CommodityFutureOTCDigitalOption

class sigtech.framework.instruments.digital_options.CommodityFutureOTCDigitalOption

Baseclasses: DigitalOptionBase, CommodityFutureOTCOption

A class implementing an OTC commodity future digital option.

Example creation:

instr = sig.CommodityFutureOTCDigitalOption(
    currency='USD',
    start_date=dtm.date(2018, 7, 22),
    strike=75,
    maturity_date=dtm.date(2019, 1, 28),
    underlying='COH19 COMDTY'
)