Barrier options

Posted by Mariano Zeron on Jan 21, 2017; 10:25am
URL: http://quantlib.414.s1.nabble.com/Barrier-options-tp17983.html

Hi,

I'm interested in pricing a barrier option not using an analytic solution, for example through a Monte Carlo simulation. I found MCBarrierEngine but so far I have had problems using it.

I seem to have a problem passing the right template argument list. I tried


boost::shared_ptr<PricingEngine> barrierEngineMC(
new MCBarrierEngine<RandomSequenceGenerator<MersenneTwisterUniformRng>, GeneralStatistics>(bsmProcess, timeSteps, 24, true, true, nSamples, 0.000001, nSamples + 10000, false, 42));


There are quite a few errors all of them related to the use of

RandomSequenceGenerator<MersenneTwisterUniformRng>

for example (I can pass all if needed):

  'rsg_type' : is not a member of 'QuantLib::RandomSequenceGenerator<QuantLib::MersenneTwisterUniformRng>'


What is the right way of using this engine? As a side question but directly related to what I need, can this engine be used to price single barrier options (which I can price using the analytic pricer) or is this engine restricted to more exotic barriers?

Thanks in advance!

Mariano