Equity Rainbow Option
financepy.products.equity.equity_rainbow_option
Classes
EquityRainbowOption
EquityRainbowOption(expiry_dt: financepy.utils.date.Date, payoff_type: financepy.products.equity.equity_rainbow_option.EquityRainbowOptionTypes, payoff_params: List[float], num_assets: int)
Inherits from: EquityOption
This class is a parent class for all equitu option classes that
require any perturbatory risk.
Methods
value
value(self, value_dt: financepy.utils.date.Date, stock_prices: numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curves: list, volatilities: numpy.ndarray, corr_matrix: numpy.ndarray)
No description available.
value_mc
value_mc(self, value_dt, stock_prices, discount_curve, dividend_curves, volatilities, corr_matrix, num_paths, seed=4242)
No description available.
value_mc_cv
value_mc_cv(self, value_dt, stock_prices, discount_curve, dividend_curves, volatilities, corr_matrix, num_paths, seed=4242)
No description available.
EquityRainbowOptionTypes
EquityRainbowOptionTypes(*values)
Inherits from: Enum
Create a collection of name/value pairs.
Example enumeration:
>>> class Color(Enum):
... RED = 1
... BLUE = 2
... GREEN = 3
Access them by:
- attribute access:
>>> Color.RED
<Color.RED: 1>
- value lookup:
>>> Color(1)
<Color.RED: 1>
- name lookup:
>>> Color['RED']
<Color.RED: 1>
Enumerations can be iterated over, and know how many members they have:
>>> len(Color)
3
>>> list(Color)
[<Color.RED: 1>, <Color.BLUE: 2>, <Color.GREEN: 3>]
Methods can be added to enumerations, and members can have their own
attributes -- see the documentation for details.
Functions
payoff_value
payoff_value(s, payoff_type_value, payoff_params)
No description available.
value_mc_fast
value_mc_fast(t, stock_prices, r, qs, volatilities, corr_matrix, num_assets, payoff_type, payoff_params, num_paths, seed=4242)
No description available.
value_mc_fast_cv
value_mc_fast_cv(t, stock_prices, r, qs, volatilities, corr_matrix, num_assets, payoff_type, payoff_params, num_paths, seed=4242)
Monte Carlo rainbow option valuation using antithetic paths and
individual vanilla-option control variates.
Generated automatically from the FinancePy source code.
Do not edit this file manually.