Python library for pricing autocallables
Project description
exotx
exotx allows you to easily price exotic options with a couple of lines of Python code.
It is based on QuantLib, the open-source library for quantitative finance.
Usage
Define the product
import exotx
notional = 100
strike = 100.0
autocall_barrier_level = 1.0 # 100%
annual_coupon_value = 0.03 # 3.00%
coupon_barrier_level = 0.75 # 75%
protection_barrier_level = 0.75 # 75%
my_autocallable = exotx.Autocallable(notional, strike, autocall_barrier_level, annual_coupon_value, coupon_barrier_level, protection_barrier_level)
Define the static data
The object that represents static data such as the calendar, the day counter or the business day convention used.
my_static_data = exotx.StaticData()
Define the market data
reference_date = '2015-11-06'
spot = 100.0
risk_free_rate = 0.01
dividend_rate = 0.0
black_scholes_volatility = 0.2
my_market_data = exotx.MarketData(reference_date, spot, risk_free_rate, dividend_rate, black_scholes_volatility=black_scholes_volatility)
Price the product
my_autocallable.price(my_market_data, my_static_data, model='black-scholes')
96.08517973497098
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