Equity Barrier Option
financepy.products.equity.equity_barrier_option
Classes
EquityBarrierOption
EquityBarrierOption(expiry_dt: financepy.utils.date.Date, strike_price: float, opt_type: financepy.utils.global_types.BarrierTypes, barrier_level: float, num_obs_per_year: int | float = 252, notional: float = 1.0)
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: financepy.utils.date.Date, stock_price: float | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, 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: financepy.utils.date.Date, stock_price: float | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model, num_obs_per_year=252, num_paths: int = 10000, seed: int = 42)
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
Generated automatically from the FinancePy source code.
Do not edit this file manually.