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