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Is it possible to price barrier options on a basket of stocks using Quantlib, e.g. a Worst-of Down-and-in-Put on a basket of 3 stocks?

I already checked the MCBarrierEngine (does not support multiple stocks) and the MCEuropeanBasketEngine (does not support barrier options), but without any luck.

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There's no such engine at this time. If you want to code it, you can clone and rename the MCEuropeanBasketEngine and the EuropeanMultiPathPricer classes. The new path-pricer class must be modified so that its operator() returns the payoff of your option as calculated on a given path; the new engine will be mostly unmodified, except for the pathPricer method which of course must now return an instance of the new path-pricer class.

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  • $\begingroup$ ok - I see what I can do :) $\endgroup$
    – user625626
    Commented Jul 27, 2016 at 14:16

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