Index

C

calibrate_model() (vanilla_option_pricing.calibration.ModelCalibration method)

check_option_type() (in module vanilla_option_pricing.option)

D

DAYS_IN_YEAR (vanilla_option_pricing.option.VanillaOption attribute)

DEFAULT_PARAMETER_LOWER_BOUND (vanilla_option_pricing.calibration.ModelCalibration attribute)

G

GeometricBrownianMotion (class in vanilla_option_pricing.models)

I

implied_volatility_of_undiscounted_price (vanilla_option_pricing.option.VanillaOption attribute)

L

LogMeanRevertingToGeneralisedWienerProcess (class in vanilla_option_pricing.models)

M

ModelCalibration (class in vanilla_option_pricing.calibration)

N

name (vanilla_option_pricing.models.GeometricBrownianMotion attribute) (vanilla_option_pricing.models.LogMeanRevertingToGeneralisedWienerProcess attribute) (vanilla_option_pricing.models.NumericalLogMeanRevertingToGeneralisedWienerProcess attribute) (vanilla_option_pricing.models.OrnsteinUhlenbeck attribute)

NumericalLogMeanRevertingToGeneralisedWienerProcess (class in vanilla_option_pricing.models) NumericalModel (class in vanilla_option_pricing.models)

O

option_list_to_pandas_dataframe() (in module vanilla_option_pricing.option)

OptionPricingModel (class in vanilla_option_pricing.option_pricing) OrnsteinUhlenbeck (class in vanilla_option_pricing.models)

P

pandas_dataframe_to_option_list() (in module vanilla_option_pricing.option) parameters (vanilla_option_pricing.models.GeometricBrownianMotion attribute) (vanilla_option_pricing.models.LogMeanRevertingToGeneralisedWienerProcess attribute) (vanilla_option_pricing.models.NumericalLogMeanRevertingToGeneralisedWienerProcess attribute) (vanilla_option_pricing.models.OrnsteinUhlenbeck attribute) (vanilla_option_pricing.option_pricing.OptionPricingModel attribute)

price_black() (vanilla_option_pricing.option_pricing.OptionPricingModel method) price_black_scholes_merton() (vanilla_option_pricing.option_pricing.OptionPricingModel method) price_option_black() (vanilla_option_pricing.option_pricing.OptionPricingModel method) price_option_black_scholes_merton() (vanilla_option_pricing.option_pricing.OptionPricingModel method)

S

standard_deviation() (vanilla_option_pricing.option_pricing.OptionPricingModel method)

T

to_dict() (vanilla_option_pricing.option.VanillaOption method)

V

vanilla_option_pricing.calibration (module) vanilla_option_pricing.models (module) vanilla_option_pricing.option (module) vanilla_option_pricing.option_pricing (module) VanillaOption (class in vanilla_option_pricing.option) variance() (vanilla_option_pricing.models.GeometricBrownianMotion method) (vanilla_option_pricing.models.LogMeanRevertingToGeneralisedWienerProcess method) (vanilla_option_pricing.models.NumericalLogMeanRevertingToGeneralisedWienerProcess method) (vanilla_option_pricing.models.NumericalModel method) (vanilla_option_pricing.models.OrnsteinUhlenbeck method) (vanilla_option_pricing.option_pricing.OptionPricingModel method)

volatility() (vanilla_option_pricing.option_pricing.OptionPricingModel method)

Y

years_to_maturity (vanilla_option_pricing.option.VanillaOption attribute)