Module instruments

The instruments module.

Modules

analytic_option_pricer

Analytic option pricer. Analytic option pricing module.

bonds

Bond pricing models.

equities

Equity instruments.

fx

FX instruments.

instrument

Base trait for all instruments.

monte_carlo_pricer

Monte-Carlo pricer. Monte-Carlo pricer trait.

options

Option pricers and sensitivity functions.

payoff

Generic derivative payoff trait.

ticker

Ticker symbol.

Macros

impl_monte_carlo_pricer

Macro to implement MonteCarloPricer for a given instrument type.

Structs

AnalyticOptionPricer

Analytic option pricer.

AnalyticOptionPricerBuilder

Builder for AnalyticOptionPricer.

Asay82

Asay (1982) option pricing parameters.

AsianOption

Asian option.

AsianOptionBuilder

Builder for AsianOption.

Bachelier

Bachelier (1900) option pricing parameters.

BarrierOption

Barrier option.

BinaryOption

Binary option.

Black76

Black (1976) option pricing parameters.

BlackScholes73

Black-Scholes (1973) option pricing parameters.

BlackScholesMerton

Generalised Black-Scholes-Merton European Option pricing model.

BlackScholesMertonBuilder

Builder for BlackScholesMerton.

CappedPowerOption

Capped Power Option.

Currency

Currency data struct.

CurrencyPair

Currency pair.

Equity

Equity instrument.

EuropeanVanillaOption

European vanilla option.

EuropeanVanillaOptionBuilder

Builder for EuropeanVanillaOption.

Exchange

Exchange struct to hold exchange rates.

ExchangeRate

ExchangeRate struct to hold exchange rate information.

GarmanKohlhagen83

Garman-Kohlhagen (1983) option pricing parameters.

Heston93

Heston (1993) option pricing parameters.

LogMoneynessContract

Log Moneyness Contract.

LogOption

Log Option.

LogUnderlyingContract

Log Underlying Contract.

LookbackOption

Lookback option.

Merton73

Meron (1973) option pricing parameters.

Money

Money struct.

OptionContract

Option contract data.

OptionContractBuilder

Builder for OptionContract.

PowerContract

Power Contract.

PowerOption

Power Option. Not to be confused with the PoweredOption.

PoweredOption

Powered Option. Not to be confused with the PowerOption.

SupershareOption

Supershare option.

Ticker

Ticker symbol for financial instruments.

Enums

AnalyticOptionPricerBuilderError

Error type for AnalyticOptionPricerBuilder

AsianOptionBuilderError

Error type for AsianOptionBuilder

AveragingMethod

Method of averaging (arithmetic or geometric, and continuous or discrete).

BarrierType

Barrier type flag.

BinaryType

Binary type enum.

BlackScholesMertonBuilderError

Error type for BlackScholesMertonBuilder

EuropeanVanillaOptionBuilderError

Error type for EuropeanVanillaOptionBuilder

ExerciseFlag

American/European option type enum.

OptionContractBuilderError

Error type for OptionContractBuilder

SettlementFlag

Instrument settlement flag.

StrikeFlag

Option strike type enum.

TypeFlag

Option type enum.

Constants

AED

United Arab Emirates Dirham (AED)

AFN

Afghan Afghani (AFN)

ALL

Albanian Lek (ALL)

AMD

Armenian Dram (AMD)

ANG

Netherlands Antillean Guilder (ANG)

AOA

Angolan Kwanza (AOA)

ARS

Argentine Peso (ARS)

AUD

Australian Dollar (AUD)

AWG

Aruban Florin (AWG)

AZN

Azerbaijani Manat (AZN)

BAM

Bosnia and Herzegovina Convertible Mark (BAM)

BBD

Barbados Dollar (BBD)

BDT

Bangladeshi Taka (BDT)

BGN

Bulgarian Lev (BGN)

BHD

Bahraini Dinar (BHD)

BIF

Burundian Franc (BIF)

BMD

Bermudian Dollar (BMD)

BND

Brunei Dollar (BND)

BOB

Boliviano (BOB)

BRL

Brazilian Real (BRL)

BSD

Bahamian Dollar (BSD)

BTN

Bhutanese Ngultrum (BTN)

BWP

Botswana Pula (BWP)

BYN

Belarusian Ruble (BYN)

BZD

Belize Dollar (BZD)

CAD

Canadian Dollar (CAD)

CDF

Congolese Franc (CDF)

CHF

Swiss Franc (CHF)

CLP

Chilean Peso (CLP)

CNY

Renminbi (Chinese) Yuan (CNY)

COP

Colombian Peso (COP)

CRC

Costa Rican Colon (CRC)

CUC

Cuban Convertible Peso (CUC)

CUP

Cuban Peso (CUP)

CVE

Cape Verdean Escudo (CVE)

CZK

Czech Koruna (CZK)

DJF

Djiboutian Franc (DJF)

DKK

Danish Krone (DKK)

DOP

Dominican Peso (DOP)

DZD

Algerian Dinar (DZD)

EGP

Egyptian Pound (EGP)

ERN

Eritrean Nakfa (ERN)

ETB

Ethiopian Birr (ETB)

EUR

Euro (EUR)

FJD

Fijian Dollar (FJD)

FKP

Falkland Islands Pound (FKP)

GBP

Pound Sterling (GBP)

GEL

Georgian Lari (GEL)

GHS

Ghanaian Cedi (GHS)

GIP

Gibraltar Pound (GIP)

GMD

Gambian Dalasi (GMD)

GNF

Guinean Franc (GNF)

GTQ

Guatemalan Quetzal (GTQ)

GYD

Guyanese Dollar (GYD)

HKD

Hong Kong Dollar (HKD)

