Docs / nablatensor-quant / com.nablatensor.quant
final class
FxProducts
FX and quanto options under lognormal dynamics.
- FX option (Garman-Kohlhagen): the FX rate drifts at
rateDom - rateForeign; the run returns delta and both rho's. - Quanto option: a payoff on a foreign asset settled in domestic currency at a fixed FX rate. The foreign asset's domestic-measure drift carries the quanto adjustment
-corr * volAsset * volFx.
Methods
static BiConsumer<AadRecorder, Nabla.Inputs<FxMarket>> fxOption(OptionType type, double maturity, int steps)
European FX call/put, discounted at the domestic rate.
static BiConsumer<AadRecorder, Nabla.Inputs<QuantoMarket>> quantoOption(OptionType type, double maturity, int steps, double fixedFx)
Quanto option: payoff fixedFx * max(sign (S_T - K), 0) in domestic currency, K and S in foreign units.