Equity Cliquet Option

financepy.products.equity.equity_cliquet_option

Classes

EquityCliquetOption


EquityCliquetOption(start_dt: financepy.utils.date.Date, final_expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.OptionTypes, freq_type: financepy.utils.frequency.FrequencyTypes, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)

Inherits from: EquityOption

A EquityCliquetOption is a series of options which start and stop at successive times with each subsequent option resetting its strike to be ATM at the start of its life. This is also known as a reset option.

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: financepy.models.model.Model)

Value the cliquet option as a sequence of options using the Black- Scholes model.

print_payments


print_payments(self)

No description available.

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