Fx Barrier Option
financepy.products.fx.fx_barrier_option
Classes
FXBarrierOption
FXBarrierOption(expiry_dt: financepy.utils.date.Date, strike_fx_rate: float, currency_pair: str, barrier_type: financepy.utils.global_types.FXBarrierTypes, barrier_level: float, num_obs_per_year: int, notional: float, notional_currency: str)
Inherits from: FXOption
Class that is used to perform perturbation risk for FX options.
Methods
value_old
value_old(self, value_dt, spot_fx_rate, domestic_curve, foreign_curve, model)
Value FX Barrier Option using Black-Scholes model with closed-form
analytical models.
value
value(self, value_dt: financepy.utils.date.Date, spot_fx_rate: float | numpy.ndarray, domestic_curve: financepy.market.curves.discount_curve.DiscountCurve, foreign_curve: financepy.market.curves.discount_curve.DiscountCurve, model) -> float | numpy.ndarray
Value an FX barrier option for a scalar or array of spot rates.
value_mc
value_mc(self, value_dt, spot_fx_rate, dom_interest_rate, process_type, model_params, num_ann_steps=552, num_paths=5000, seed=4242)
Value the FX Barrier Option using Monte Carlo.
Generated automatically from the FinancePy source code.
Do not edit this file manually.