Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/MCEngine-tp7762p7763.html
On Mon, 2009-08-10 at 10:36 -0500, Bohan Liu wrote:
> 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.
RNG should be one of the traits defined in rngtraits.hpp (for instance,
PseudoRandom or LowDiscrepancy; PseudoRandom uses MersenneTwister) or a
traits class defined by you, if you're not satisfied with the existing
ones. S is the statistics class you'll use to average the results from
the generated paths. You don't need to specify it, because it defaults
to the Statistics class.
> 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.
No, it's not implemented.
> 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).
I'll pass on this one---I don't know intelliSense enough to make a
guess...
Luigi
--
Cogito ergo I'm right and you're wrong.
-- Blair Houghton
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