Bk Tree
financepy.models.bk_tree
Classes
BKTree
BKTree(sigma: float, a: float, num_time_steps: int = 100) -> None
No description available.
Methods
build_tree
build_tree(self, t_mat: float, df_times: numpy.ndarray, df_values: numpy.ndarray) -> None
No description available.
bond_option
bond_option(self, t_exp: float, strike_price: float, face_amount: float, cpn_times: numpy.ndarray, cpn_flows: numpy.ndarray, exercise_type: financepy.utils.global_types.ExerciseTypes)
Value a bond option that has European or American exercise using
the Black-Karasinski model. The model uses a trinomial tree.
bermudan_swaption
bermudan_swaption(self, t_exp: float, t_mat: float, strike_price: float, face_amount: float, cpn_times: numpy.ndarray, cpn_flows: numpy.ndarray, exercise_type: financepy.utils.global_types.ExerciseTypes)
Swaption that can be exercised on specific dates over the exercise
period. Due to non-analytical bond price we need to extend tree out to
bond maturity and take into account cash flows through time.
callable_puttable_bond_tree
callable_puttable_bond_tree(self, cpn_times: numpy.ndarray, cpn_flows: numpy.ndarray, call_times: numpy.ndarray, call_prices: numpy.ndarray, put_times: numpy.ndarray, put_prices: numpy.ndarray, face: float)
Option that can be exercised at any time over the exercise period.
Due to non-analytical bond price we need to extend tree out to bond
maturity and take into account cash flows through time.
Functions
option_exercise_types_to_int
option_exercise_types_to_int(option_exercise_type: financepy.utils.global_types.ExerciseTypes) -> int
No description available.
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Do not edit this file manually.