Fx Fixed Lookback Option

financepy.products.fx.fx_fixed_lookback_option

Classes

FXFixedLookbackOption


FXFixedLookbackOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.OptionTypes, option_strike: float)

The Class for FX Fixed Strike Lookback options.

Methods

value


value(self, value_dt: financepy.utils.date.Date, stock_price: float, domestic_curve: financepy.market.curves.discount_curve.DiscountCurve, foreign_curve: financepy.market.curves.discount_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: financepy.utils.date.Date, spot_fx_rate: float, domestic_curve: financepy.market.curves.discount_curve.DiscountCurve, foreign_curve: financepy.market.curves.discount_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.

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