MCEngine

Posted by Bohan Liu on
URL: http://quantlib.414.s1.nabble.com/MCEngine-tp7762.html

Dear all,
 
I am trying to price barrier option using monte carlo engine instead of AnalyticBarrierEngine. There are two template typedef in this engine: RNG and S.
 
1) I set RNG to MersenneTwister, but I cannot figure out what S is.
 
2) Is there any way to price set double barrier, in which barrier and rabate change during their lifetime? I can't find such a type (i.e. double barrier) in Barrier class.
 
3) My intelliSense in C++ does not show some of the members of QuantLib, how can I make sure that intelliSense works well with QuantLib? (When I built QuantLib, I did wait for intelliSense to be updated).
 
Thanks in advance for your time.
 
Best,
 
Bohan
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