equity chooser option

financepy.products.equity.equity_chooser_option

Class

EquityChooserOption

EquityChooserOption(
    choose_dt: Date,
    call_expiry_dt: Date,
    put_expiry_dt: Date,
    call_strike_price: float,
    put_strike_price: float,
) -> None

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: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: 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: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: 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: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
)

No description available.

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