NuclearPhynance Archive

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.

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.