[Quantlib-users] re-evaluating an option using MC engine in a loop

[Mohammad Shoja-t. <msh...@gm...>]

Hi,

I'm trying to re-evaluate an option with different today's date and a fixed
maturity date, in a loop, but I keep getting the same result as if today's
date doesn't get updated to new value.

my code roughly looks like this:



  boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new
PlainVanillaPayoff(QuantLib::Option::Call, faceValue));

  boost::shared_ptr<QuantLib::BlackScholesMertonProcess> stochProcess(new


QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),

      QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),

      QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),

      QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));



  boost::shared_ptr<QuantLib::PricingEngine> engine =


QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)

    .withSamples(4095)

    .withControlVariate(true);



  boost::shared_ptr<QuantLib::Exercise> exercise(new
QuantLib::EuropeanExercise(maturityDate));



  for (int i = 0; i <= 4; ++i)

  {

    auto tDay = QuantLib::Date(1, QuantLib::March, 2022 + i);

    QuantLib::Settings::instance().evaluationDate() = tDay;



    QuantLib::DiscreteAveragingAsianOption option(averageType, runningSum,
pastFixings, fixingDates,

      payoff, exercise);



    option.setPricingEngine(engine);

    option.recalculate();  // even this doesn't help, or resetting of
engine and stochProcess



    QuantLib::Real quantLibValue = option.NPV();



    BOOST_CHECK_CLOSE(expectedValue, quantLibValue, 0.3); // error less
than 0.3%

  }



Any idea what I'm doing wrong please?


-- 
Mohammad Shojatalab