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From: Michele dL <mdi...@gm...> - 2022-07-04 11:18:29
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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 |