Reply To: Currency Options

#8798
Corrie Wilkinson
Participant

Hi both,
I agree it should be the same but that is not what I am seeing. That’s the reason I was asking if there was a way to configure it in Endur where it will take the spot rate and two forward interest rate curves. I am still struggling to understand how Endur is actually valuing this option as it is not obvious and I cannot seem to reconcile the interest rates it is using. Do you know if there is any documentation available on this?

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