<t>hi fab10ab,I haven't experienced the problem, but there are several things to be noted.The method is quite simplistic but has the merit to be easy to understand (which is good), albeit for a market user (not a market maker of course) it should suffice in most cases. You can override it with your ...

<t> Hi,let's say you have a vanilla FX option EURUSD but quanto'd in say CHF. Physical settlement does not make sense, right?So you can get a CHF PV discounted on CHF and with Black Scholes formula with an appropriate quanto adjustment to the EURUSD forward. Now the greeks. If I call V(XXX) the valu...