EquityIndexOption

class sigtech.framework.instruments.options.EquityIndexOption

Baseclasses: ExchangeTradedOption

A class implementing equity index option instruments.

property greek_fields

Additional fields used for risk management.

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.