[Quantlib-users] Engine for PartialTimeBarrierOption

[Michele dL <mdi...@gm...>]

Hi all,

I'm trying to use the Heston model to price a window barrier option.

With standard barrier option under BSM model one could use the analytical
engine with the following inheritance
class AnalyticPartialTimeBarrierOptionEngine
: public PartialTimeBarrierOption::engine


In my case, I would like to use something similar to the
fdHestonBarrierEngine

class FdHestonBarrierEngine
: public GenericModelEngine<HestonModel,
DividendBarrierOption::arguments,
DividendBarrierOption::results>

However, in this case a problem with argument arises. I tried in vain
replacing DividentBarrierOption::arguments and
DividentBarrierOption::results with PartialTimeBarrierOption::arguments and
PartialTimeBarrierOption::results, respectively.
It seems that inside the engine it requires arguments_.cashFlow which is
not defined inside PartialTimeBarrierOption.

Can anyone suggest any possible fix to use PartialTimeBarrierOption with
fdHestonBarrierEngine, please?

Thanks