FX Pricing module

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.