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

[Luigi B. <lui...@gm...>]

Does this also hold for partial-time barrier options?

Luigi


On Mon, Apr 29, 2024 at 9:44 AM 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
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