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

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

Hi Ashish, can you share your code or a link to it?

2022년 6월 17일 (금) 03:35, Ashish Bansal <ash...@gm...>님이 작성:

> 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
>>
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