FinancePy

FinancePy API Reference

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.