feat(instruments): add the knock-in and double-barrier call family - #13
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ZacKienzle2 wants to merge 1 commit into
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feat(instruments): add the knock-in and double-barrier call family#13ZacKienzle2 wants to merge 1 commit into
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Add up-and-in, down-and-out, and down-and-in calls alongside a double-knock-out call settling only while the path stays inside a corridor. Each reuses the running maximum or minimum already carried by the path grid, and the knock-in variants complete the in-out parity with their knock-out twins. Tests pin that parity, the corridor breach behaviour, the unreachable-barrier and wide-corridor limits, and input validation.
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Summary
Completes the barrier instrument family (roadmap Horizon 2, Instruments).
UpAndInCall,DownAndOutCall,DownAndInCall: single-barrier knock-in and knock-out calls reusing the running maximum or minimum already on the path grid.DoubleKnockOutCall: settles only while the path stays strictly inside a corridor.deephedginganddeephedging.instruments.Tests
Up and down in-out parity reconstructing the vanilla call, corridor breach on either side, the unreachable-barrier and wide-corridor limits equal to vanilla, and input validation.
Gates
ruff, ruff format, pyright (strict, 0 errors), fast suite green locally (188 passed).