Re: [Quantlib-users] Queries on the impact of barrier hit on Barrier pricing

[Ashish B. <ash...@gm...>]

Hi,

Any guidance on this error in barriers?

Regards,
Ashish

On Tue, 14 Jun 2022 at 13:03, Ashish Bansal <ash...@gm...> wrote:

> Dear team,
>
> I need some guidance on the pricing of the barrier option using
> the FdBlackScholesBarrierEngine in the event that the barrier is hit:
> 1. for Down-Out, when I pass the spot less than the barrier, I get
> RunTimeerror for interpolation range. Should I block the pricing at all in
> this case? Can't the engine handle it?
> 2. For Down-in, I am getting the same error whereas the option gets
> activated and is still live then why is this not priced by the engine? Am
> I doing something wrong?
>
> What is the difference between FdBlackScholesBarrierEngine
> and AnalyticBarrierEngine? I compared a few results and found a slight
> difference in values. Any suggestion on which one to use?
>
> Any help would be appreciated.
>
> Thanks
> Ashish
>