答复: Pricing Single barrier Option

Posted by cheng li on
URL: http://quantlib.414.s1.nabble.com/Pricing-Single-barrier-Option-tp16625p16635.html

Emm… I think it is not currently export to Python yet. You have to add it to swig by yourself.

 

Regards,

Cheng

 

发件人: Paulo Roberto Lagrotta [mailto:[hidden email]]
发送时间: 2015年6月7日 7:45
收件人: 'Cheng Li'; [hidden email]
主题: RE: [Quantlib-users] Pricing Single barrier Option

 

Hi Cheng,

Thanks for previous comment.

I’m trying using FdBlackScholesBarrierEngine but I receive “'FdBlackScholesBarrierEngine' is not defined”

I’m using Python QuantLib 1.2 version.

Any idea?

 

Regards

 

From: Cheng Li [[hidden email]]
Sent: Thursday, June 4, 2015 10:33 PM
To: 'Paulo Roberto Lagrotta'; [hidden email]
Subject: 答复: [Quantlib-users] Pricing Single barrier Option

 

Hi Paulo,

 

What is the pricing engine you are using? If it is FdBlackScholesBarrierEngine I think there is a flag called localVol to turn on the local volatility surface?

 

Regards,

Cheng

 

发件人: Paulo Roberto Lagrotta [[hidden email]]
发送时间: 2015年6月5日 7:19
收件人: [hidden email]
主题: [Quantlib-users] Pricing Single barrier Option

 

Hi everybody,

Is possible price a single barrier equity option using volatility skew surface?

I already tried using BlackVarianceSurface to price a Call UpOut with strike 100 and barrier @ 110. Price is not sensitive if change the skew.

 

Thanks in advanced.

PL

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