DigitalOptionBase

class sigtech.framework.instruments.digital_options.DigitalOptionBase

Baseclasses: FrameworkObject

Subclasses: FXOTCDigitalOption, EquityIndexOTCDigitalOption, VolatilityIndexOTCDigitalOption, CommodityFutureOTCDigitalOption

A base class implementing digital options.

barrier_type: Optional[Literal['KI', 'KO', 'DI', 'DO', 'UI', 'UO', 'OT', 'NT']]

option_type: Optional[Literal['Call', 'Put']]

spread: Optional[float]

spread_direction: Optional[Literal['UP', 'MID', 'DOWN']]

spread_type: Optional[Literal['FIXED', 'RELATIVE']]

greeks(field=None, data_point=None, intraday_datetime=None, dollar_greeks=False) → Series

Timeseries or DataFrame of the greeks available for this option instrument.

Parameters:

• field – Input greek (optional, all greeks returned by default).

• data_point – Input data point (optional).

• intraday_datetime – Input for intraday point to return (optional).

• dollar_greeks – Provide dollar greeks, defaults to False.

Returns:

pandas Series for an individual greek, DataFrame otherwise.

metrics(fields=None, data_dates=None, data_point=None, vol_override=None)

Get time series of standard option Greeks and/or NPV, determined by the fields parameter. All Greeks are the actual derivatives, computed analytically or numerically, depending on the option and pricer type.

Parameters:

• fields – Name of a Greek or ‘NPV’ to output. Can be a list, e.g. [‘NPV’,’Delta’,’Vega’]. If None is passed, all available metrics are returned. A list of Greeks for the_option can be obtained from the_option.greek_fields.

• data_dates – (Optional) Date or list of dates for which the option metrics are needed. If None is passed, the full time series is returned.

• data_point – (Optional) Valuation data point.

• vol_override – (Optional) fixed constant vol to be used over all dates instead of the market implied vols, or pd.Series of constant vols per date (forward filling the missing ones).

Returns:

Time series of the requested metrics.