netrium-0.6.0: examples/FXBarrierOption.contract

import Options

-- Knockin down and in call option with european exercise.

contract = option "selection[exercise-option]" exerciseDetails CallOption 100 (Currency "EUR") underlying
  where

    exerciseDetails =
      barrierDownAndIn cpardUSDEUR floorPrice $
        europeanExercise (date 2011 06 01) strikePrice

    underlying strikePrice =
         allOf[ 
        financial 10000 (Currency "USD") (CashFlowType "cash"),
                give $ financial 6500 (Currency "EUR") (CashFlowType "cash")
              ]

    strikePrice = 2.5 * quantity
    quantity    = 10
    floorPrice  = 0.7