abaquant.derivatives.analytics.parity¶

Import path: abaquant.derivatives.analytics.parity

Domain: Derivative pricing, simulation, calibration, diagnostics, and strategy analysis.

Purpose¶

Parity and deterministic option-pricing analytics.

When to use it¶

This module computes derived diagnostics from prices, returns, or model outputs. Ensure inputs use the frequency and units stated by each function.

Public objects¶

function: parity_check — Evaluate put–call parity and report the residual under continuous carry.
function: intrinsic_time_value — Decompose an option premium into intrinsic value and non-negative time value.
function: forward_price_continuous — Compute a continuously compounded cost-of-carry forward price.

Detailed reference¶

Parity and deterministic option-pricing analytics.

Purpose¶

The module checks put–call parity, decomposes an option premium into intrinsic and time value, and computes a continuous-carry forward price.

Conventions¶

Rates and yields are continuously compounded decimal annual rates; maturity is in years.

References

[ 1 ] Black, F., and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities”; Merton, R. C. (1973), “Theory of Rational Option Pricing”.

abaquant.derivatives.analytics.parity.parity_check(call, put, S, K, T, r, q=0.0)¶

Evaluate put–call parity and report the residual under continuous carry.

Parameters:

call (float or array-like) – Observed call premium in currency units for the parity calculation.
put (float or array-like) – Observed put premium in currency units for the parity calculation.
S (float or array-like) – Current underlying spot price in currency units.
K (float or array-like) – Option strike price in the same currency units as the underlying.
T (float or array-like) – Time to maturity in years.
r (float or array-like) – Continuously compounded risk-free annual rate in decimal units.
q (float, default=0.0) – Continuous dividend or carry yield in decimal annual units.

Returns:

Dictionary of named model outputs, metrics, or workflow results defined by the current public schema.

Return type:

dict[str, object]

abaquant.derivatives.analytics.parity.intrinsic_time_value(price, S, K, option_type='call')¶

Decompose an option premium into intrinsic value and non-negative time value.

Parameters:

price (float or array-like) – Price or option premium in currency units.
S (float or array-like) – Current underlying spot price in currency units.
K (float or array-like) – Option strike price in the same currency units as the underlying.
option_type (str, default='call') – Option type label, normally "call" or "put".

Returns:

Dictionary of named model outputs, metrics, or workflow results defined by the current public schema.

Return type:

dict[str, object]

abaquant.derivatives.analytics.parity.forward_price_continuous(spot, r, q, T)¶

Compute a continuously compounded cost-of-carry forward price.

Parameters:

spot (float) – Current underlying or asset spot price in currency units.
r (float) – Continuously compounded risk-free annual rate in decimal units.
q (float) – Continuous dividend or carry yield in decimal annual units.
T (float) – Time to maturity in years.

Returns:

Computed forward price continuous as a scalar in the units implied by the input values.

Return type:

float

Notes

Model inputs are interpreted according to the module-level rate, maturity, and volatility conventions. Numerical outputs depend on the validity of those assumptions.