Hi all,
Thanks to *Ignacio Anguita* for exposing the Partial Time Barrier to SWIG.
I have a query on the partial time barrier code. The partial time barrier
takes the following parameters:
PartialTimeBarrierOption
<https://rkapl123.github.io/QLAnnotatedSource/da/dff/class_quant_lib_1_1_partial_time_barrier_option.html#ab8da08fcc53903a7acc616bad018c41f>
(PartialBarrier::Type
<https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7>
barrierType, PartialBarrier::Range
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11>
barrierRange, Real
<https://rkapl123.github.io/QLAnnotatedSource/d6/d59/group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78>
barrier, Real
<https://rkapl123.github.io/QLAnnotatedSource/d6/d59/group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78>
rebate, Date
<https://rkapl123.github.io/QLAnnotatedSource/db/d60/class_quant_lib_1_1_date.html>
coverEventDate,
const ext::shared_ptr< StrikedTypePayoff
<https://rkapl123.github.io/QLAnnotatedSource/d1/d0d/class_quant_lib_1_1_striked_type_payoff.html>
>
&payoff
<https://rkapl123.github.io/QLAnnotatedSource/d2/df1/class_quant_lib_1_1_option.html#a90fda1cc5aac8151c1c05c22a130ba44>,
const ext::shared_ptr< Exercise
<https://rkapl123.github.io/QLAnnotatedSource/dd/db4/class_quant_lib_1_1_exercise.html>
>
&exercise
<https://rkapl123.github.io/QLAnnotatedSource/d2/df1/class_quant_lib_1_1_option.html#a4522b2c0857c9f8a24a7f9bf9600a3e0>
)
https://rkapl123.github.io/QLAnnotatedSource/da/dff/class_quant_lib_1_1_partial_time_barrier_option.html
Here most of the parameters are the same as barrier options except Barrier
Range and coverEventDate.
Could you guide me on the following:
1. What is *coverEventDate*?
2. *barrierRange* seems to be the barrier range when the barrier is active.
In it Start and end date are self explanatory and looks like barrier period
start and end. What does EndB1 and EndB2 mean? These are important for
knock-out barriers as per the code. Pasting the code below.
3. Lastly, could we run this code for barrier trades with a barrierRange of
1 day i.e. same date in Start and End/EndB1. I need to price the barrier
option where the barrier is only active on the expiry date; kind of a
European option where the strike for exercise check is different from
strike for settlement.
Barrier range code:
====================================================================
Range
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11>
{ Start
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
, End
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a667876a6f108081ad524d7d29d23d506>
, EndB1
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a30c5d1087c14b857484dfb4cad6e28d2>
, EndB2
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abbc2243a0c6f322be3cf6fe2c57fbc93>
}
https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7
----------------------------------------------------------------------------------------------------------------------------------
// checking barrier type and suitable barrier range
61 switch (barrierType) {
62 case PartialBarrier::DownIn
<https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a6ab88de83b4e4e5bb228513984281c5f>
:
63 case PartialBarrier::UpIn
<https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a8f909ed7a2ba7d90bc6cc0c0d06d6f43>
:
64 QL_REQUIRE(barrierRange == PartialBarrier::Start
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
||
65 barrierRange == PartialBarrier::End
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a667876a6f108081ad524d7d29d23d506>
,
66 "in-barrier requires Start or End range");
67 break;
68 case PartialBarrier::DownOut
<https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a9defe9c8312773f17477f4a17f4c8292>
:
69 case PartialBarrier::UpOut
<https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7aebd63d98ea3bbdd87adceafd229d6edc>
:
70 QL_REQUIRE(barrierRange == PartialBarrier::Start
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
||
71 barrierRange == PartialBarrier::EndB1
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a30c5d1087c14b857484dfb4cad6e28d2>
||
72 barrierRange == PartialBarrier::EndB2
<https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abbc2243a0c6f322be3cf6fe2c57fbc93>
,
73 "out-barrier requires Start, EndB1 or EndB2 range");
74 break;
75 default:
76 QL_FAIL("unknown barrier type");
https://rkapl123.github.io/QLAnnotatedSource/de/d9b/partialtimebarrieroption_8cpp_source.html
==========================================================================
Thanks in advance.
Regards,
Ashish
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