fx rainbow option

financepy.products.fx.fx_rainbow_option

Types

FXRainbowOptionTypes

No description available.

Members

CALL_ON_MAXIMUM = 1

PUT_ON_MAXIMUM = 2

CALL_ON_MINIMUM = 3

PUT_ON_MINIMUM = 4

CALL_ON_NTH = 5

PUT_ON_NTH = 6

Class

FXRainbowOption

FXRainbowOption(
    expiry_dt: Date,
    payoff_type: FXRainbowOptionTypes,
    payoff_params: numpy.ndarray,
    num_assets: int,
) -> None

Inherits from: FXOption

No description available.

Methods

validate


validate(
    self,
    stock_prices: float,
    foreign_rates: float,
    volatilities: numpy.ndarray,
    betas,
)

No description available.

validate_payoff


validate_payoff(
    self,
    payoff_type,
    payoff_params,
    num_assets: int,
)

No description available.

value


value(
    self,
    value_dt: Date,
    stock_prices: numpy.ndarray,
    domestic_curve: DiscountCurve,
    foreign_rates: numpy.ndarray,
    volatilities: numpy.ndarray,
    betas: numpy.ndarray,
)

No description available.

value_mc


value_mc(
    self,
    value_dt: Date,
    expiry_dt: Date,
    stock_prices: float,
    discount_curve: DiscountCurve,
    foreign_rates: float,
    volatilities: numpy.ndarray,
    betas,
    num_paths: int = 10000,
    seed = 4242,
)

No description available.

Functions

payoff_value


payoff_value(
    s,
    payoff_type_value,
    payoff_params,
)

No description available.

value_mc_fast


value_mc_fast(
    t,
    stock_prices: float,
    r,
    foreign_rates: float,
    volatilities: numpy.ndarray,
    betas,
    num_assets: int,
    payoff_type,
    payoff_params,
    num_paths: int = 10000,
    seed = 4242,
)

No description available.

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