Black Shifted
financepy.models.black_shifted
Classes
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: financepy.utils.global_types.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.