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

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

Hi,

Could anyone help me add this to the library? I am not well verse in
programming or this complex calculation.

Regards
Ashish

On Mon, 29 Apr 2024 at 13:10, Ashish Bansal <ash...@gm...> wrote:

> 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
>