quantlib.instruments.option.VanillaOption¶
- class VanillaOption(StrikedTypePayoff payoff, Exercise exercise)¶
Bases:
OneAssetOption
- __init__(*args, **kwargs)¶
Methods
__init__
(*args, **kwargs)implied_volatility
(self, Real price, ...)set_pricing_engine
(self, PricingEngine engine)Sets the pricing engine.
Attributes
delta
delta_forward
dividend_rho
elasticity
exercise
gamma
is_expired
itm_cash_probability
net_present_value
Instrument net present value.
npv
Shortcut to the net_present_value property.
payoff
rho
strike_sensitivity
theta
theta_per_day
valuation_date
vega
- implied_volatility(self, Real price, GeneralizedBlackScholesProcess process, DividendSchedule dividends=None, Real accuracy=1e-4, Size max_evaluations=100, Volatility min_vol=1e-7, Volatility max_vol=4.0)¶