fx double one touch option

financepy.products.fx.fx_double_one_touch_option

Class

FXDoubleOneTouchOption

FXDoubleOneTouchOption(
    expiry_dt: Date,
    option_type: DoubleBarrierTypes,
    lower_barrier_fx_rate: float,
    upper_barrier_fx_rate: float,
    payment_size: float = 1.0,
) -> None

Inherits from: FXOption

A FinFXOneTouchOption is an option in which the buyer receives a rebate if the FX rate touches either a lower barrier or an upper barrier at any time before the option expiry date and zero otherwise.

Methods

value


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

FX One-Touch Option valuation using the Black-Scholes model assuming a continuous (American) barrier from value date to expiry. Handles both cash-or-nothing and asset-or-nothing options.

value_mc_slow


value_mc_slow(
    self,
    value_dt: Date,
    stock_price: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
    num_paths: int = 10000,
    num_steps_per_year: int = 252,
    seed: int = 4242,
)

Double one touch Option valuation using the Black-Scholes model and Monte Carlo simulation. Accuracy is not great when compared to the analytical result as we only observe the barrier a finite number of times. The convergence is slow.

value_mc_bb_slow


value_mc_bb_slow(
    self,
    value_dt: Date,
    stock_price: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
    num_steps_per_year: int = 52,
    num_paths: int = 100000,
    seed = 42,
)

No description available.

value_mc


value_mc(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
    num_steps_per_year: int = 52,
    num_paths: int = 1000000,
    seed: int = 42,
) -> float

PV via Brownian-bridge Monte Carlo with Numba parallelism. - KNOCK_IN (double one-touch): pays K if a barrier is touched before expiry. - KNOCK_OUT (double no-touch): pays K if neither barrier is touched before expiry.

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