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

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

Hi Luigi,

How do i verify that? If given in the Haug book, I suppose it would hold
true for all types of barriers.

Regards
Ashish

On Tue, 7 May 2024 at 20:35, Luigi Ballabio <lui...@gm...>
wrote:

> 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
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>