Fx Option
financepy.products.fx.fx_option
Classes
FXOption
FXOption()
Class that is used to perform perturbation risk for FX options.
Methods
value
value(self, value_dt: financepy.utils.date.Date, spot_fx_rate: float, domestic_curve, foreign_curve, model)
Calculate the option value.
delta
delta(self, value_dt, spot_fx_rate, domestic_curve, foreign_curve, 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, spot_fx_rate, domestic_curve, foreign_curve, 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, spot_fx_rate, domestic_curve, foreign_curve, 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, spot_fx_rate, domestic_curve, foreign_curve, 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, spot_fx_rate, domestic_curve, foreign_curve, model)
Calculate the option rho (interest rate sensitivity) by perturbing
the discount curve and revaluing.
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Do not edit this file manually.