HNL

Honduran Lempira (HNL)

HRK

Croatian Kuna (HRK)

HTG

Haitian Gourde (HTG)

HUF

Hungarian Forint (HUF)

IDR

Indonesian Rupiah (IDR)

ILS

Israeli New Shekel (ILS)

INR

Indian Rupee (INR)

IQD

Iraqi Dinar (IQD)

IRR

Iranian Rial (IRR)

ISK

Icelandic Króna (ISK)

JMD

Jamaican Dollar (JMD)

JOD

Jordanian Dinar (JOD)

JPY

Japanese Yen (JPY)

KES

Kenyan Shilling (KES)

KGS

Kyrgyzstani Som (KGS)

KHR

Cambodian Riel (KHR)

KMF

Comoro Franc (KMF)

KPW

North Korean Won (KPW)

KRW

South Korean Won (KRW)

KWD

Kuwaiti Dinar (KWD)

KYD

Cayman Islands Dollar (KYD)

KZT

Kazakhstani Tenge (KZT)

LAK

Lao Kip (LAK)

LBP

Lebanese Pound (LBP)

LKR

Sri Lankan Rupee (LKR)

LRD

Liberian Dollar (LRD)

LSL

Lesotho Loti (LSL)

LYD

Libyan Dinar (LYD)

MAD

Moroccan Dirham (MAD)

MDL

Moldovan Leu (MDL)

MGA

Malagasy Ariary (MGA)

MKD

Macedonian Denar (MKD)

MMK

Myanmar Kyat (MMK)

MNT

Mongolian Tögrög (MNT)

MOP

Macanese Pataca (MOP)

MRO

Mauritanian Ouguiya (MRO)

MUR

Mauritian Rupee (MUR)

MVR

Maldivian Rufiyaa (MVR)

MWK

Malawian Kwacha (MWK)

MXN

Mexican Peso (MXN)

MYR

Malaysian Ringgit (MYR)

MZN

Mozambican Metical (MZN)

NAD

Namibian Dollar (NAD)

NGN

Nigerian Naira (NGN)

NIO

Nicaraguan Córdoba (NIO)

NOK

Norwegian Krone (NOK)

NPR

Nepalese Rupee (NPR)

NZD

New Zealand Dollar (NZD)

OMR

Omani Rial (OMR)

PAB

Panamanian Balboa (PAB)

PEN

Peruvian Sol (PEN)

PGK

Papua New Guinean Kina (PGK)

PHP

Philippine Peso (PHP)

PKR

Pakistani Rupee (PKR)

PLN

Polish Złoty (PLN)

PYG

Paraguayan Guarani (PYG)

QAR

Qatari Riyal (QAR)

RON

Romanian Leu (RON)

RSD

Serbian Dinar (RSD)

RUB

Russian Ruble (RUB)

RWF

Rwandan Franc (RWF)

SAR

Saudi Riyal (SAR)

SBD

Solomon Islands Dollar (SBD)

SCR

Seychelles Rupee (SCR)

SDG

Sudanese Pound (SDG)

SEK

Swedish Krona/Kronor (SEK)

SGD

Singapore Dollar (SGD)

SHP

Saint Helena Pound (SHP)

SLE

Sierra Leonean (new) Leone (SLE)

SLL

Sierra Leonean (old) Leone (SLL)

SOS

Somali Shilling (SOS)

SRD

Surinamese Dollar (SRD)

SSP

South Sudanese Pound (SSP)

STN

São Tomé and Príncipe Dobra (STN)

SVC

Salvadoran Colón (SVC)

SYP

Syrian Pound (SYP)

SZL

Swazi Lilangeni (SZL)

THB

Thai Baht (THB)

TJS

Tajikistani Somoni (TJS)

TMT

Turkmenistan Manat (TMT)

TND

Tunisian Dinar (TND)

TOP

Tongan Paʻanga (TOP)

TRY

Turkish Lira (TRY)

TTD

Trinidad and Tobago Dollar (TTD)

TWD

New Taiwan Dollar (TWD)

TZS

Tanzanian Shilling (TZS)

UAH

Ukrainian Hryvnia (UAH)

UGX

Ugandan Shilling (UGX)

USD

United States Dollar (USD)

UYU

Uruguayan Peso (UYU)

UZS

Uzbekistan Som (UZS)

VES

Venezuelan Bolívar Soberano (VES)

VND

Vietnamese Đồng (VND)

VUV

Vanuatu Vatu (VUV)

WST

Samoan Tālā (WST)

XAF

CFA Franc BEAC (XAF)

XCD

East Caribbean Dollar (XCD)

XOF

CFA Franc BCEAO (XOF)

XPF

CFP Franc (XPF)

YER

Yemeni Rial (YER)

ZAR

South African Rand (ZAR)

ZMW

Zambian Kwacha (ZMW)

ZWL

Zimbabwean Dollar (ZWL)

Traits

GeneralisedBlackScholesMerton

Generalised Black-Scholes-Merton option pricing model and it’s Greeks.

Instrument

Instrument trait The trait provides a common interface for all instruments. All instruments can be queried for their net present value (NPV) and error (if available). The valuation date is the date at which the instrument’s NPV is being calculated; for most instruments it is the trade date, for some exotic products it might be the exercise date.

MonteCarloPricer

Monte-Carlo pricer trait.

Payoff

Generic payoff trait for derivatives.

Functions

implied_volatility

Implied volatility function to calculate the implied volatility of an option given its market price. The method is based on lets be rational paper Let’s Be Rational by Peter Jaeckel with some modifications. If price is below intrinsic value, it returns -INF, if price is above intrinsic value, it returns INF.

iv

A convenience function to calculate the implied volatility. It is a wrapper around implied_volatility function.