`vp.finance.cn_american_put`

The American put by Crank-Nicolson on M space intervals over [0, Smax] and Nt time steps, of which the first implicit are fully implicit (two half-size steps each).

Part of the distribution vipyr; it runs from a checkout of the repository. Planned on PyPI as pip install vipyr.

Signature

vp.finance.cn_american_put(S0, K, T, r, q, sigma, Smax, M, Nt, implicit)

Parameters

S0 : float, required
K : float, required
T : float, required
r : float, required
q : float, required
sigma : float, required
Smax : float, required
M : int, required
Nt : int, required
implicit : int, required

Returns

A frozen CnAmericanPutResult. Iterating it gives the fields below in order; it also has params, tests, log and check().

price : float: The American put's value at S0.

Raises

TypeError: An argument of the wrong type, or an unknown keyword.
vipyr.VivBuildError: An ImportError: no C compiler, or the program's C does not build.

Examples

import vipyr as vp
r = vp.finance.cn_american_put(S0=50.0, K=50.0, T=5 / 12, r=0.1, q=0.0, sigma=0.4,
                                  Smax=200.0, M=400, Nt=200, implicit=4)
print(r.price)                            # the tree gives 4.48669
assert r.check()

4.2827742739876875

Each example ran as written when these pages were generated, and the output shown is what it printed.

Checked against

Reference: The CRR tree, the mean of N = 10000 and 10001 (4.48669): error 8.8 × 10⁻⁵, tolerance 2e-4.

Source

Viv: examples/options/cnpde.viv
The defs it reaches and the calls between them: map of the code