Mastering Python for Finance - Second Edition

Writing the StockOption base class

Before going any further and implementing the various pricing models that we are about to discuss, let's create a StockOption class to store and calculate the common attributes of the stock option that will be reused throughout this chapter:

In [ ]:    import math    """     Stores common attributes of a stock option     """    class StockOption(object):        def __init__(            self, S0, K, r=0.05, T=1, N=2, pu=0, pd=0,             div=0, sigma=0, is_put=False, is_am=False):            """            Initialize the stock option base class.            Defaults to European call unless specified.                        :param S0: initial stock price            :param K: strike price            :param r: risk-free interest rate            :param T: time to maturity            :param N: number of time steps :param pu: probability at up state ...