equity index option

financepy.products.equity.equity_index_option

Class

EquityIndexOption

EquityIndexOption(
    expiry_dt: Date | list,
    strike_price: float | numpy.ndarray,
    opt_type: OptionTypes,
    num_options: float | None = 1.0,
) -> None

Class for managing plain vanilla European/American calls and puts on equity indices.

Methods

value


value(
    self,
    value_dt: Date | list,
    forward_price: float,
    discount_curve: DiscountCurve,
    model: Model,
)

Equity Index Option valuation using Black model.

delta


delta(
    self,
    value_dt: Date,
    forward_price: float,
    discount_curve: DiscountCurve,
    model: Model,
)

Calculate delta of a European/American Index option.

gamma


gamma(
    self,
    value_dt: Date,
    forward_price: float,
    discount_curve: DiscountCurve,
    model: Model,
)

Calculate gamma of a European/American Index option.

vega


vega(
    self,
    value_dt: Date,
    forward_price: float,
    discount_curve: DiscountCurve,
    model: Model,
)

Calculate vega of a European/American Index option.

theta


theta(
    self,
    value_dt: Date,
    forward_price: float,
    discount_curve: DiscountCurve,
    model: Model,
)

Calculate theta of a European/American Index option.

implied_volatility


implied_volatility(
    self,
    value_dt: Date,
    forward_price: float | list | numpy.ndarray,
    discount_curve: DiscountCurve,
    model: Model,
    price: float,
)

No description available.

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