Re: [Quantlib-users] Engine for PartialTimeBarrierOption

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

Hi Jonathan,

Thanks for your answer. This is what I did indeed. I have a copy of
fdhestonbarrierengine.hpp and fdhestonbarrierengine.cpp as follows:

Header file:
class FdHestonPartialTimeBarrierEngine
        : public GenericModelEngine<HestonModel,
                                    DividendBarrierOption::arguments,
                                    DividendBarrierOption::results> {
      public:
        // Constructor
        explicit FdHestonPartialTimeBarrierEngine(
            const ext::shared_ptr<HestonModel>& model,
            Size tGrid = 100,
            Size xGrid = 100,
            Size vGrid = 50,
            Size dampingSteps = 0,
            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer(),
            ext::shared_ptr<LocalVolTermStructure> leverageFct =
                ext::shared_ptr<LocalVolTermStructure>(),
            Real mixingFactor = 1.0);

        void calculate() const override;

      private:
        const Size tGrid_, xGrid_, vGrid_, dampingSteps_;
        const FdmSchemeDesc schemeDesc_;
        const ext::shared_ptr<LocalVolTermStructure> leverageFct_;
        const Real mixingFactor_;
    };

Source file:
FdHestonPartialTimeBarrierEngine::FdHestonPartialTimeBarrierEngine(const
ext::shared_ptr<HestonModel>& model,
                                                 Size tGrid,
                                                 Size xGrid,
                                                 Size vGrid,
                                                 Size dampingSteps,
                                                 const FdmSchemeDesc&
schemeDesc,

 ext::shared_ptr<LocalVolTermStructure> leverageFct,
                                                 const Real mixingFactor)
    : GenericModelEngine<HestonModel,
                         DividendBarrierOption::arguments,
                         DividendBarrierOption::results>(model),
      tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid),
dampingSteps_(dampingSteps),
      schemeDesc_(schemeDesc), leverageFct_(std::move(leverageFct)),
mixingFactor_(mixingFactor) {
          std::cout<<" HestonBarrierEngine \n";
      }

Probably the error arises from the wrong pricing logic. Here I'm using
DividendBarrierOption and I have not created a
DividendPartialTimeBarrierOption. Maybe this is the problem?

Thanks,
Michele

Il giorno lun 4 lug 2022 alle ore 13:31 Jonathan Sweemer <sw...@gm...>
ha scritto:

> 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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>