[Quantlib-users] Supporting calculation for Partial Time barrier puts

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

Hi all,

I am looking at the Partial Time barrier code to calculate the value of PTB
options and noticed that the Put is not supported:
https://rkapl123.github.io/QLAnnotatedSource/d0/d16/analyticpartialtimebarrieroptionengine_8cpp_source.html
Line# 111:
          case Option::Put:
            QL_FAIL("Partial-time barrier Put option is not implemented");

I was wondering if the Put valuation can be implemented using the Put-Call
Symmetry given in the Haug book, section # 4.17.8:
*Use of Put-Call Symmetry for Barrier Options*
[image: image.png]

P.S. I am using Python SWIG so need this supported in there too.

Regards
Ashish