Equity Vanilla Option

financepy.products.equity.equity_vanilla_option

Classes

EquityVanillaOption


EquityVanillaOption(expiry_dt: financepy.utils.date.Date | List, strike_price: float | numpy.ndarray, opt_type: financepy.utils.global_types.OptionTypes, num_options: float = 1.0)

Class for managing plain vanilla European calls and puts on equities. For American calls and puts see the EquityAmericanOption class.

Methods

intrinsic


intrinsic(self, value_dt: financepy.utils.date.Date, stock_price: numpy.ndarray | float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve)

Equity Vanilla Option valuation using Black-Scholes model.

value


value(self, value_dt: financepy.utils.date.Date, stock_price: float | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Equity Vanilla Option valuation using Black-Scholes model.

delta


delta(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model)

Calculate the analytical delta of a European vanilla option.

gamma


gamma(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Calculate the analytical gamma of a European vanilla option.

vega


vega(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Calculate the analytical vega of a European vanilla option.

theta


theta(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Calculate the analytical theta of a European vanilla option.

rho


rho(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Calculate the analytical rho of a European vanilla option.

vanna


vanna(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model)

Calculate the analytical vanna of a European vanilla option.

implied_volatility


implied_volatility(self, value_dt: financepy.utils.date.Date, stock_price: float | list | numpy.ndarray, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, price)

Calculate the Black-Scholes implied volatility of a European vanilla option.

value_mc_numpy_only


value_mc_numpy_only(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

No description available.

value_mc_numba_only


value_mc_numba_only(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

No description available.

value_mc_numba_parallel


value_mc_numba_parallel(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

No description available.

value_mc_numpy_numba


value_mc_numpy_numba(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

No description available.

value_mc_nonumba_nonumpy


value_mc_nonumba_nonumpy(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

No description available.

value_mc


value_mc(self, value_dt: financepy.utils.date.Date, stock_price: float, discount_curve: financepy.market.curves.discount_curve.DiscountCurve, dividend_curve: financepy.market.curves.discount_curve.DiscountCurve, model: financepy.models.model.Model, num_paths: int = 10000, seed: int = 4242, use_sobol: int = 0)

Value European style call or put option using Monte Carlo. This is mainly for educational purposes. Sobol numbers can be used.

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