qdpmc.structures.barrier_options.UpIn¶

class qdpmc.structures.barrier_options.UpIn(spot, barrier, rebate, ob_days, payoff)[source]¶

Bases: qdpmc.structures.barrier_options.SingleBarrierOption

An up-and-in option.

An up-and-in option begins to function as a normal option once the price of the underlying asset is above the barrier level on any observation day. If during its life the barrier is not hit, a rebate will be paid to the option holder at maturity.

Parameters

spot (scalar) – Spot (ie.e, on the valuation day) price of the underlying asset.
barrier (scalar or array_like) – The barrier of the option. If a constant is passed, then it will be treated as the time-invariant barrier level of the option. If an array is passed, then it must match the length of ob_days.
rebate (scalar) – The rebate of the option. Must be a constant for knock-in options
ob_days (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.
payoff (qdpmc.tools.payoffs.Payoff) – A Payoff instance that controls the payoff

Examples

In [1]: option = qm.UpIn(
   ...:     spot=100,
   ...:     barrier=120,
   ...:     rebate=0,
   ...:     ob_days=np.linspace(1, 252, 252),
   ...:     payoff=qm.Payoff(
   ...:         qm.plain_vanilla,
   ...:         strike=100,
   ...:         option_type="call"
   ...:     )
   ...: )
   ...: 

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': 10.657713190736326,
 'Delta': 0.6158884257736955,
 'Gamma': 0.018296635217812093,
 'Rho': 43.565352342942205,
 'Vega': 46.44929686790452,
 'Theta': -0.0001343387767049241}

Methods

`__init__`(spot, barrier, rebate, ob_days, payoff)
`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.