#80 Vanna Volga Pricing Engine for FX Barrier Option

None
closed-accepted
None
5
2013-12-05
2013-05-30
ytian
No

Hi all,
I wrote a vanna volga pricing engine for fx barrier option, together with test suite. The correctness is compared with commonly used algorithm. Hopefully, it is useful.
Best regards,
Tian, Yue

1 Attachments

Discussion

  • Luigi Ballabio

    Luigi Ballabio - 2013-12-05
    • status: open --> closed-accepted
    • assigned_to: Luigi Ballabio
    • Group: -->
     
  • Luigi Ballabio

    Luigi Ballabio - 2013-12-05

    I've added your patch to the library. Thanks for the contribution, and apologies for the delay.

     

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