API

AmericanOption(s, k, r, σ, t, call)

American option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

AsianOption(s, k, r, σ, t, call)

Asian option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

EuropeanOption(s, k, r, σ, t, call)

European option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• q: dividend yield
• σ: volatility
• t: time to expiration
• call: true if call, false if put

FXOption(s, k, r_d, r_f, σ, t, call)

Foreign exchange option.

Arguments

• s: underlying price
• k: strike price
• r_d: domestic risk-free interest rate
• r_f: foreign risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

InterestRateDerivative(k, r, σ, θ, t)

Interest rate derivative.

Arguments

• k: speed of reversion
• r: initial interest rate
• σ: instantaneous volatility
• θ: long term mean level
• t: time interval

Abstract supertype for market observables (spot prices, rates, volatilities, etc.).

Market observables required to price equity derivatives.

Market observables required to price foreign-exchange derivatives.

Market observables required to price interest-rate derivatives.

Abstract supertype for numerical pricing methods (analytic, binomial tree, Monte Carlo, FD). Subtypes should implement:

Pricing engine for instruments with closed-form or semi-analytic solutions.

Pricing engine based on recombining binomial tree methods.

Pricing engine based on Monte Carlo simulation.

Pricing engine based on finite-difference PDE methods.

BlackKarasinski()

Black-Karasinski model.

BlackScholes()

Black-Scholes model.

BrennanSchwartz()

Brennan and Schwartz model.

CoxIngersollRoss()

Cox-Ingersoll-Ross model.

CoxRossRubinstein()

Cox-Ross-Rubinstein binomial model (aka Binomial options pricing model).

GarmanKohlhagen()

Garman–Kohlhagen model.

Heston model.

JarrowRudd()

Jarrow-Rudd model.

LeisenReimer()

Leisen-Reimer binomial model.

LongstaffSchwartz()

Longstaff-Schwartz model.

RendlemanBartter()

Rendleman-Bartter model.

Tian()

Tian binomial model.

Vasicek()

Vasicek model.

price(engine, instrument, model, market_data) -> Real

Compute the fair value of instrument under model using engine and market_data.

Abstract type for derivative contract.

Abstract type for forward contract.

Abstract type for futures contract.

Abstract type for option.

Abstract type for swap.

Abstract type for swaption.