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vqwerty


Total Posts: 11
Joined: Feb 2014
 
Posted: 2018-07-23 06:07
Anyone tried making QuantLib work for OTC FX vanilla options?

I googled a little bit -- found at least 2 issues:

1. Discounting period isn't equal to trade date to expiry
but rather settlement date to delivery date.
And there seems to be no easy way to adjust for it at the moment.
Thus, even if you know vol for strike,
it's not easy to make QuantLib correctly calc
BS px of an option.

2. There doesn't seem to be a way to enter vol quotes
in FX conventions i.e. vol for delta. Only vol for strike.

Warning: Both points can be wrong so please correct me.

Also I saw someone mentioning that
it's not easy to add backtester to QuantLib..

Any comments very welcome.

finanzmaster


Total Posts: 158
Joined: Feb 2011
 
Posted: 2018-07-25 11:07
Hi vqwerty,

this example might be your starting point.
http://www.bnikolic.co.uk/blog/ql-fx-option-simple.html

As to trade-date vs. settlement date, you can explicitly set both of them.
Yes, discount amendment to settle days (usually two days) may be annoying.
I give an example in my QL-Notes, pages 18-19: http://yetanotherquant.com/QuantLib/book/BookQuantLib.pdf
But sometimes you can manipulate trade- and settlement dates in such a way that you get what you want.
As to expiry vs. delivery date, as far as I know this cannot be adjusted in QL.

P.S.
If it is a commercial project and you have some budget for this task, I can tune the QL implementation according to your requirements.

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students
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