Forward Option
This module contains examples of forward starting options.
ForwardOption
dataclass
Bases: EventsMixin
In a Forward Starting Option the strike price is set on a future date as a predetermine percent of the stock price on the strike fixing date.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
ccy |
str
|
the currency of the option. |
required |
asset_name |
str
|
the name of the underlying asset. |
required |
strike_rate |
float
|
the option strike in percent of fixing. |
required |
strike_date |
datetime
|
the datetime at which the strike is fixed. |
required |
maturity |
datetime
|
the maturity of the option in years. |
required |
is_call |
bool
|
true if the option is a call. |
required |
track |
str
|
an optional identifier for the contract. |
''
|
Examples:
>>> timetable = ForwardOption( "USD", "SPX", 1.0,
datetime(2024, 3, 31), datetime(2024, 9, 30), True).print_events()
time op quantity unit track
03/31/2024 NaN 0.0 .fix_K NaN
09/30/2024 > 0.0 USD
09/30/2024 + -1.0 .K
09/30/2024 + 1.0 SPX