Regarding LSEG Financial Analytics API (python SDK), is it possible to price structured products with multiple currencies/curves ? For example, I can see that there is a range accrual python code sample. It simulates 1 index and has this condition:
$n1 = if(abs(IndexRate)>LowerBound and IndexRate<UpperBound, $n1+1, $n1); $n2 =$n2+1
Coupon*$n1/$n2*InterestTerm()*Notional
What if I want to price a more complicated instrument, for example the payoff being:
$n1 = if(KRW 10Y CMS - USD 10Y CMS + 0.5% > 0 and 5.25%- KRW 3M curve>0; $n1+1, $n1); $n2 =$n2+1
and also Coupon is calculated as:
MIN(0.04,MAX(0,3.85*(SUM20Y-SUM2Y)/$n2)) where SUM20Y and SUM2Y are calculated as:
SUM2Y += EUR2Y and SUM20Y += EUR20Y for each accrual period.
Is it possible to price this with Python SDK, where it would require Hull White models in EUR, USD, KRW and correlation matrix etc (and a universal model to calibrate these models together with FX models).
Please let me know how advanced SDK's capabilities are for structured and multiple currency trades.
