added vanillaOption

nhaga · Jun 25, 2020 · d62ce57 · d62ce57
1 parent 1c4ff2a
commit d62ce57
Showing 1 changed file with 31 additions and 0 deletions.
diff --git a/docs/instruments/options.rst b/docs/instruments/options.rst
@@ -4,6 +4,37 @@ Options
 Vanilla Options
 ***************
 
+.. function:: ql.VanillaOption(payoff, europeanExercise)
+
+Payoffs:
+
+- `ql.EuropeanExercise(date)`
+- `ql.AmericanExercise(earliestDate, latestDate)`
+- `ql.BermudanExercise(dates)`
+- `ql.RebatedExercise`
+
+Types:
+
+- `ql.Option.Call`
+- `ql.Option.Put`
+
+.. code-block:: python
+
+  strike = 100.0
+  maturity= ql.Date(15,6,2025)
+  option_type = ql.Option.Call
+  payoff = ql.PlainVanillaPayoff(option_type, strike)
+
+  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)
+
+
 Asian Options
 *************