bk tree

financepy.models.bk_tree

Class

BKTree

BKTree(
    sigma: float,
    a: float,
    num_time_steps: int = 100,
    shift: float = 0.0,
) -> 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: 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: 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: ExerciseTypes,
) -> int

No description available.

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