Class BlackFxVanillaOptionProductPricer

  • public class BlackFxVanillaOptionProductPricer
    extends Object
    Pricer for foreign exchange vanilla option transaction products with a lognormal model.

    This function provides the ability to price an ResolvedFxVanillaOption.

    All of the computation is be based on the counter currency of the underlying FX transaction. For example, price, PV and risk measures of the product will be expressed in USD for an option on EUR/USD.