Fx Digital Option
financepy.products.fx.fx_digital_option
Classes
FXDigitalOption
FXDigitalOption(expiry_dt: financepy.utils.date.Date, strike_fx_rate: float | numpy.ndarray, currency_pair: str, opt_type: financepy.utils.global_types.OptionTypes | list, notional: float, prem_currency: str, spot_days: int = 0)
FX Digital Option
Methods
value
value(self, value_dt, spot_fx_rate, domestic_curve, foreign_curve, model)
Valuation of a digital option using Black-Scholes model. This
allows for 4 cases - first upper barriers that when crossed pay out
cash (calls) and lower barriers than when crossed from above cause a
cash payout (puts) PLUS the fact that the cash payment can be in
domestic or foreign currency.
Generated automatically from the FinancePy source code.
Do not edit this file manually.