qdpmc.structures.autocalls.StandardSnowball¶

class qdpmc.structures.autocalls.StandardSnowball(spot, barrier_out, barrier_in, ob_days_in, ob_days_out, ko_coupon, full_coupon)[source]¶

Bases: qdpmc.structures.base.StructureMC

A standard snowball structure.

A standard snowball structure gives its holder a large payoff if the price of the underlying asset stays between a certain range. If the price of the underlying asset exceeds the knock-out barrier on any observation day, the contract ends immediately and coupon is paid to the holder with the amount depending on the day of knock-out. Major reason for large loss to the holder could be a plummet in the price of the underlying asset.

Parameters

spot (scalar) – The spot (i.e. on the valuation day) of the price of the underlying asset.
barrier_out (scalar or array_like) – The knock-out barrier level. Can be either a scalar or an array. If a scalar is passed, it will be treated as the time- invariant level of barrier. If an array is passed, it must match the length of ob_days_out.
barrier_in (scalar or array_like) – The knock-in barrier level. Similar to barrier-out.
ob_days_in (array_like) – The observation day for knock-in. Must be an array of integers with each of its elements indicating the number of days that an observation day is away from the valuation day.
ob_days_out (array_like) – The observation day for knock-out. Similar to ob_days_in.
ko_coupon (array_like) – Coupon paid to the holder in a knock-out event. Must match the length of ob_days_out. Note that this should be specified in absolute amounts, not in percentages.
full_coupon (scalar) – Coupon paid to the holder if the contract survives to maturity day without knock-out or knock-in. Note that this should be specified in absolute amounts, not in percentages.

Examples

In [1]: option = qm.StandardSnowball(
   ...:     spot=100,
   ...:     barrier_out=105,
   ...:     barrier_in=80,
   ...:     ob_days_in=np.linspace(1, 252, 252),
   ...:     ob_days_out=np.linspace(1, 252, 12),
   ...:     ko_coupon=np.linspace(1, 15, 12),
   ...:     full_coupon=15
   ...: )
   ...: 

In [2]: mc = qm.MonteCarlo(125, 800)

In [3]: bs = qm.BlackScholes(0.03, 0, 0.25, 252)

In [4]: option.calc_value(mc, bs, request_greeks=True)
Out[4]: 
{'PV': -1.0192294216139468,
 'Delta': 0.42279338844788406,
 'Gamma': -0.05096704937256796,
 'Rho': 37.40840169073009,
 'Vega': -43.42512256762201,
 'Theta': 0.00014635198684496346}

Methods

`__init__`(spot, barrier_out, barrier_in, …)	A standard snowball structure.
`calc_value`(engine, process, args, *kwargs)	Calculates the present value and Greeks of the option.
`pv_log_paths`(log_paths, df)	Calculate the present value given a set of paths and an array of discount factor.

Attributes

`sim_t_array`	The array of days that the price of the underlying asset must be simulated to calculate the present value of the option.
`spot`	The spot price of the underlying asset.

calc_value(engine, process, *args, **kwargs)¶

Calculates the present value and Greeks of the option.

Parameters

engine (qdpmc.engine.monte_carlo.MonteCarlo) – An instance of Engine which determines the number of iterations and the batch size.
process (qdpmc.model.market_process.Heston or qdpmc.model.market_process.BlackScholes) – Market process.
args – Forwarded to qdpmc.engine.monte_carlo.MonteCarlo.calc()
kwargs – Forwarded to qdpmc.engine.monte_carlo.MonteCarlo.calc()

pv_log_paths(log_paths, df)[source]¶

Calculate the present value given a set of paths and an array of discount factor.

Parameters

log_paths (array_like) – A 2-D array containing the set of projections of the price of the underlying asset.
df (array_like) – A 1-D array specifying the discount factors.

Returns

scalar – The present value of the option.

property sim_t_array¶: The array of days that the price of the underlying asset must be simulated to calculate the present value of the option.

property spot¶: The spot price of the underlying asset.