equity quanto forward

financepy.products.equity.equity_quanto_forward

Class

EquityQuantoForward

EquityQuantoForward(
    expiry_dt: Date,
    forward_price: float,
    notional: float,
    is_long: bool = True,
) -> None

Quanto equity forward with a fixed currency conversion rate. Assumes: - Stock price is denominated in foreign currency. - FX is quoted as domestic currency per foreign currency. - Equity and FX volatilities are annualized. - Correlation is between equity and FX log returns. - Volatilities and correlation are constant. - Dividend and foreign discount curves are foreign-currency discount-factor curves. - Notional includes the fixed quanto conversion factor when that factor differs from 1.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: float,
    domestic_discount_curve: DiscountCurve,
    foreign_discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    equity_volatility: float,
    fx_volatility: float,
    correlation: float,
) -> float

Present value of the quanto equity forward in domestic currency. Notional represents shares multiplied by the fixed quanto conversion rate. The forward price is the strike in the corresponding payoff units.

forward


forward(
    self,
    value_dt: Date,
    stock_price: float,
    foreign_discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    equity_volatility: float,
    fx_volatility: float,
    correlation: float,
) -> float

Calculate the fair quanto-adjusted forward price.

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