quantlib.instruments.vanillaoption.

VanillaOption

class VanillaOption(StrikedTypePayoff payoff, Exercise exercise)

Bases: OneAssetOption

Vanilla option (no discrete dividends, no barriers) on a single asset

Parameters:

payoffStrikedTypePayoff

exerciseExercise

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.

Warning

Currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.