qdpmc.structures.autocalls.UpOutDownIn¶

class qdpmc.structures.autocalls.UpOutDownIn(spot, upper_barrier_out, ob_days_out, rebate_out, lower_barrier_in, ob_days_in, payoff_in, payoff_nk)[source]¶

Bases: qdpmc.structures.base.StructureMC

A structured products with a high barrier and a low barrier. The high barrier dominates the lower one in the sense that, when both a “knock-out” and a “knock-in” occur during the life of the product, the status is determined as “knock-out”.

Parameters

spot (scalar) – The spot (i.e. on the valuation day) of the price of the underlying asset.
upper_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.
ob_days_out (array_like) – A 1-D array of integers specifying observation days. Each of its elements represents the number of days that an observation day is from the valuation day.
rebate_out (scalar or array_like) – The rebate of the option. If a constant is passed, then it will be treated as the time-invariant rebate paid to the option holder. If an array is passed, then it must match the length of ob_days.
lower_barrier_in (scalar or array_like) – Similar to upper_barrier_out.
ob_days_in (array_like) – Similar to ob_days_out.
payoff_in (qdpmc.tools.payoffs.Payoff) – Applies when there is a “knock-in” but no “knock-out”.
payoff_nk (qdpmc.tools.payoffs.Payoff) – Applies when there is neither “knock-in” nor “knock-out”.

Methods

`__init__`(spot, upper_barrier_out, …)	A structured products with a high barrier and a low barrier.
`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.