equity quanto vanilla option

financepy.products.equity.equity_quanto_vanilla_option

Class

EquityQuantoVanillaOption

EquityQuantoVanillaOption(
    expiry_dt: Date,
    strike_price: float,
    opt_type: OptionTypes,
    num_options: float = 1.0,
    quanto_fx_rate: float = 1.0,
) -> None

European equity quanto call or put. The underlying equity is denominated in foreign currency. The payoff is converted into domestic currency at a fixed FX rate. FX convention: domestic currency per unit of foreign currency. Assumptions: - Black-Scholes equity dynamics. - Deterministic interest-rate and dividend curves. - Constant equity and FX volatilities. - Constant equity-FX correlation. - European exercise.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: float,
    domestic_discount_curve: DiscountCurve,
    foreign_discount_curve: DiscountCurve,
    dividend_curve: DiscountCurve,
    model: Model,
    fx_volatility: float,
    correlation: float,
)

Value European quanto call or put in domestic currency.

delta


delta(
    self,
    *args,
    **kwargs,
)

Domestic-currency delta with respect to foreign stock price.

gamma


gamma(
    self,
    *args,
    **kwargs,
)

Second stock-price derivative of domestic option value.

vega


vega(
    self,
    *args,
    **kwargs,
)

Total equity volatility sensitivity, including quanto drift.

fx_vega


fx_vega(
    self,
    *args,
    **kwargs,
)

Sensitivity to FX volatility.

correlation_delta


correlation_delta(
    self,
    *args,
    **kwargs,
)

Sensitivity to equity-FX correlation.

theta


theta(
    self,
    *args,
    **kwargs,
)

Calendar-time decay with flat model rates held constant.

domestic_rho


domestic_rho(
    self,
    *args,
    **kwargs,
)

Domestic continuously compounded zero-rate sensitivity.

foreign_rho


foreign_rho(
    self,
    *args,
    **kwargs,
)

Foreign continuously compounded zero-rate sensitivity.

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