Support time to expiry or maturity date in BarrierOption

Author: eddelbuettel

ChangeLog

@@ -1,3 +1,12 @@
+2026-04-07  Dirk Eddelbuettel  <edd@debian.org>
+
+	* src/barrier_binary.cpp (barrierOptionEngine): For barrier option,
+	more careful about use of evaluation date, new parameter daycounter
+	* R/option.R (BarrierOption.default):  Allow fractional year to
+	expiry as well as date
+	* src/RcppExports.cpp: Regenerated
+	* R/RcppExports.R: Idem
+
 2026-03-28  Dirk Eddelbuettel  <edd@debian.org>
 
 	* src/utils.cpp (getDividendSchedule,getCallabilitySchedule): Remove

R/RcppExports.R

@@ -17,8 +17,8 @@ binaryOptionImpliedVolatilityEngine <- function(type, value, underlying, strike,
     .Call(`_RQuantLib_binaryOptionImpliedVolatilityEngine`, type, value, underlying, strike, dividendYield, riskFreeRate, maturity, exDate, volatility, cashPayoff, dayCounter)
 }
 
-barrierOptionEngine <- function(barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, barrier, rebate, dayCounter) {
-    .Call(`_RQuantLib_barrierOptionEngine`, barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, barrier, rebate, dayCounter)
+barrierOptionEngine <- function(barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, exDate, volatility, barrier, rebate, dayCounter) {
+    .Call(`_RQuantLib_barrierOptionEngine`, barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, exDate, volatility, barrier, rebate, dayCounter)
 }
 
 bermudanFromYieldEngine <- function(rparam, yield, swaptionMat, swapLengths, swaptionVols) {

R/option.R

@@ -91,8 +91,10 @@ BarrierOption.default <- function(barrType, type, underlying, strike,
                                   volatility, barrier, rebate=0.0, dayCounter=0) {
     type <- match.arg(type, c("call", "put"))
     barrType <- match.arg(barrType, c("downin", "upin", "downout", "upout"))
-    val <- barrierOptionEngine(barrType, type, underlying, strike, dividendYield,
-                               riskFreeRate, maturity, volatility, barrier, rebate, dayCounter)
+    val <- barrierOptionEngine(barrType, type, underlying, strike, dividendYield, riskFreeRate,
+                               if (inherits(maturity, "numeric")) maturity else NULL,
+                               if (inherits(maturity, "Date")) maturity else NULL,
+                               volatility, barrier, rebate, dayCounter)
     class(val) <- c("BarrierOption", "Option")
     val
 }

