Finance, Economics, Mathematics, Physics, Quantitative Finance.
fx_model = ql.BlackScholesMertonProcess(spot_fx_rate, ql.YieldTermStructureHandle(eur_curve), ql.YieldTermStructureHandle(usd_curve), ql.BlackVolTermStructureHandle(volatility_curve)) # In[ ]: # Monte Carlo simulation parameters num_paths = 10000 # Number of simulation paths timestep = 1 # Time