black shifted

financepy.models.black_shifted

Class

BlackShifted

BlackShifted(
    volatility: float,
    shift: float,
    implementation: int = 0,
) -> None

Black's Model which prices call and put options in the forward measure according to the Black-Scholes equation. This model also allows the distribution to be shifted to the negative in order to allow for negative interest rates.

Methods

value


value(
    self,
    forward_rate: float,
    strike_rate: float,
    time_to_expiry: float,
    df: float,
    call_or_put: OptionTypes,
) -> float

Price a derivative using Black's model which values in the forward measure following a change of measure. The sign of the shift is the same as Matlab.

Generated automatically from the FinancePy source code. Do not edit this file manually.