src/RcppExports.cpp

@@ -95,8 +95,8 @@ BEGIN_RCPP
 END_RCPP
 }
 // barrierOptionEngine
-Rcpp::List barrierOptionEngine(std::string barrType, std::string type, double underlying, double strike, double dividendYield, double riskFreeRate, double maturity, double volatility, double barrier, double rebate, int dayCounter);
-RcppExport SEXP _RQuantLib_barrierOptionEngine(SEXP barrTypeSEXP, SEXP typeSEXP, SEXP underlyingSEXP, SEXP strikeSEXP, SEXP dividendYieldSEXP, SEXP riskFreeRateSEXP, SEXP maturitySEXP, SEXP volatilitySEXP, SEXP barrierSEXP, SEXP rebateSEXP, SEXP dayCounterSEXP) {
+Rcpp::List barrierOptionEngine(std::string barrType, std::string type, double underlying, double strike, double dividendYield, double riskFreeRate, Rcpp::Nullable<double> maturity, Rcpp::Nullable<QuantLib::Date> exDate, double volatility, double barrier, double rebate, int dayCounter);
+RcppExport SEXP _RQuantLib_barrierOptionEngine(SEXP barrTypeSEXP, SEXP typeSEXP, SEXP underlyingSEXP, SEXP strikeSEXP, SEXP dividendYieldSEXP, SEXP riskFreeRateSEXP, SEXP maturitySEXP, SEXP exDateSEXP, SEXP volatilitySEXP, SEXP barrierSEXP, SEXP rebateSEXP, SEXP dayCounterSEXP) {
 BEGIN_RCPP
     Rcpp::RObject rcpp_result_gen;
     Rcpp::RNGScope rcpp_rngScope_gen;
@@ -106,12 +106,13 @@ BEGIN_RCPP
     Rcpp::traits::input_parameter< double >::type strike(strikeSEXP);
     Rcpp::traits::input_parameter< double >::type dividendYield(dividendYieldSEXP);
     Rcpp::traits::input_parameter< double >::type riskFreeRate(riskFreeRateSEXP);
-    Rcpp::traits::input_parameter< double >::type maturity(maturitySEXP);
+    Rcpp::traits::input_parameter< Rcpp::Nullable<double> >::type maturity(maturitySEXP);
+    Rcpp::traits::input_parameter< Rcpp::Nullable<QuantLib::Date> >::type exDate(exDateSEXP);
     Rcpp::traits::input_parameter< double >::type volatility(volatilitySEXP);
     Rcpp::traits::input_parameter< double >::type barrier(barrierSEXP);
     Rcpp::traits::input_parameter< double >::type rebate(rebateSEXP);
     Rcpp::traits::input_parameter< int >::type dayCounter(dayCounterSEXP);
-    rcpp_result_gen = Rcpp::wrap(barrierOptionEngine(barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, barrier, rebate, dayCounter));
+    rcpp_result_gen = Rcpp::wrap(barrierOptionEngine(barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, exDate, volatility, barrier, rebate, dayCounter));
     return rcpp_result_gen;
 END_RCPP
 }
@@ -1715,7 +1716,7 @@ static const R_CallMethodDef CallEntries[] = {
     {"_RQuantLib_asianOptionEngine", (DL_FUNC) &_RQuantLib_asianOptionEngine, 11},
     {"_RQuantLib_binaryOptionEngine", (DL_FUNC) &_RQuantLib_binaryOptionEngine, 12},
     {"_RQuantLib_binaryOptionImpliedVolatilityEngine", (DL_FUNC) &_RQuantLib_binaryOptionImpliedVolatilityEngine, 11},
-    {"_RQuantLib_barrierOptionEngine", (DL_FUNC) &_RQuantLib_barrierOptionEngine, 11},
+    {"_RQuantLib_barrierOptionEngine", (DL_FUNC) &_RQuantLib_barrierOptionEngine, 12},
     {"_RQuantLib_bermudanFromYieldEngine", (DL_FUNC) &_RQuantLib_bermudanFromYieldEngine, 5},
     {"_RQuantLib_bermudanWithRebuiltCurveEngine", (DL_FUNC) &_RQuantLib_bermudanWithRebuiltCurveEngine, 6},
     {"_RQuantLib_zeroPriceByYieldEngine", (DL_FUNC) &_RQuantLib_zeroPriceByYieldEngine, 8},

src/barrier_binary.cpp

@@ -151,7 +151,8 @@ Rcpp::List barrierOptionEngine(std::string barrType,
                                double strike,
                                double dividendYield,
                                double riskFreeRate,
-                               double maturity,
+                               Rcpp::Nullable<double> maturity,
+                               Rcpp::Nullable<QuantLib::Date> exDate,
                                double volatility,
                                double barrier,
                                double rebate,
@@ -176,8 +177,8 @@ Rcpp::List barrierOptionEngine(std::string barrType,
     // updated again for QuantLib 0.9.0,
     // cf QuantLib-0.9.0/test-suite/barrieroption.cpp
     QuantLib::Date evalDate = QuantLib::Settings::instance().evaluationDate();
+    QuantLib::Date expiryDate = getFutureDate(evalDate, maturity, exDate);
     QuantLib::DayCounter dc = getDayCounter(dayCounter);
-    QuantLib::Date exDate = getFutureDate(evalDate, maturity);
     auto spot = qlext::make_shared<QuantLib::SimpleQuote>(underlying);
     auto qRate = qlext::make_shared<QuantLib::SimpleQuote>(dividendYield);
     auto qTS = flatRate(evalDate, qRate, dc);
@@ -186,7 +187,7 @@ Rcpp::List barrierOptionEngine(std::string barrType,
     auto vol = qlext::make_shared<QuantLib::SimpleQuote>(volatility);
     auto volTS = flatVol(evalDate, vol, dc);
 
-    auto exercise = qlext::make_shared<QuantLib::EuropeanExercise>(exDate);
+    auto exercise = qlext::make_shared<QuantLib::EuropeanExercise>(expiryDate);
 
     auto payoff = qlext::make_shared<QuantLib::PlainVanillaPayoff>(optionType, strike);