equity barrier option

financepy.products.equity.equity_barrier_option

Class

EquityBarrierOption

EquityBarrierOption(
    expiry_dt: Date,
    strike_price: float,
    barrier_type: BarrierTypes,
    barrier_level: float,
    num_obs_per_year: int | float = 252,
    notional: float = 1.0,
) -> None

Inherits from: EquityOption

Class to hold details of an Equity Barrier Option. It also calculates the option price using Black Scholes for 8 different variants on the Barrier structure in enum BarrierTypes.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: float | numpy.ndarray,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
)

This prices an Equity Barrier option using the formulae given in the paper by Clewlow, Llanos and Strickland December 1994 which can be found at https://warwick.ac.uk/fac/soc/wbs/subjects/finance/research/wpaperseries/1994/94-54.pdf

value_mc


value_mc(
    self,
    value_dt: Date,
    stock_price: float | numpy.ndarray,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    num_obs_per_year: int = 252,
    num_paths: int = 10000,
    seed: int = 42,
)

Value the Equity Barrier Option using Monte Carlo.

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