As I quickly look through, it seems MCVanillaEngine will fit your purpose.
Regards,
Cheng
发件人: Theo Boafo [mailto:[hidden email]]
发送时间: 2014年1月15日 1:55
收件人: [hidden email]; "Luigi Ballabio <luigi.ballabio"@gmail.com
主题: [Quantlib-users] Using local vol or Heston for MCBarrierEngine
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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