abaquant.derivatives.models.parameters

Import path: abaquant.derivatives.models.parameters

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

Purpose

Immutable scalar parameter objects for named pricing models.

When to use it

Defines validated parameter objects and admissibility constraints. Use this package when valuing contingent claims, calculating Greeks, building option strategies, simulating stochastic processes, or fitting models to market observations.

Public objects

  • class: BlackScholesMertonParameters — Scalar Black–Scholes–Merton inputs with explicit units.

  • class: LatticeParameters — Scalar lattice inputs including step count and early-exercise policy.

Detailed reference

Immutable scalar parameter objects for named pricing models.

class abaquant.derivatives.models.parameters.BlackScholesMertonParameters(spot_price, strike_price, maturity_years, risk_free_rate, volatility, dividend_yield=0.0)

Bases: object

Scalar Black–Scholes–Merton inputs with explicit units.

Parameters:

  • spot_price (float)

  • strike_price (float)

  • maturity_years (float)

  • risk_free_rate (float)

  • volatility (float)

  • dividend_yield (float)

class abaquant.derivatives.models.parameters.LatticeParameters(spot_price, strike_price, maturity_years, risk_free_rate, volatility, dividend_yield=0.0, number_of_steps=200, allow_early_exercise=False)

Bases: BlackScholesMertonParameters

Scalar lattice inputs including step count and early-exercise policy.

Parameters:

  • spot_price (float)

  • strike_price (float)

  • maturity_years (float)

  • risk_free_rate (float)

  • volatility (float)

  • dividend_yield (float)

  • number_of_steps (int)

  • allow_early_exercise (bool)