CommodityFutureOTCOption

class sigtech.framework.instruments.options.CommodityFutureOTCOption

Baseclasses: OTCOption

Subclasses: CommodityFutureListedAsOTCOption, CommodityFutureOTCDigitalOption

A class implementing OTC commodity future options.

Example creation:

instr = sig.CommodityFutureOTCOption(
    currency='USD',
    start_date=dtm.date(2018, 8, 22),
    strike=80,
    maturity_date=dtm.date(2019, 1, 28),
    option_type='Put',
    underlying='COH19 COMDTY',
    exercise_type='American'
)

use_generic_pricing_engine: Optional[bool]

underlying_forward_prices(data_dates=None, data_point=None)

Maturity-corresponding future quotes.

Parameters:

• data_dates – List of input dates.

• data_point – Input data point.

Returns:

List of future quotes.