FX instrument and forward

MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk

MIT License

371 stars 43 forks source link

FX instrument and forward #18

Open MarcusRainbow opened 6 years ago

MarcusRainbow commented 6 years ago

Implement FX instrument, representing FX spot, and FX forward. Consider making FX respond to bumps of a currency -- either the numerator or denominator currency. This makes it possible to ask questions like what is my exposure to USD.