Options pricing


#1

Hi team, I’m wondering whether I’m missing something.
I was trying to construct vanilla options for forex, such as european put/call, digital options (binary) etc.
I saw EuropeanVanillaOption class in the pricer module, but can’t find a suitable Trade for calculation.
How is it possible to evaluate such vanilla options in Strata? With relative greeks also?


#2

The asset classes we support are FxVanillaOption and FxSingleBarrierOption (theese are the class names).

The vanilla options are priced using BlackFxVanillaOptionProductPricer or VannaVolgaFxVanillaOptionProductPricer.

The barrier options are priced using BlackFxSingleBarrierOptionProductPricer and ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.

The FX option code is relatively new, so there may still be some filling out.

Hope that helps.


#3

Thank you very much, but that classes are for Foreign Exchange trades, am I right?
If I want to price a vanilla option with an equity as underlying (or future, or a bond, or a generic security), how is it achievable using Strata? Do I have to manually call BlackScholesFormulaRepository for example?


#4

Strata does not have any support for a “generic” option at present. We do have support for a generic security, but that is only for mark to market pricing, which isn’t what you want here.

Right now, you’d have to create your own asset class and use the low level BlackScholesFormulaRepository as you say.