functions to construct and use Option objects.
The first step is to load the QuantLib package.
Needs["QuantLib`"]
Within the Options part there are several constructors and member functions available
In[972]:=
Select[Category[Options],QLConstructor[#]&]
Out[972]=
In[973]:=
Select[Category[Options],QLMember[#]&]
Out[973]=
obj=BarrierOption[BarrierType,Barrier,Rebate,Payoff,Exercise]
CaAsianOption
obj=CaAsianOption[AverageType,Payoff,Exercise]
DaAsianOption
obj=DaAsianOption[AverageType,RunningAccumulator,PastFixings,FixingDates,Payoff,Exercise]
DividendVanillaOption
obj=DividendVanillaOption[Payoff,Exercise,DividendDates,Dividends]
ForwardVanillaOption
obj=ForwardVanillaOption[Moneyness,ResetDate,Payoff,Exercise]
VanillaOption
obj=VanillaOption[Payoff,Exercise]
EuropeanOption
obj=EuropeanOption[Payoff,Exercise]
QuantoVanillaOption
obj=QuantoVanillaOption[Payoff,Exercise]
QuantoForwardVanillaOption
obj=QuantoForwardVanillaOption[Moneyness,ResetDate,Payoff,Exercise]
Delta
Delta[obj]
DeltaForward
DeltaForward[obj]
Elasticity
Elasticity[obj]
Gamma
Gamma[obj]
Theta
Theta[obj]
ThetaPerDay
ThetaPerDay[obj]
Vega
Vega[obj]
Rho
Rho[obj]
DividendRho
DividendRho[obj]
ItmCashProbability
ItmCashProbability[obj]
