In this chapter, we broaden the scope of derivative pricing by exploring both cross-currency swaps (CCSs) and a spectrum of advanced option models, with a strong emphasis on practical implementation using Boost, Eigen, and QuantLib libraries. While earlier chapters introduced foundational models and standard option contracts, here we transition into more complex derivatives that demand sophisticated numerical methods, simulation techniques, and library-driven frameworks.

错误:搜索内容不能为空,请输入英文关键词
错误:关键词超出字数限制,请精简
高级检索

Cross-Currency Swap (CCS) and Advanced Option Models: From Monte Carlo to QuantLib Implementations

  • Aaron De La Rosa

摘要

In this chapter, we broaden the scope of derivative pricing by exploring both cross-currency swaps (CCSs) and a spectrum of advanced option models, with a strong emphasis on practical implementation using Boost, Eigen, and QuantLib libraries. While earlier chapters introduced foundational models and standard option contracts, here we transition into more complex derivatives that demand sophisticated numerical methods, simulation techniques, and library-driven frameworks.