VolatilityIndexOTCDigitalOption

class sigtech.framework.instruments.digital_options.VolatilityIndexOTCDigitalOption

Baseclasses: DigitalOptionBase, VolatilityIndexOTCOption

A class implementing an OTC vol index digital option.

Example creation:

instr = sig.VolatilityIndexOTCDigitalOption(
    currency='USD',
    start_date=dtm.date(2017, 11, 2),
    strike=27,
    maturity_date=dtm.date(2018, 1, 8),
    underlying='VIX INDEX'
)