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Option#

Immutable container representing a single vanilla option contract.

Parameters:

Name Type Description Default
strike float

The strike price of the option.

 required
maturity float

The time to maturity of the option, expressed in years.

 required
option_type OptionType

The type of the option, either CALL or PUT.

 required
exercise_style ExerciseStyle

The exercise style of the option, by default ExerciseStyle.EUROPEAN.

 EUROPEAN
Source code in src/quantfin/atoms/option.py 
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@dataclass(frozen=True, slots=True)
class Option:
    """
    Immutable container representing a single vanilla option contract.

    Parameters
    ----------
    strike : float
        The strike price of the option.
    maturity : float
        The time to maturity of the option, expressed in years.
    option_type : OptionType
        The type of the option, either CALL or PUT.
    exercise_style : ExerciseStyle, optional
        The exercise style of the option, by default ExerciseStyle.EUROPEAN.
    """

    strike: float
    maturity: float
    option_type: OptionType
    exercise_style: ExerciseStyle = ExerciseStyle.EUROPEAN

    def __post_init__(self):
        if self.strike <= 0:
            raise ValueError(f"Strike must be positive, got {self.strike}")
        if self.maturity <= 0:
            raise ValueError(f"Maturity must be positive, got {self.maturity}")

    def parity_counterpart(self) -> Option:
        """
        Create the put-call parity equivalent of this option.

        A call is converted to a put, and a put is converted to a call,
        while keeping all other parameters the same.

        Returns
        -------
        Option
            A new Option instance with the opposite type.
        """
        if self.option_type is OptionType.PUT:
            other_type = OptionType.CALL
        else:
            other_type = OptionType.PUT
        return replace(self, option_type=other_type)

parity_counterpart() -> Option #

Create the put-call parity equivalent of this option.

A call is converted to a put, and a put is converted to a call, while keeping all other parameters the same.

Returns:

Type Description
Option

A new Option instance with the opposite type.
Source code in src/quantfin/atoms/option.py 
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def parity_counterpart(self) -> Option:
    """
    Create the put-call parity equivalent of this option.

    A call is converted to a put, and a put is converted to a call,
    while keeping all other parameters the same.

    Returns
    -------
    Option
        A new Option instance with the opposite type.
    """
    if self.option_type is OptionType.PUT:
        other_type = OptionType.CALL
    else:
        other_type = OptionType.PUT
    return replace(self, option_type=other_type)

OptionType#

Bases: Enum

Enumeration for the type of an option (Call or Put).

Source code in src/quantfin/atoms/option.py 
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class OptionType(Enum):
    """Enumeration for the type of an option (Call or Put)."""

    CALL = "Call"
    PUT = "Put"

ExerciseStyle#

Bases: Enum

Enumeration for the exercise style of an option.

Source code in src/quantfin/atoms/option.py 
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class ExerciseStyle(Enum):
    """Enumeration for the exercise style of an option."""

    EUROPEAN = "European"
    AMERICAN = "American"
    BERMUDAN = "Bermudan"