CommodityFutureOption

class sigtech.framework.instruments.options.CommodityFutureOption

Baseclasses: ExchangeTradedOption

A class implementing commodity future option instruments.

model_priced_option(start_date=None, imply_vol_from_price=False, end_date=None)

Obtain version of listed option which is priced as an OTC option with the vol surface. If imply_vol_from_price is set to True, the volatility used is the one implied from listed (exchange) price.