Equity Compound Option
financepy.products.equity.equity_compound_option
Classes
EquityCompoundOption
EquityCompoundOption(c_expiry_dt: financepy.utils.date.Date, c_opt_type: financepy.utils.global_types.OptionTypes, c_strike_price: float, u_expiry_dt: financepy.utils.date.Date, u_opt_type: financepy.utils.global_types.OptionTypes, u_strike_price: float)
Inherits from: EquityOption
A EquityCompoundOption is an option which allows the holder
to either buy or sell another underlying option on a first expiry date that
itself expires on a second expiry date. Both strikes 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, num_steps: int = 200)
Value the compound option using an analytical approach if it is
entirely European style. Otherwise use a Tree approach to handle the
early exercise. Solution by Geske (1977), Hodges and Selby (1987) and
Rubinstein (1991). See also Haug page 132.
value_tree
value_tree(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_steps: int = 200)
Value the compound option using a Tree approach to handle the
early exercise. Solution by Geske (1977), Hodges and Selby (1987) and
Rubinstein (1991). See also Haug page 132.
Generated automatically from the FinancePy source code.
Do not edit this file manually.