quantlib.instruments.europeanoption.

EuropeanOption

class EuropeanOption(StrikedTypePayoff payoff, Exercise exercise)

Bases: VanillaOption

European option on a single asset.

Parameters:

payoffStrikedTypePayoff

The option payoff.

exerciseExercise

The option exercise.

Attributes:

delta

delta_forward

dividend_rho

elasticity

error_estimate

Real: error estimate on the NPV when available

exercise

Exercise

gamma

is_expired

bool: whether the instrument might have value greater than zero.

itm_cash_probability

net_present_value

The net present value of the instrument.

npv

A shortcut to the net_present_value property.

payoff

Payoff

rho

strike_sensitivity

theta

theta_per_day

valuation_date

Date: the date the net present value refers to.

vega

Methods

implied_volatility(self, Real price, ...)
set_pricing_engine(self, PricingEngine engine)	Sets the pricing engine to be used.