Vanna Volga Pricing Engine for FX Barrier Option

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#80 Vanna Volga Pricing Engine for FX Barrier Option

Milestone: None

Status: closed-accepted

Owner: Luigi Ballabio

Labels: None

Priority: 5

Updated: 2013-12-05

Created: 2013-05-30

Creator: ytian

Private: 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

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Luigi Ballabio - 2013-12-05

status: open --> closed-accepted

assigned_to: Luigi Ballabio

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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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Vanna Volga Pricing Engine for FX Barrier Option

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#80 Vanna Volga Pricing Engine for FX Barrier Option

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