Finance, Economics, Mathematics, Physics, Quantitative Finance.
step in years # Monte Carlo engine for FX swaption rng = ql.GaussianRandomSequenceGenerator(ql.UniformRandomSequenceGenerator(timestep, ql.UniformRandomGenerator())) seq = ql.GaussianPathGenerator(fx_model, maturity_years, timestep, rng, False) # Valuation of the FX swaption payoffs = [] for i in