OptionPayoff

QuantConnect.Util.OptionPayoff

Bases: Object

Static class containing useful methods related with options payoff

get_intrinsic_value

get_intrinsic_value(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> float

Intrinsic value function of the option

Parameters:

Name	Type	Description	Default
underlying_price	float	The price of the underlying	required
strike	float	The strike price of the option	required
right	OptionRight	The option right of the option, call or put	required

Returns:

Type	Description
float	The intrinsic value remains for the option at expiry.

get_pay_off

get_pay_off(
    underlying_price: float,
    strike: float,
    right: OptionRight,
) -> float

Option payoff function at expiration time

Parameters:

Name	Type	Description	Default
underlying_price	float	The price of the underlying	required
strike	float	The strike price of the option	required
right	OptionRight	The option right of the option, call or put	required