API Reference¶

This is the class and function reference of American Pricer.

Backends¶

This module contains classes that interact with databases (data retrieval and transport format)

`Backends.Contract`
`Backends.ContractMaturity`
`Backends.DatabaseConfig`
`Backends.MarketDataRetriever`
`Backends.OptionId`
`Backends.OptionQuotationsRetriever`
`Backends.RawDiscountRateCurveRetriever`

Calendars¶

This module contains classes that handle calendar conventions and dates conversions.

`Calendars.CalendarTimeMeasure`
`Calendars.ContractMonthCodes`
`Calendars.ITimeMeasure`

Common¶

This module contains common classes used by the different other modules.

`Common.MarketDataKey`
`Common.MarketStateKey`
`Common.MarketStateKeys`
`Common.PricingResult`
`Common.ResultKey`
`Common.ResultKeys`

Greeks¶

This module contains classes that are used for Greeks computation.

Common¶

This module contains classes that are common to all the sub-modules under Greeks module.

`Greeks.Common.GreekKey`
`Greeks.Common.GreeksDefinition`
`Greeks.Common.ShockUtilities`

Formatters¶

This module contains classes that are useful for formatting and printing results.

Greeks.Formatters.ResultsFormatter

GreekFillers¶

This module contains classes that are used to build Greeks metrics.

`Greeks.GreekFillers.IGreekFiller`
`Greeks.GreekFillers.DeltaGreekFiller`
`Greeks.GreekFillers.GammaGreekFiller`
`Greeks.GreekFillers.RhoGreekFiller`
`Greeks.GreekFillers.SmileRiskGreekFiller`
`Greeks.GreekFillers.ThetaGreekFiller`
`Greeks.GreekFillers.VannaGreekFiller`
`Greeks.GreekFillers.VegaGreekFiller`
`Greeks.GreekFillers.VolgaGreekFiller`
`Greeks.GreekFillers.GreekFillersFactory`

Runners¶

This module contains classes that are used to run Greeks computations.

Greeks.Runners.GreeksRunner

StateFillers¶

This module contains classes that are used to build market states.

`Greeks.StateFillers.IMarketStateFiller`
`Greeks.StateFillers.PriceMarketStateFiller`
`Greeks.StateFillers.DeltaMarketStateFiller`
`Greeks.StateFillers.GammaMarketStateFiller`
`Greeks.StateFillers.RhoMarketStateFiller`
`Greeks.StateFillers.SmileRiskMarketStateFiller`
`Greeks.StateFillers.ThetaMarketStateFiller`
`Greeks.StateFillers.VannaMarketStateFiller`
`Greeks.StateFillers.VegaMarketStateFiller`
`Greeks.StateFillers.VolgaMarketStateFiller`
`Greeks.StateFillers.MarketStateFillersFactory`

MarketQuotations¶

This module contains classes that are used to describe the market data.

`MarketQuotations.Market`
`MarketQuotations.MarketData`

Parsing¶

This module contains classes that are useful for parsing strings into python objects.

`Parsing.ContractIdParser`
`Parsing.OptionIdParser`

Pricing¶

This module contains classes that are used to compute instruments prices.

Common¶

This module contains common classes used by the different other modules.

Pricing.Common.PriceKey

PriceFillers¶

This module contains classes that are used to build the price.

`Pricing.PriceFillers.IPriceFiller`
`Pricing.PriceFillers.PriceFiller`

PV¶

This module contains the low-level classes and algorithms to compute the price of instruments.

`Pricing.PV.IAmericanOptionPricer`
`Pricing.PV.AmericanOptionPricer`
`Pricing.PV.PricingParameters`

Runners¶

This module contains classes that are used to run price computations.

`Pricing.Runners.IPvRunner`
`Pricing.Runners.ParallelPvRunner`
`Pricing.Runners.SequentialPvRunner`

Products¶

This module contains classes to describe financial instruments.

`Products.AmericanOption`
`Products.OptionType`

Rates¶

This module contains classes to describe the rate curve.

`Rates.ConstantDiscountRateCurveFactory`
`Rates.DiscountRateCurveInterpolationFactory`
`Rates.IDiscountRateCurveInterpolator`
`Rates.LogCubicSplineDiscountRateCurveInterpolator`
`Rates.RateCurveId`
`Rates.RawDiscountRateCurve`

Smile¶

This module contains classes to describe the volatility smile.

Dynamics¶

This module contains classes to model the dynamics of the volatility smile.

`Smile.Dynamics.IVolatilityDynamicsModel`
`Smile.Dynamics.LogLinearVolatilityDynamicsModel`

Implicitation¶

This module contains classes to imply the volatility smile from market quotations.

`Smile.Implicitation.AmericanImpliedVolatilitySolver`
`Smile.Implicitation.BlackScholesMoneynessToStrikeSolver`
`Smile.Implicitation.IImpliedVolatilitySolver`
`Smile.Implicitation.IMoneynessSmileRepresentationBuilder`
`Smile.Implicitation.IMoneynessToStrikeSolver`
`Smile.Implicitation.MoneynessSmileRepresentationBuilder`
`Smile.Implicitation.OptionQuotation`

Interpolation¶

This module contains classes to interpolate the volatility smile.

`Smile.Interpolation.CubicSplineImpliedVolatilityInterpolator`
`Smile.Interpolation.CubicSplineLinearExtrapol`
`Smile.Interpolation.IImpliedVolatilityInterpolator`
`Smile.Interpolation.TensionSplineImpliedVolatilityInterpolator`

Representation¶

This module contains classes to parametrize the volatility smile.

`Smile.Representations.MoneynessSmileRepresentation`
`Smile.Representations.SmileRepresentationConverter`
`Smile.Representations.StrikeSmileRepresentation`