Quanto options

[Mathias Zetterqvist]

Hi

Trying to learn QuantLib and Im want to price a Quanto-Barrier option,
how shall I do that on the best way. Can I use the existing
QuantoEngine in
the Barrier option in any way?

Something like this.... "

boost::shared_ptr<BarrierOption::engine> underlyingEngine(new
AnalyticBarrierEngine);
boost::shared_ptr<PricingEngine> engine( new
QuantoEngine<BarrierOption::arguments,
BarrierOption::results>(underlyingEngine));

But this will fail when this code execute,
engine_->arguments()->validate();
in instrument.hpp.

Thanks in advance
/Mathias Zetterqvist

[Luigi Ballabio]

On 06/15/2005 06:00:30 PM, Mathias Zetterqvist wrote:
>
> Trying to learn QuantLib and Im want to price a Quanto-Barrier option,
> how shall I do that on the best way. Can I use the existing
> QuantoEngine in the Barrier option in any way?

Not straighforwardly---you'll have to do a bit of work. You can look at  
QuantoForwardOption, where a similar problem is tackled.

Later,
        Luigi

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Use every man after his desert, and who shall scape whipping?
-- Hamlet, Act II, scene II