I am trying to extend Quantlib in order to add a pde engine to price the barrier options.
I could basically use the one for the European options, since only the border condition changes and some other small stuff.
Could I declare a derived class from FDVanillaEngine or should I rewrite a FDBarrierEngine?
The second point is I would like to use local vols and no more Implied vol in this engine.
Do you recommend writing 2 different engines or only 1 with one switch to change the vol type?
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