Re: [Quantlib-users] newbie question on using MC to value autocall with asian option feature

[Klaus S. <kl...@sp...>]

Hi

you need to set-up a new pricing egine that is derived from 
MCLongstaffSchwartzEngine (see e.g. mcamericanengine.hpp, forget about the 
control variate stuff for the moment).

regards
 Klaus
On Wednesday 26 January 2011 12:26:49 archlight wrote:
> Thanks a lot, Klaus. basically i use AmericanPathPricer as template to
> modify into autocallpathpricer. I changed only operater() part as below
>
> ---------------------------------------------------------------------------
>---------------------- Real AutoCallPathPricer::operator()(const Path& path,
> Size t) const {
>
> 		Real sum = 0;
>
> 		for(int i=0; i<10;i++)
> 			sum+=state(path, t-i);
>
>         return payoff(sum/10);
>     }
> ---------------------------------------------------------------------------
>----------------------
>
> How do I assign this to particular engine. do I need to write a new engine
> to make path pricer assignment inside calculate() method. is there
> something like engine.setPathPricer() to decouple pricer design from engine
> design
>
> archlight
> Regards
>
> Klaus Spanderen-2 wrote:
> > Hi
> >
> > IMHO I think you have to implement a new AsianAutoCallablePathPricer
> > which is
> > derived from EarlyExercisePathPricer<Path>. The operator() of this pricer
> > should perform the averaging over the previous ten days and implement the
> > autocallable feature. The Bermudan feature, is it a issuer calll right or
> > an
> > investor call right?
> >
> >>From the model point of view pricing this sturtures is a challange. I've
>
> seen
>
> > people using hybrid stoch vol equity + Hull White interest rate processes
> > to
> > price this products. Simple local vol + deterministic interest rates can
> > lead
> > to "wrong" prices.
> >
> > regards
> >  Klaus
> >
> > On Tuesday 25 January 2011 04:21:21 archlight wrote:
> >> based on my study, I am thinking to extend Longstaff Schwartz MC to have
> >> pricer with asian option feature. meanwhile it can price Bermudan
> >> option.
> >>
> >> can someone enlighten me on this. I am total newbie in quantlib
> >>
> >> archlight
> >>
> >> archlight wrote:
> >> > 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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