Equity One Touch Option
financepy.products.equity.equity_one_touch_option
Classes
EquityOneTouchOption
EquityOneTouchOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.TouchOptionTypes, barrier_price: float, payment_size: float = 1.0)
Inherits from: EquityOption
A EquityOneTouchOption is an option in which the buyer receives one
unit of cash OR stock if the stock price touches a barrier at any time
before the option expiry date and zero otherwise. The choice of cash or
stock is made at trade initiation. The single barrier payoff must define
whether the option pays or cancels if the barrier is touched and also when
the payment is made (at hit time or option expiry). All of these variants
are all members of the FinTouchOptionTypes enumerated type.
Methods
value
value(self, value_dt: financepy.utils.date.Date, stock_price: float | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model)
Equity One-Touch Option valuation using the Black-Scholes model
assuming a continuous (American) barrier from value date to expiry.
Handles both cash-or-nothing and asset-or-nothing options.
value_mc
value_mc(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_paths: int = 10000, num_steps_per_year: int = 252, seed: int = 4242)
Touch Option valuation using the Black-Scholes model and Monte
Carlo simulation. Accuracy is not great when compared to the analytical
result as we only observe the barrier a finite number of times. The
convergence is slow.
Generated automatically from the FinancePy source code.
Do not edit this file manually.