fx fixed lookback option

financepy.products.fx.fx_fixed_lookback_option

Class

FXFixedLookbackOption

FXFixedLookbackOption(
    expiry_dt: Date,
    opt_type: OptionTypes,
    option_strike: float,
) -> None

The Class for FX Fixed Strike Lookback options.

Methods

value


value(
    self,
    value_dt: Date,
    stock_price: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    volatility: float,
    stock_min_max: float,
)

Value FX Fixed Lookback Option using Black Scholes model and analytical formulae.

value_mc


value_mc(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    volatility: float,
    spot_fx_rate_min_max: float,
    num_paths: int = 10000,
    num_steps_per_year: int = 252,
    seed: int = 4242,
)

Value FX Fixed Lookback option using Monte Carlo.

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