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.