Fx Float Lookback Option
financepy.products.fx.fx_float_lookback_option
Classes
FXFloatLookbackOption
FXFloatLookbackOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.OptionTypes)
Inherits from: FXOption
This is an FX option in which the strike of the option is not fixed
but is set at expiry to equal the minimum fx rate in the case of a call
or the maximum fx rate in the case of a put.
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)
Valuation of the Floating Lookback option using Black-Scholes
using the formulae derived by Goldman, Sosin and Gatto (1979).
value_mc
value_mc(self, value_dt, stock_price, domestic_curve, foreign_curve, volatility, stock_min_max, num_paths=10000, num_steps_per_year=252, seed=4242)
Value FX floating lookback option using Monte Carlo
Generated automatically from the FinancePy source code.
Do not edit this file manually.