Option

examples/option_valuation.py

@@ -22,13 +22,14 @@
 """
 from quantlib.settings import Settings
 from quantlib.compounding import Simple
-from quantlib.cashflows.dividend import DividendSchedule
+from quantlib.instruments.dividendschedule import DividendSchedule
 from quantlib.currency.api import USDCurrency
 from quantlib.indexes.api import Libor
 from quantlib.indexes.swap_index import SwapIndex
-from quantlib.instruments.exercise import EuropeanExercise, AmericanExercise
-from quantlib.instruments.option import VanillaOption, VanillaOption, OptionType
-from quantlib.instruments.payoffs import PlainVanillaPayoff
+from quantlib.exercise import EuropeanExercise, AmericanExercise
+from quantlib.instruments.vanillaoption import VanillaOption
+from quantlib.option import OptionType
+from quantlib.payoffs import PlainVanillaPayoff
 from quantlib.math.interpolation import Linear
 from quantlib.pricingengines.api import AnalyticDividendEuropeanEngine
 from quantlib.pricingengines.api import FdBlackScholesVanillaEngine

examples/traits_example.py

@@ -4,10 +4,11 @@
 from traits.api import HasTraits, Enum, Float, Date, Property, Range
 from traitsui.api import View, Item, HGroup, EnumEditor
 
-from quantlib.instruments.option import Put, Call, EuropeanExercise
-from quantlib.instruments.payoffs import PlainVanillaPayoff
-from quantlib.instruments.option import VanillaOption
-from quantlib.pricingengines.vanilla import AnalyticEuropeanEngine
+from quantlib.option import OptionType
+from quantlib.exercise import EuropeanExercise
+from quantlib.payoffs import PlainVanillaPayoff
+from quantlib.instruments.vanillaoption import VanillaOption
+from quantlib.pricingengines.api import AnalyticEuropeanEngine
 from quantlib.processes.black_scholes_process import BlackScholesMertonProcess
 from quantlib.quotes import SimpleQuote
 from quantlib.settings import Settings

quantlib/_option.pxd

@@ -0,0 +1,11 @@
+from ._instrument cimport Instrument
+from ._exercise cimport Exercise
+from ._payoffs cimport Payoff
+from quantlib.handle cimport shared_ptr
+
+
+cdef extern from 'ql/option.hpp' namespace 'QuantLib' nogil:
+
+    cdef cppclass Option(Instrument):
+        shared_ptr[Payoff] payoff()
+        shared_ptr[Exercise] exercise()

quantlib/instruments/exercise.pxd → quantlib/exercise.pxd

@@ -1,8 +1,16 @@
 from quantlib.handle cimport shared_ptr
-cimport quantlib.instruments._exercise as _exercise
+from . cimport _exercise
 
 cdef extern from 'ql/exercise.hpp' namespace 'QuantLib::Exercise' nogil:
     cpdef enum class Type:
+        """Exercise types
+
+        Attributes
+        ----------
+        American
+        Bermudan
+        European
+        """
         American
         Bermudan
         European

quantlib/instruments/exercise.pyx → quantlib/exercise.pyx

@@ -6,6 +6,15 @@ from quantlib.time.date cimport Date, _pydate_from_qldate
 from quantlib.time._date cimport Date as QlDate
 
 cdef class Exercise:
+    """Base exercise class
+
+    Attributes
+    ----------
+    American
+    Bermudan
+    European
+    """
+
 
     American = Type.American
     Bermudan = Type.Bermudan
@@ -19,6 +28,7 @@ cdef class Exercise:
         return _pydate_from_qldate(self._thisptr.get().lastDate())
 
     def dates(self):
+        """ all exercise dates"""
         cdef vector[QlDate].const_iterator it = self._thisptr.get().dates().const_begin()
         cdef list r = []
         while it != self._thisptr.get().dates().end():
@@ -30,6 +40,10 @@ cdef class Exercise:
        return self._thisptr.get().type()
 
 cdef class EuropeanExercise(Exercise):
+    """European exercise
+
+    A European option can only be exercised at one (expiry) date.
+    """
 
     def __init__(self, Date exercise_date not None):
         self._thisptr.reset(
@@ -39,14 +53,21 @@ cdef class EuropeanExercise(Exercise):
         )
 
 cdef class AmericanExercise(Exercise):
+    """American exercise
 
-    def __init__(self, Date latest_exercise_date, Date earliest_exercise_date=None):
-        """ Creates an AmericanExercise.
+    An American option can be exercised at any time between to
+    predefined dates; the first date might be amitted, in which
+    case the option can be exercied at any time before the expiry.
 
