newbie question on using MC to value autocall with asian option feature

Posted by archlight on
URL: http://quantlib.414.s1.nabble.com/newbie-question-on-using-MC-to-value-autocall-with-asian-option-feature-tp6821.html

Hi all, 

    I am newbie to quantlib. I am learning it by valuing some of product valuing at our department. I have one equity index derivative with Bermudan, autocall and asianoption feature embedded. something like

   three kock-out determination day

   K1, K2, K3

   at each knock-out date, payoff is if (average(previous ten days underlying price)>index, Notional*func(Ki)) where i=1, 2, 3

   I tried to pass Bermudan exercise to DiscreteAveragingAsianOption but it seems wrong type. I am using Longstaff Schwartz to achieve it. but i am not sure how to collect previous ten days result into payoff class. 

   what is your suggestion!

archlight

Regards

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