Few common payoffs missing for FX

[mattdoub]

Great library!

A few useful payoffs could be added in FX:

• FinFXOneTouchOption (adaptation of FinEquityOneTouchOption)
• FinDoubleOneTouchOption & FinDoubleDigitalOption (adaptation of "single" barrier payoffs)
• FinFXDualOneTouchOption & FinFXDualDigitalOption (would require an additional implied correlation parameter)

All five payoffs are quite commonly used by FX market practitioners as considered "Light exotic".

[domokane]

This has been assigned to someone.

[jtamas18]

Hi @domokane - is this currently actively worked on / still assigned?

[domokane]

Hi @jtamas18 - It was never done. You are welcome to take it on if you wish.

[jtamas18]

Ok. I will start with double digital options, because those are very easy to implement given that the single digital option is already implemented. Will also give a good opprtunity to familiarise myself with the codebase.