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Advanced Quantitative Finance with C++ by Alonso Peña Ph.D

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Chapter 5. Foreign Exchange Derivatives with C++

We now move to the world of currency or foreign exchange derivatives and how to price them using C++. We consider two examples: the pricing of a European Call option (basic example) and the pricing of an up-and-out barrier call option (advanced example). We provide the full-working C++ implementation for both. We follow the model for the evolution of foreign exchange currencies as found in "Foreign Currency Option Values". A simpler C implementation (without the OO features) can be found in the code bundle of this chapter. If you are new to OOP, it is recommended that you first study the implementation in C followed by the implementation in C++.

Basic example – European FX Call (FX1)

In this example, ...

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