API References

Structures

UpOut(spot, barrier, rebate, ob_days, payoff)

An up-and-out option.

UpIn(spot, barrier, rebate, ob_days, payoff)

An up-and-in option.

DownOut(spot, barrier, rebate, ob_days, payoff)

A down-and-out option.

DownIn(spot, barrier, rebate, ob_days, payoff)

A down-and-in option.

DoubleOut(spot, barrier_up, barrier_down, …)

A double-out option.

DoubleIn(spot, barrier_up, barrier_down, …)

A double-in option.

StandardSnowball(spot, barrier_out, …)

A standard snowball structure.

UpOutDownIn(spot, upper_barrier_out, …)

A structured products with a high barrier and a low barrier.

Payoffs

plain_vanilla(underlying_price, strike[, …])

A plain-vanilla payoff function.

cash_or_nothing(underlying_price, strike, …)

A cash-or-nothing payoff function.

asset_or_nothing(underlying_price, strike)

An asset-or-nothing payoff function

Payoff(func, *args, **keywords)

A class that allows payoff functions to be added, negated, and scalar-multiplied.

Products

SnowballProd(start_date, initial_price, …)

A snowball structure is an autocallable structured product with snowballing coupon payments.

Market Models

BlackScholes(r, q, v[, day_counter])

A Black-Scholes process.

Heston(r, q, rho, theta, kappa, xi, default_v0)

A stochastic-volatility model due to Heston (1993).

Engines

MonteCarlo(batch_size, num_iter[, caller])

A Monte Carlo engine for valuing path-dependent options.

Date Utilities

Calendar([holiday_rule, other_holidays])