EquityIndexOTCOption

class sigtech.framework.instruments.options.EquityIndexOTCOption

Baseclasses: OTCOption

Subclasses: VolatilityIndexOTCOption, EquityIndexListedAsOTCOption, EquityIndexOTCDigitalOption

A class implementing OTC equity index option instruments.

parameter additional to OTCOption common options parameters:

• discrete_dividend: Pricing parameter, if False (default), continuous yield is used.

Example creation:

instr = sig.EquityIndexOTCOption(
    currency='USD',
    start_date=dtm.date(2018, 1, 2),
    strike=2600,
    maturity_date=dtm.date(2018, 3, 23),
    option_type='Call',
    exercise_type='European',
    underlying='SPX INDEX'
)

discrete_dividend: Optional[bool]

validate()

Perform validation checks on the instrument, e.g. check the strike has been set.