Class VannaVolgaFxVanillaOptionProductPricer

  • public class VannaVolgaFxVanillaOptionProductPricer
    extends Object
    Pricing method for vanilla Forex option transactions with Vanna-Volga method.

    The volatilities are expressed using BlackFxOptionSmileVolatilities. Each smile of the term structure consists of 3 data points, where the middle point corresponds to ATM volatility.

    Reference: The vanna-volga method for implied volatilities (2007), A. Castagna and F. Mercurio, Risk, 106-111, January 2007. OG implementation: Vanna-volga method for Forex options, version 1.0, June 2012.