Using local vol or Heston for MCBarrierEngine

Posted by Theo Boafo on
URL: http://quantlib.414.s1.nabble.com/Using-local-vol-or-Heston-for-MCBarrierEngine-tp14843.html

Hi Luigi/Quantlib,

In mcbarrierengine.hpp, the constructor 

MCBarrierEngine(

             const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,

             Size timeSteps,

             Size timeStepsPerYear,

             bool brownianBridge,

             bool antitheticVariate,

             Size requiredSamples,

             Real requiredTolerance,

             Size maxSamples,

             bool isBiased,

             BigNatural seed);

only takes in GeneralizedBlackScholesProcess, If I want to use hestonprocess for this class also, it does not look possible?

It may be possible if base class stochastic process was passed instead then, perhaps both  GeneralizedBlackScholesProcess and hestonprocess could be derived class objects could be passed.  I may be wrong here, not really a c++ guru.

for example I would like to price a barrier option in monte carlo using say local vol, heston, bates and slv(stochastic local vol) processes and compare their pvs, how do I do it using MCBarrierEngine?

Regards

Theo

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