Bond Option
financepy.products.bonds.bond_option
Classes
BondModelTypes
BondModelTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
BondOption
BondOption(bond: financepy.products.bonds.bond.Bond, expiry_dt: financepy.utils.date.Date, strike_price: float, opt_type: financepy.utils.global_types.OptionTypes)
Class for options on fixed coupon bonds. These are options to either
buy or sell a bond on or before a specific future expiry date at a strike
price that is set on trade date. A European option only allows the bond to
be exercised into on a specific expiry date. An American option allows the
option holder to exercise early, potentially allowing earlier coupons to
be received.
Methods
value
value(self, value_dt: financepy.utils.date.Date, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Value a bond option (option on a bond) using a specified model
which include the Hull-White, Black-Karasinski and Black-Derman-Toy
model which are all implemented as short rate tree models.
Generated automatically from the FinancePy source code.
Do not edit this file manually.