fx digital option

financepy.products.fx.fx_digital_option

Class

FXDigitalOption

FXDigitalOption(
    expiry_dt: Date,
    strike_fx_rate: float | numpy.ndarray,
    currency_pair: str,
    opt_type: OptionTypes | list,
    notional: float,
    prem_currency: str,
    spot_days: int = 0,
) -> None

FX Digital Option

Methods

value


value(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: 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.

value_mc


value_mc(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
    num_paths: int = 10000,
    seed: int = 4242,
)

Value the FX digital option using Monte Carlo simulation.

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