Pricing

rivapy.pricing.analytics.compute_european_price_Buehler(strike: float, maturity: float, volatility: float, is_call: bool = True) → float[source]

Compute a call/put option price for the Buehler model (w.r.t. x-process), i.e. no dividends, rates etc. :param strike: strike :type strike: float :param maturity: maturity :type maturity: float :param volatility: volatility :type volatility: float :param is_call: if option is call or put :type is_call: bool

Returns:

Black-Scholes call price

Return type:

float

rivapy.pricing.analytics.compute_implied_vol_Buehler(strike: float, maturity: float, price: float, min_vol=0.05, max_vol=2.0, is_call=True, **kwargs) → float[source]

Computes the implied volatility for a given cal/putl price using brentq from scipy. It throws an exception if no implied vol can be determined.

Parameters:

  • strike (float) – [description]

  • maturity (float) – [description]

  • price (float) – [description]

  • min_vol (float, optional) – [description]. Defaults to 0.05.

  • max_vol (float, optional) – [description]. Defaults to 2.0. is_call (bool): if option is call or put

Returns:

[description]

Return type:

float

class rivapy.pricing.pricing_data.AmericanPdePricingData(val_date: datetime, spec, discount_curve, vol_surface, pricing_request: Iterable[ResultType], time_steps_year: int = 60, spot_steps: int = 200)[source]

Bases: object

Constructor for AmericanPdePricingDate

Parameters:

  • val_date ([datetime]) – Valuation date.

  • spec ([type]) – Specification

  • discount_curve ([type]) – Discount curve.

  • vol_surface ([type]) – Volatility surface.

  • pricing_request (Iterable[ResultType]) – Pricing request. Can be selected from rivapy.pricing.ResultType.

  • time_steps_year (int, optional) – [description]. Defaults to 60.

  • spot_steps (int, optional) – [description]. Defaults to 200.

price()[source]
class rivapy.pricing.pricing_data.BasePricingData(pricer: str, pricing_request: PricingRequest)[source]

Bases: object

property pricer: str

Getter for configured pricer.

Returns:

Configured pricer.

Return type:

str

property pricing_request

Getter for configured pricing request.

Returns:

Configured pricing request.

Return type:

PricingRequest

class rivapy.pricing.pricing_data.Black76PricingData(val_date: datetime, spec, discount_curve, vol_surface, pricing_request: Iterable[ResultType])[source]

Bases: object

Constructor for Black76PricingDate

Parameters:

  • val_date ([datetime]) – Valuation date.

  • spec ([type]) – Specification.

  • discount_curve ([type]) – Discount curve.

  • vol_surface ([type]) – Volatility surface.

  • pricing_request (Iterable[ResultType]) – Pricing request. Can be selected from rivapy.pricing.ResultType.

price()[source]
class rivapy.pricing.pricing_data.BondPricingData(bond: BondBaseSpecification, valuation_date: date | datetime, discount_curve: DiscountCurve, fixing_curve: DiscountCurve, parameters: BondPricingParameter, pricing_request: BondPricingRequest, pricer: str = 'BondPricer', past_fixing: float = None, survival_curve: SurvivalCurve = None, recovery_curve: BaseDatedCurve = None)[source]

Bases: BasePricingData

property bond
property discount_curve
property fixing_curve
property parameters
property past_fixing
property recovery_curve
property survival_curve
property valuation_date
class rivapy.pricing.pricing_data.BondPricingParameter[source]

Bases: object

class rivapy.pricing.pricing_data.CDSPricingData(spec: CDSSpecification, val_date, discount_curve, survival_curve, recovery_curve=None, integration_step=relativedelta(days=+30))[source]

Bases: object

par_spread(valuation_date: datetime, integration_stepsize: relativedelta) → float[source]
price()[source]
class rivapy.pricing.pricing_data.PricingResults[source]

Bases: object

getPrice()[source]
set_price(price: float)[source]
class rivapy.pricing.pricing_data.ResultType(value, names=<not given>, *values, module=None, qualname=None, type=None, start=1, boundary=None)[source]

Bases: IntEnum

DELTA = 1
GAMMA = 2
PRICE = 0
RHO = 4
THETA = 3
VANNA = 6
VEGA = 5