FX Pricing module


#1

Hello,
I’m new here.
Im looking into the FX Pricer and im trying to make sense of all of this.
We wish to test out vanilla, Forward etc. and get the pricing for it.
I thought that i will be able to just send the spot/start date/expiry date etc. and get the pricing for that pair, but i don’t understand where or how to do so.

Any pointers that can shorten my process time? (examples are welcome)!

Thanks.


#2

This example is a good place to start. See also the docs.

In general, to use the pricers, you need to create trades and market data.


#3

Great thanks for your help.
Can you also please give me an example for vanilla (American/European) option pricer


#4

We don’t have a standard example for FX options. We do have support for europeans with FxVanillaOption. We don’t have support for American FX options.

To price FxVanillaOption you can change the FxPricingExample to create a trade (the methods at the bottom). You would then need to setup the volatilities market data, see the code here. The closest to further examples are the test cases.