fx barrier option

financepy.products.fx.fx_barrier_option

Class

FXBarrierOption

FXBarrierOption(
    expiry_dt: Date,
    strike_fx_rate: float,
    currency_pair: str,
    barrier_type: BarrierTypes,
    barrier_level: float,
    num_obs_per_year: int,
    notional_currency: str,
    notional: float = 1.0,
) -> None

Inherits from: FXOption

No description available.

Methods

value


value(
    self,
    value_dt: Date,
    spot_fx_rate: float | numpy.ndarray,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
) -> float | numpy.ndarray

Value an FX barrier option for a scalar or array of spot rates.

value_mc


value_mc(
    self,
    value_dt: Date,
    spot_fx_rate: float | numpy.ndarray,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
    num_obs_per_year: int = 252,
    num_paths: int = 10000,
    seed: int = 42,
)

Value the FX Barrier Option using Monte Carlo.

Generated automatically from the FinancePy source code. Do not edit this file manually.