Re: [Quantlib-users] Engine for PartialTimeBarrierOption

[Jonathan S. <sw...@gm...>]

Hi Michele,

When you say that you "replaced" DividendBarrierOption arguments and
results with PartialTimeBarrierOption, do you mean that you modified the
existing fdhestonbarrierengine.hpp file?

If that's what you mean, then you'll first have to create a copy of
fdhestonbarrierengine.hpp and give your class a new name such as
FdHestonPartialTimeBarrierEngine and then also copy the cpp file and modify
the code to implement the pricing logic.

If that's not what you mean then could you share your code along with the
full compiler error that you're seeing?

On Mon, Jul 4, 2022 at 8:21 PM Michele dL <mdi...@gm...> wrote:

> 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
>
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