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Published 20 hours ago • verified publisher icon domokane

Few common payoffs missing for FX

Open mattdoub opened this issue 4 years ago • 4 comments

Great library!

A few useful payoffs could be added in FX:

  • FinFXOneTouchOption (adaptation of FinEquityOneTouchOption)
  • FinDoubleOneTouchOption & FinDoubleDigitalOption (adaptation of "single" barrier payoffs)
  • FinFXDualOneTouchOption & FinFXDualDigitalOption (would require an additional implied correlation parameter)

All five payoffs are quite commonly used by FX market practitioners as considered "Light exotic".

mattdoub avatar Dec 25 '20 18:12 mattdoub

This has been assigned to someone.

domokane avatar Dec 29 '20 17:12 domokane

Hi @domokane - is this currently actively worked on / still assigned?

jtamas18 avatar Aug 07 '23 18:08 jtamas18

Hi @jtamas18 - It was never done. You are welcome to take it on if you wish.

domokane avatar Aug 07 '23 18:08 domokane

Ok. I will start with double digital options, because those are very easy to implement given that the single digital option is already implemented. Will also give a good opprtunity to familiarise myself with the codebase.

jtamas18 avatar Aug 08 '23 18:08 jtamas18