期权

普通期权

ql.VanillaOption(payoff, europeanExercise)

行权类型：

  • ql.EuropeanExercise(date)

  • ql.AmericanExercise(最早日期, 最晚日期)

  • ql.BermudanExercise(dates)

  • ql.RebatedExercise

收益：

  • ql.Option.Call

  • ql.Option.Put

strike = 100.0
maturity = ql.Date(15,6,2025)
option_type = ql.Option.Call

payoff = ql.PlainVanillaPayoff(option_type, strike)
binaryPayoff = ql.CashOrNothingPayoff(option_type, strike, 1)

europeanExercise = ql.EuropeanExercise(maturity)
europeanOption = ql.VanillaOption(payoff, europeanExercise)

americanExercise = ql.AmericanExercise(ql.Date().todaysDate(), maturity)
americanOption = ql.VanillaOption(payoff, americanExercise)

bermudanExercise = ql.BermudanExercise([ql.Date(15,6,2024), ql.Date(15,6,2025)])
bermudanOption = ql.VanillaOption(payoff, bermudanExercise)

binaryOption = ql.VanillaOption(binaryPayoff, european_exercise)

亚式期权

ql.DiscreteAveragingAsianOption(averageType, runningAccumulator, pastFixings, fixingDates, payoff, exercise)

平均类型：

  • ql.ContinuousAveragingAsianOption(arithmeticAverage, vanillaPayoff, europeanExercise)

  • ql.DiscreteAveragingAsianOption(算术平均, 算术运行累加器, 已确定价格数量, 亚式期权未来定价日期, 普通期权收益, 欧式行权)

平均值定义：

  • ql.Average().Arithmetic

  • ql.Average().Geometric

today = ql.Date().todaysDate()
periods = [ql.Period("6M"), ql.Period("12M"), ql.Period("18M"), ql.Period("24M")]

pastFixings = 0 # Empty because this is a new contract
asianFutureFixingDates = [today + period for period in periods]
asianExpiryDate = today + periods[-1]

strike = 100
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)
europeanExercise = ql.EuropeanExercise(asianExpiryDate)

arithmeticAverage = ql.Average().Arithmetic
arithmeticRunningAccumulator = 0.0
discreteArithmeticAsianOption = ql.DiscreteAveragingAsianOption(arithmeticAverage, arithmeticRunningAccumulator, pastFixings, asianFutureFixingDates, vanillaPayoff, europeanExercise)

geometricAverage = ql.Average().Geometric
geometricRunningAccumulator = 1.0
discreteGeometricAsianOption = ql.DiscreteAveragingAsianOption(geometricAverage, geometricRunningAccumulator, pastFixings, asianFutureFixingDates, vanillaPayoff, europeanExercise)

continuousGeometricAsianOption = ql.ContinuousAveragingAsianOption(geometricAverage, vanillaPayoff, europeanExercise)

障碍期权

ql.BarrierOption(barrierType, barrier, rebate, payoff, exercise)

障碍类型：

  • ql.Barrier.UpIn

  • ql.Barrier.UpOut

  • ql.Barrier.DownIn

  • ql.Barrier.DownOut

T = 1
K = 100.
barrier = 110.
rebate = 0.
barrierType = ql.Barrier.UpOut

today = ql.Date().todaysDate()
maturity = today + ql.Period(int(T*365), ql.Days)

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
amExercise = ql.AmericanExercise(today, maturity, True)
euExercise = ql.EuropeanExercise(maturity)

barrierOption = ql.BarrierOption(barrierType, barrier, rebate, payoff, euExercise)
ql.DoubleBarrierOption(barrierType, barrier_lo, barrier_hi, rebate, payoff, exercise)

双障碍类型：

  • ql.DoubleBarrier.KnockIn

  • ql.DoubleBarrier.KnockOut

  • ql.DoubleBarrier.KIKO

  • ql.DoubleBarrier.KOKI

T = 1
K = 100.
barrier_lo, barrier_hi = 90., 110.
rebate = 0.
barrierType = ql.DoubleBarrier.KnockOut

today = ql.Date().todaysDate()
maturity = today + ql.Period(int(T*365), ql.Days)

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
euExercise = ql.EuropeanExercise(maturity)

doubleBarrierOption = ql.DoubleBarrierOption(barrierType, barrier_lo, barrier_hi, rebate, payoff, euExercise)
ql.PartialTimeBarrierOption(barrierType, barrieRange, barrier, rebate, coverEventDate, payoff, exercise)

部分障碍区间类型：

  • ql.PartialBarrier.Start: 从期权生命周期开始监控障碍条件，直到所谓的覆盖事件发生。

  • ql.PartialBarrier.EndB1: 监控从覆盖事件到行权日期间的障碍水平；只有当障碍被触及或从任意方向突破时才会触发敲出，无论监控开始时标的资产的价值如何。

  • ql.PartialBarrier.EndB2: 监控从覆盖事件到行权日期间的障碍条件；如果在监控开始时标的资产价格处于障碍错误的一侧，则立即触发敲出。

today = ql.Date().todaysDate()
maturity = calendar.advance(today, ql.Period(360, ql.Days))
K = 110.
barrier = 125.
rebate = 0.
barrier_type = ql.Barrier.UpOut
cover_event_date = calendar.advance(today, ql.Period(180, ql.Days))

payoff = ql.PlainVanillaPayoff(ql.Option.Call, K)
exercise = ql.EuropeanExercise(maturity)

partial_time_barrier_opt = ql.PartialTimeBarrierOption(
      barrier_type,
      ql.PartialBarrier.EndB1, # time range for partial-time barrier option
      barrier, rebate,
      cover_event_date,
      payoff, exercise
  )

篮子期权

ql.BasketOption(payoff, exercise)

收益类型：

  • ql.MinBasketPayoff(payoff)

  • ql.AverageBasketPayoff(payoff, numInstruments)

  • ql.MaxBasketPayoff(payoff)

today = ql.Date().todaysDate()
exp_date = today + ql.Period(1, ql.Years)
strike = 100
number_of_underlyings = 5

exercise = ql.EuropeanExercise(exp_date)
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)

payoffMin = ql.MinBasketPayoff(vanillaPayoff)
basketOptionMin = ql.BasketOption(payoffMin, exercise)

payoffAverage = ql.AverageBasketPayoff(vanillaPayoff, number_of_underlyings)
basketOptionAverage = ql.BasketOption(payoffAverage, exercise)

payoffMax = ql.MaxBasketPayoff(vanillaPayoff)
basketOptionMax = ql.BasketOption(payoffMax, exercise)

Cliquet期权

远期期权

ql.ForwardVanillaOption(moneyness, resetDate, payoff, exercise)
today = ql.Date().todaysDate()
resetDate = today + ql.Period(1, ql.Years)
expiryDate = today + ql.Period(2, ql.Years)
moneyness, strike = 1., 100 # nb. strike is required for the payoff, but ignored in pricing

exercise = ql.EuropeanExercise(expiryDate)
vanillaPayoff = ql.PlainVanillaPayoff(ql.Option.Call, strike)

forwardStartOption = ql.ForwardVanillaOption(moneyness, resetDate, vanillaPayoff, exercise)

Quanto期权