bond embedded option

financepy.products.bonds.bond_embedded_option

Types

BondModelTypes

No description available.

Members

BLACK = 1

HO_LEE = 2

HULL_WHITE = 3

BLACK_KARASINSKI = 4

BLACK_DERMAN_TOY = 5

BondOptionTypes

No description available.

Members

EUROPEAN_CALL = 1

EUROPEAN_PUT = 2

AMERICAN_CALL = 3

AMERICAN_PUT = 4

Class

BondEmbeddedOption

BondEmbeddedOption(
    issue_dt: Date,
    maturity_dt: Date,
    coupon: float,
    freq_type: FrequencyTypes,
    accrual_dc_type: DayCountTypes,
    call_dts: List[financepy.utils.date.Date],
    call_prices: numpy.ndarray,
    put_dts: List[financepy.utils.date.Date],
    put_prices: numpy.ndarray,
) -> None

Class for fixed coupon bonds with embedded call or put optionality.

Methods

value


value(
    self,
    settle_dt: Date,
    discount_curve: DiscountCurve,
    model: Model,
)

Value the bond that settles on the specified date that can have both embedded call and put options. This is done using the specified model and a discount curve.

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