FinanceModels.Option API Reference

Cap(strike, frequency, maturity)

An interest rate cap — a portfolio of caplets that pay max(L(Tᵢ₋₁,Tᵢ) - strike, 0) · τ at each payment date Tᵢ, where L is the simply-compounded forward rate and τ = 1/frequency.

The first caplet resets at time τ (the first period's rate is known).

EuroCall(contract,strike,maturity)

A European call option on the given contract with the given strike and maturity.

Arguments

• contract::AbstractContract - The underlying contract.
• strike::Real - The strike price.
• maturity::Union{Real,Date} - The maturity of the option.

Supertype Hierarchy ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡

EuroCall{S,K,M} <: FinanceCore.AbstractContract <: Any

EuroPut(contract,strike,maturity)

A European put option on the given contract with the given strike and maturity.

Arguments

• contract::AbstractContract - The underlying contract.
• strike::Real - The strike price.
• maturity::Union{Real,Date} - The maturity of the option.

Supertype Hierarchy ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡

EuroPut{S,K,M} <: FinanceCore.AbstractContract <: Any

Floor(strike, frequency, maturity)

An interest rate floor — a portfolio of floorlets that pay max(strike - L(Tᵢ₋₁,Tᵢ), 0) · τ at each payment date Tᵢ.

Swaption(expiry, swap_maturity, strike, frequency; payer=true)

A European swaption — the right to enter an interest rate swap at expiry. The underlying swap has payment dates from expiry + 1/frequency to swap_maturity, paying a fixed rate strike.

• payer=true (default): right to pay fixed, receive floating
• payer=false: right to receive fixed, pay floating

ZCBCall(expiry, bond_maturity, strike)

A European call option on a zero-coupon bond. The holder has the right to buy at time expiry a ZCB maturing at bond_maturity for strike.

ZCBPut(expiry, bond_maturity, strike)

A European put option on a zero-coupon bond. The holder has the right to sell at time expiry a ZCB maturing at bond_maturity for strike.