Hi all,
Any help on the PTB options would be appreciated?
Regards
On Wed, 31 Aug 2022 at 18:57, Ashish Bansal <ash...@gm...> wrote:
> 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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