-        :param latest_exercise_date: Latest exercise date for the option
-        :param earliest_exercise_date: Earliest exercise date for the option (default to None)
+    Parameters
+    ----------
+    latest_exercise_date : :class:`~quantlib.time.date.Date`
+       Latest exercise date for the option
+    earliest_exercise_date : :class:`~quantlib.time.date.Date` | None
+       Earliest exercise date for the option
+    """
 
-        """
+    def __init__(self, Date latest_exercise_date, Date earliest_exercise_date=None):
         if earliest_exercise_date is not None:
             self._thisptr = shared_ptr[_exercise.Exercise]( \
                 new _exercise.AmericanExercise(
@@ -63,16 +84,17 @@ cdef class AmericanExercise(Exercise):
 
 
 cdef class BermudanExercise(Exercise):
-    def __init__(self, list dates, bool payoff_at_expiry=False):
-        """ Bermudan exercise
+    """ Bermudan exercise
 
-        A Bermudan option can only be exercised at a set of fixed dates.
+    A Bermudan option can only be exercised at a set of fixed dates.
 
-        Parameters
-        ----------
-        dates : list of exercise dates
-        payoff_at_expiry : bool
-        """
+    Parameters
+    ----------
+    dates : list of exercise dates
+    payoff_at_expiry : bool
+    """
+
+    def __init__(self, list dates, bool payoff_at_expiry=False):
         cdef vector[QlDate] c_dates
         for d in dates:
             c_dates.push_back((<Date?>d)._thisptr)

quantlib/instruments/_asian_options.pxd

@@ -4,9 +4,9 @@ from libcpp.vector cimport vector
 from quantlib.handle cimport shared_ptr
 from quantlib.time._date cimport Date
 
-from quantlib.instruments._exercise cimport Exercise
-from quantlib.instruments._option cimport OneAssetOption
-from quantlib.instruments._payoffs cimport StrikedTypePayoff
+from quantlib._exercise cimport Exercise
+from ._oneassetoption cimport OneAssetOption
+from quantlib._payoffs cimport StrikedTypePayoff
 
 from .asian_options cimport AverageType
 

quantlib/instruments/_europeanoption.pxd

@@ -0,0 +1,12 @@
+from .._payoffs cimport Payoff, StrikedTypePayoff
+from ._vanillaoption cimport VanillaOption
+from .._exercise cimport Exercise
+from quantlib.handle cimport shared_ptr
+
+cdef extern from 'ql/instruments/europeanoption.hpp' namespace 'QuantLib' nogil:
+
+    cdef cppclass EuropeanOption(VanillaOption):
+        EuropeanOption(
+            shared_ptr[StrikedTypePayoff]& payoff,
+            shared_ptr[Exercise]& exercise
+        )

quantlib/instruments/_oneassetoption.pxd

@@ -0,0 +1,27 @@
+from quantlib.types cimport Real
+from .._option cimport Option
+from quantlib.handle cimport shared_ptr
+from .._exercise cimport Exercise
+from .._payoffs cimport StrikedTypePayoff
+from quantlib.pricingengines._pricing_engine cimport PricingEngine
+
+cdef extern from 'ql/instruments/oneassetoption.hpp' namespace 'QuantLib' nogil:
+
+    cdef cppclass OneAssetOption(Option):
+        cppclass engine(PricingEngine):
+            pass
+        OneAssetOption(
+            shared_ptr[StrikedTypePayoff]& payoff,
+            shared_ptr[Exercise]& exercise
+        )
+        Real delta() except +
+        Real deltaForward() except +
+        Real elasticity() except +
+        Real gamma() except +
+        Real theta() except +
+        Real thetaPerDay() except +
+        Real vega() except +
+        Real rho() except +
+        Real dividendRho() except +
+        Real strikeSensitivity() except +
+        Real itmCashProbability() except +

quantlib/instruments/_swaption.pxd

@@ -2,8 +2,8 @@ include '../types.pxi'
 from quantlib.handle cimport shared_ptr, optional
 from ._fixedvsfloatingswap cimport FixedVsFloatingSwap 
 from ._overnightindexedswap cimport OvernightIndexedSwap
-from ._option cimport Option
-from ._exercise cimport Exercise
+from .._option cimport Option
+from .._exercise cimport Exercise
 from .swap cimport Type as SwapType
 from quantlib.termstructures._yield_term_structure cimport YieldTermStructure
 from quantlib.termstructures.volatility.volatilitytype cimport VolatilityType

