Fx One Touch Option
financepy.products.fx.fx_one_touch_option
Classes
FXOneTouchOption
FXOneTouchOption(expiry_dt: financepy.utils.date.Date, opt_type: financepy.utils.global_types.TouchOptionTypes, barrier_rate: float, payment_size: float = 1.0)
Inherits from: FXOption
A FinFXOneTouchOption is an option in which the buyer receives one
unit of currency if the FX rate touches a barrier at any time
before the option expiry date and zero otherwise. The single barrier
payoff must define whether the option pays or cancels if the barrier is
touched and also when the payment is made (at hit time or option expiry).
All of these variants are members of the FinTouchOptionTypes type.
Methods
value
value(self, value_dt: financepy.utils.date.Date, spot_fx_rate: float | numpy.ndarray, domestic_curve: financepy.market.curves.discount_curve.DiscountCurve, foreign_curve: financepy.market.curves.discount_curve.DiscountCurve, 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
value_mc(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, model, num_paths: int = 10000, num_steps_per_year: int = 252, seed: int = 4242)
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.
Generated automatically from the FinancePy source code.
Do not edit this file manually.