equity forward start option

financepy.products.equity.equity_forward_start_option

Class

EquityForwardStartOption

EquityForwardStartOption(
    start_dt: Date,
    final_expiry_dt: Date,
    opt_type: OptionTypes,
)

Inherits from: EquityOption

European forward-start equity option. The strike is set equal to the stock price on start_dt. The option expires on final_expiry_dt. The option is valued under Black-Scholes using forward interest and dividend rates between the strike-setting and expiry dates.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
)

No description available.

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