Equity Chooser Option
financepy.products.equity.equity_chooser_option
Classes
EquityChooserOption
EquityChooserOption(choose_dt: financepy.utils.date.Date, call_expiry_dt: financepy.utils.date.Date, put_expiry_dt: financepy.utils.date.Date, call_strike_price: float, put_strike_price: float)
Inherits from: EquityOption
A EquityChooserOption is an option which allows the holder to
either enter into a call or a put option on a later expiry date, with both
strikes potentially different and both expiry dates potentially different.
This is known as a complex chooser. All the option details are set at trade
initiation.
Methods
value
value(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Value the complex chooser option using an approach by Rubinstein
(1991). See also Haug page 129 for complex chooser options.
value_mc
value_mc(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model, num_paths: int = 10000, seed: int = 4242)
Value the complex chooser option Monte Carlo.
value_dt_on_choose_dt
value_dt_on_choose_dt(self, value_dt, stock_price, discount_curve, dividend_curve, model)
No description available.
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