def __init__(self,
spot=100,
strike=80,
interest_rate=0.06,
volatility=0.2,
variance=None,
tenor=1.0,
top=None,
bottom=None):
"""Default is up and out."""
assert not (top and bottom)
BarrierOption.__init__(self,
spot=spot,
strike=strike,
interest_rate=interest_rate,
volatility=volatility,
variance=variance,
tenor=tenor,
top=top,
bottom=bottom)
BlackScholesOption.__init__(self,
spot=spot,
strike=strike,
interest_rate=interest_rate,
volatility=volatility,
variance=variance,
tenor=tenor)
def __init__(self
, spot=100
, strike=99
, interest_rate=0.06
, volatility=0.2
, variance=None
, tenor=1.0
, mean_reversion=1
, mean_variance=None
, vol_of_variance=0.4
, correlation=0
, top=None
, bottom=None
):
""""""
# We must call Barrier BEFORE Heston or our variance process will be
# ruined, but if we do... monte_carlo_callback is ruined...
BarrierOption.__init__(self, spot=spot, strike=strike,
interest_rate=interest_rate,
volatility=volatility, variance=variance,
tenor=tenor, top=top, bottom=bottom)
HestonOption.__init__(self
, spot=spot
, strike=strike
, interest_rate=interest_rate
, variance=self.variance.value
, tenor=tenor
, mean_reversion=mean_reversion
, mean_variance=mean_variance
, vol_of_variance=vol_of_variance
, correlation=correlation
)
self.Type = 'HestonBarrierOption'
def __init__(self
, spot=100
, strike=80
, interest_rate=0.06
, volatility=0.2
, variance=None
, tenor=1.0
, top=None
, bottom=None
):
"""Default is up and out."""
assert not (top and bottom)
BarrierOption.__init__(self, spot=spot, strike=strike,
interest_rate=interest_rate,
volatility=volatility, variance=variance,
tenor=tenor, top=top, bottom=bottom)
BlackScholesOption.__init__(self, spot=spot, strike=strike,
interest_rate=interest_rate,
volatility=volatility, variance=variance,
tenor=tenor)
def features(self):
d = BarrierOption.features(self)
d[0] = "BlackScholesBarrierOption <%s>" % hex(id(self))
return d
def features(self):
d = BarrierOption.features(self)
d[0] = "BlackScholesBarrierOption <%s>" % hex(id(self))
return d
def features(self):
d = HestonOption.features(self)
d[0] = "HestonBarrierOption <%s>" % hex(id(self))
b = BarrierOption.features(self)
d.extend(b[-2:])
return d
