hi everyone,I am looking to model an fx double digital option including 2 currency pairs. I have the payout value, but obviously i cannot split these out into 2 singles as i need to look at correlationsDouble digital EURGBP @ or lower 0.888 and EURJPY @ or higher 123.3 EURHow can i get a rough approx value of this position, without performing long calcs and just my bloomberg calc?thanks

Is this too difficult to simplify or something?

please specify the exact payoff... you could expect more favorable answers then

Attached is a simple code in matlab that can price this for you:%Multi asset path dependent%Input parameterclc; clear; close all%Input parametersSims=10000;Paths=2500;s1=1;s2=1;K1=1;K2=1;t=1;v1=0.8;v2=0.8;cor=0.99;r1=0.00;r2=0.00;d1=0.00;d2=0.00;%Take correlations to produce Cholesky decompa=[1 cor;cor 1];b=chol(a);%define pathSfinal=zeros(Sims,2);Hit=zeros(Sims,1);S=zeros(Paths,2);for j=1:SimsZ=randn(Paths,2);dZ=Z*b;dZ1=dZ(:,1);dZ2=dZ(:,2);S(1,1)=s1;S(1,2)=s2;for i=1:Paths-1 S(i+1,1)=S(i,1)*exp((r1-d1)*t/Paths - 0.5*t/Paths*(v1^2) + v1*sqrt(t/Paths)*dZ1(i,1)); S(i+1,2)=S(i,2)*exp((r2-d2)*t/Paths - 0.5*t/Paths*(v2^2) + v2*sqrt(t/Paths)*dZ2(i,1));endSfinal(j,1)=S(Paths,1);Sfinal(j,2)=S(Paths,2);if Sfinal(j,1)<Sfinal(j,2); %Hit(j)=1; Hit(j)=max(log(Sfinal(j,1)/K1),0);else Sfinal(j,2)<Sfinal(j,1); Hit(j)=max(log(Sfinal(j,2)/K2),0);endS=zeros(Paths,2);endA=ones(Sims,1);payout=A'*Hit/Sims;payout*exp(-r1*t)

Bringiton,I have sent you a pvt message. thanks