exotx 0.5.8

Python library for pricing autocallables

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.

From the constructor

my_static_data = exotx.StaticData(day_counter='Actual360', business_day_convention='ModifiedFollowing')

From JSON

my_json = {
        'day_counter': 'Actual360',
        'business_day_convention': 'ModifiedFollowing'
}
my_static_data = exotx.StaticData.from_json(my_json)

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')

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