fx option

financepy.products.fx.fx_option

Class

FXOption

FXOption()

Class that is used to perform perturbation risk for FX options.

Methods

value


value(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option value.

delta


delta(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option delta (FX rate sensitivity) by adding on a small bump and calculating the change in the option price.

gamma


gamma(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option gamma (delta sensitivity) by adding on a small bump and calculating the change in the option delta.

vega


vega(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option vega (volatility sensitivity) by adding on a small bump and calculating the change in the option price.

theta


theta(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option theta (calendar time sensitivity) by moving forward one day and calculating the change in the option price.

rho


rho(
    self,
    value_dt: Date,
    spot_fx_rate: float,
    domestic_curve: DiscountCurve,
    foreign_curve: DiscountCurve,
    model: Model,
)

Calculate the option rho (interest rate sensitivity) by perturbing the discount curve and revaluing.

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