bond option

financepy.products.bonds.bond_option

Types

BondModelTypes

No description available.

Members

BLACK = 1

HO_LEE = 2

HULL_WHITE = 3

BLACK_KARASINSKI = 4

Class

BondOption

BondOption(
    bond: Bond,
    expiry_dt: Date,
    strike_price: float,
    opt_type: OptionTypes,
) -> None

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: Date,
    discount_curve: DiscountCurve,
    model: 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.