quantlib/instruments/_vanillaoption.pxd

@@ -0,0 +1,33 @@
+from quantlib.types cimport Real, Size, Volatility
+from ._oneassetoption cimport OneAssetOption
+from ._dividendschedule cimport DividendSchedule
+from .._payoffs cimport StrikedTypePayoff
+from .._exercise cimport Exercise
+
+from quantlib.processes._black_scholes_process cimport GeneralizedBlackScholesProcess
+from quantlib.handle cimport shared_ptr
+
+cdef extern from 'ql/instruments/vanillaoption.hpp' namespace 'QuantLib' nogil:
+
+    cdef cppclass VanillaOption(OneAssetOption):
+        VanillaOption(
+            shared_ptr[StrikedTypePayoff]& payoff,
+            shared_ptr[Exercise]& exercise
+        )
+        Volatility impliedVolatility(
+                Real price,
+                shared_ptr[GeneralizedBlackScholesProcess]& process,
+                Real accuracy, # 1.0e-4
+                Size maxEvaluations, #100
+                Volatility minVol, # 1.0e-7
+                Volatility maxVol # 4.0
+        ) except +
+        Volatility impliedVolatility(
+                Real price,
+                shared_ptr[GeneralizedBlackScholesProcess]& process,
+                DividendSchedule dividends,
+                Real accuracy, # 1.0e-4
+                Size maxEvaluations, #100
+                Volatility minVol, # 1.0e-7
+                Volatility maxVol # 4.0
+        ) except +

quantlib/instruments/api.py

@@ -2,9 +2,11 @@
 from .bondforward import BondForward
 from .credit_default_swap import CreditDefaultSwap, PricingModel
 from ..default import Protection
-from .exercise import EuropeanExercise, AmericanExercise
-from .option import VanillaOption, EuropeanOption, OptionType
-from .payoffs import PlainVanillaPayoff
+from ..exercise import EuropeanExercise, AmericanExercise
+from ..option import OptionType
+from .vanillaoption import VanillaOption
+from .europeanoption import EuropeanOption
+from ..payoffs import PlainVanillaPayoff
 from .swap import Swap
 from .vanillaswap import VanillaSwap
 from .make_vanilla_swap import MakeVanillaSwap

quantlib/instruments/asian_options.pxd

@@ -1,4 +1,4 @@
-from quantlib.instruments.option cimport OneAssetOption
+from .oneassetoption cimport OneAssetOption
 
 cdef extern from 'ql/instruments/averagetype.hpp' namespace 'QuantLib::Average':
     cpdef enum class AverageType "QuantLib::Average::Type":

quantlib/instruments/asian_options.pyx

@@ -5,11 +5,11 @@ from libcpp.vector cimport vector
 from quantlib.handle cimport shared_ptr, static_pointer_cast
 cimport quantlib.time._date as _date
 from quantlib.time.date cimport Date
-from quantlib.instruments.payoffs cimport StrikedTypePayoff
+from quantlib.payoffs cimport StrikedTypePayoff
 
-from .option cimport OneAssetOption
-from .exercise cimport Exercise
-from . cimport _payoffs
+from .oneassetoption cimport OneAssetOption
+from ..exercise cimport Exercise
+from .. cimport _payoffs
 from .._instrument cimport Instrument as _Instrument
 from ._asian_options cimport (
     ContinuousAveragingAsianOption as _ContinuousAveragingAsianOption,

quantlib/cashflows/dividend.pxd → quantlib/instruments/dividendschedule.pxd

@@ -1,5 +1,5 @@
 from libcpp.vector cimport vector
-from ._dividend cimport Dividend
+from quantlib.cashflows._dividend cimport Dividend
 from quantlib.handle cimport shared_ptr
 
 cdef class DividendSchedule:

quantlib/cashflows/dividend.pyx → quantlib/instruments/dividendschedule.pyx

@@ -1,7 +1,7 @@
 from quantlib.time.date cimport _qldate_from_pydate, _pydate_from_qldate
 from quantlib.time._date cimport Date
 from quantlib.types cimport Real
-from ._dividend cimport DividendVector, Dividend
+from quantlib.cashflows._dividend cimport DividendVector, Dividend
 
 cdef class DividendSchedule:
     def __init__(self, list dividend_dates, vector[Real] dividends):

quantlib/instruments/europeanoption.pxd

@@ -0,0 +1,4 @@
+from .vanillaoption cimport VanillaOption
+
+cdef class EuropeanOption(VanillaOption):
+    pass