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)