EquityOptionSingle-class: Equity Option Single Class

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Equity Option Single Class

Description

Creates an Equity Option Single object with the relevant info needed to calculate the Exposure-at-Default (EAD)

Arguments

Notional	The notional amount of the trade
MTM	The mark-to-market valuation of the trade
Currency	The currency set that the trade belongs to
Si	The number of years that the trade will take to start (zero if already started)
Ei	The number of years that the trade will expire
BuySell	Takes the values of either 'Buy' or 'Sell'
traded_price	the price that trade was done

Value

An object of type EquityOption

Author(s)

Tasos Grivas <[e-mail]>

Trading documentation built on Feb. 13, 2024, 3 a.m.