Approaching again for help on 3 questions on PTB options.
Ashish
On Wed, Sep 14, 2022, 10:33 PM Ashish Bansal <ash...@gm...>
wrote:
> 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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