derivitec.tradables.types.EqBasketOptionModelParams

class derivitec.tradables.types.EqBasketOptionModelParams(pricing_method=Method.BlackScholes, use_contract_traded_price=True, num_simulations=10000, num_time_points=100, num_strike_points=100, strike_stdev=7.0, max_init_time_step=1)[source]
__init__(pricing_method=Method.BlackScholes, use_contract_traded_price=True, num_simulations=10000, num_time_points=100, num_strike_points=100, strike_stdev=7.0, max_init_time_step=1)[source]
Parameters:

  • pricing_method – The pricing method

  • use_contract_traded_price – If true the traded price stamped on the contract is used, otherwise the traded price is set to the current option premium so that the NPV is zero

  • num_simulations – The number of simulations for Monte Carlo method

  • num_time_points – The number of time points for Monte Carlo method

  • num_strike_points – The number of strike points for Monte Carlo method

  • strike_stdev – The strike stdev for Monte Carlo method

  • max_init_time_step – The maximum initial time step for Monte Carlo method

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([pricing_method, ...])

json_params()

JSON param names.

rebuild(content)

Recursive rebuild.

recursive_decompose(item)

Helper function to recursively convert some types to a suitable format for json.

to_dict()

typename()