Fx Double Digital Option
financepy.products.fx.fx_double_digital_option
Classes
FXDoubleDigitalOption
FXDoubleDigitalOption(expiry_dt: financepy.utils.date.Date, upper_strike: float | numpy.ndarray, lower_strike: float | numpy.ndarray, currency_pair: str, notional: float, prem_currency: str, spot_days: int = 0)
No description available.
Methods
value
value(self, value_dt, spot_fx_rate, domestic_curve, foreign_curve, model)
Valuation of a double digital option using Black-Scholes model.
The option pays out the notional in the premium currency if the
fx rate is between the upper and lower strike at maturity. The
valuation is equivalent to the valuation of the difference of
the value of two digital puts, one with the upper and the other
with the lower strike
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