Less clear if this will also work for touch options but will give it a go.

> On Apr 30, 2022, at 2:52 PM, Jacek Bator <jac...@gm...> wrote:
> 
> Hi Aleksis.
> Try using AssetOrNothingPayoff class. 
> 
> 
> sob., 30 kwi 2022, 15:32 użytkownik Aleksis Ali Raza via QuantLib-users <qua...@li... <mailto:qua...@li...>> napisał:
> Hi, when evaluating a binary payoff (using CashOrNothingPayoff) for a currency pair CCY1/CCY2 (eg. USD/JPY), the payout currency is CCY2 by default (so JPY in the example). Other than inverting the pair (which is very awkward), is there any way to switch the payout to be in CCY1 (i.e. USD) instead, as is conventional?
> 
> Thanks, Aleksis
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li... <mailto:Qua...@li...>
> https://lists.sourceforge.net/lists/listinfo/quantlib-users <https://lists.sourceforge.net/lists/listinfo/quantlib-users>