equity rainbow option

financepy.products.equity.equity_rainbow_option

Types

EquityRainbowOptionTypes

No description available.

Members

CALL_ON_MAXIMUM = 1

PUT_ON_MAXIMUM = 2

CALL_ON_MINIMUM = 3

PUT_ON_MINIMUM = 4

CALL_ON_NTH = 5

PUT_ON_NTH = 6

Class

EquityRainbowOption

EquityRainbowOption(
    expiry_dt: Date,
    payoff_type: EquityRainbowOptionTypes,
    payoff_params: List[float],
    num_assets: int,
) -> None

Inherits from: EquityOption

No description available.

Methods

value


value(
    self,
    value_dt: Date,
    stock_prices: numpy.ndarray,
    discount_curve: DiscountCurve,
    dividend_curves: list,
    volatilities: numpy.ndarray,
    corr_matrix: numpy.ndarray,
)

No description available.

value_mc


value_mc(
    self,
    value_dt: Date,
    stock_prices: float,
    discount_curve: DiscountCurve,
    dividend_curves: list[financepy.market.curves.discount_curve.DiscountCurve],
    volatilities: numpy.ndarray,
    corr_matrix: numpy.ndarray,
    num_paths: int,
    seed = 4242,
)

No description available.

value_mc_cv


value_mc_cv(
    self,
    value_dt: Date,
    stock_prices: float,
    discount_curve: DiscountCurve,
    dividend_curves: list[financepy.market.curves.discount_curve.DiscountCurve],
    volatilities: numpy.ndarray,
    corr_matrix: numpy.ndarray,
    num_paths: int,
    seed = 4242,
)

No description available.

Functions

payoff_value


payoff_value(
    s,
    payoff_type_value,
    payoff_params,
)

No description available.

value_mc_fast


value_mc_fast(
    t,
    stock_prices: float,
    r,
    qs,
    volatilities: numpy.ndarray,
    corr_matrix: numpy.ndarray,
    num_assets: int,
    payoff_type,
    payoff_params,
    num_paths: int,
    seed = 4242,
)

No description available.

value_mc_fast_cv


value_mc_fast_cv(
    t,
    stock_prices: float,
    r,
    qs,
    volatilities: numpy.ndarray,
    corr_matrix: numpy.ndarray,
    num_assets: int,
    payoff_type,
    payoff_params,
    num_paths: int,
    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.