Equity Index Option
financepy.products.equity.equity_index_option
Classes
EquityIndexOption
EquityIndexOption(expiry_dt: financepy.utils.date.Date | list, strike_price: float | numpy.ndarray, opt_type: financepy.utils.global_types.OptionTypes, num_options: float | None = 1.0)
Class for managing plain vanilla European/American
calls and puts on equity indices.
Methods
value
value(self, value_dt: financepy.utils.date.Date | list, forward_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)
Equity Index Option valuation using Black model.
delta
delta(self, value_dt: financepy.utils.date.Date, forward_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Calculate delta of a European/American Index option.
gamma
gamma(self, value_dt: financepy.utils.date.Date, forward_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)
Calculate gamma of a European/American Index option.
vega
vega(self, value_dt: financepy.utils.date.Date, forward_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)
Calculate vega of a European/American Index option.
theta
theta(self, value_dt: financepy.utils.date.Date, forward_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)
Calculate theta of a European/American Index option.
implied_volatility
implied_volatility(self, value_dt: financepy.utils.date.Date, forward_price: float | list | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, price: float)
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