equity option

financepy.products.equity.equity_option

Class

EquityOption

EquityOption()

Parent class for equity options requiring perturbatory risk.

Methods

value


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

No description available.

delta


delta(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option delta by perturbation of stock price.

gamma


gamma(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option gamma by perturbation of stock price.

vega


vega(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option vega by perturbing volatility by 1%.

vanna


vanna(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option vanna by perturbing delta with respect to vol.

theta


theta(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option theta by moving valuation date one calendar day.

rho


rho(
    self,
    value_dt: Date,
    stock_price: float,
    discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    **kwargs,
)

Calculate option rho by perturbing the interest-rate curve.

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