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Payoffs

dummypy.payoffs

Payoff functions for vanilla European option contracts.

call_payoff(spot, strike)

Return the expiry payoff of a European call option.

Parameters:

Name Type Description Default
spot ArrayLike

Underlying spot price(s) at expiry. Scalars and array-likes are both accepted.

 required
strike float

Strike price of the option.

 required

Returns:

Type Description
NDArray[float64]

Element-wise payoff max(spot - strike, 0) as a float array.
Source code in src/dummypy/payoffs.py 
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def call_payoff(spot: npt.ArrayLike, strike: float) -> npt.NDArray[np.float64]:
    """Return the expiry payoff of a European call option.

    Args:
        spot: Underlying spot price(s) at expiry. Scalars and array-likes
            are both accepted.
        strike: Strike price of the option.

    Returns:
        Element-wise payoff ``max(spot - strike, 0)`` as a float array.
    """
    return np.maximum(np.asarray(spot, dtype=np.float64) - strike, 0.0)

put_payoff(spot, strike)

Return the expiry payoff of a European put option.

Parameters:

Name Type Description Default
spot ArrayLike

Underlying spot price(s) at expiry. Scalars and array-likes are both accepted.

 required
strike float

Strike price of the option.

 required

Returns:

Type Description
NDArray[float64]

Element-wise payoff max(strike - spot, 0) as a float array.
Source code in src/dummypy/payoffs.py 
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def put_payoff(spot: npt.ArrayLike, strike: float) -> npt.NDArray[np.float64]:
    """Return the expiry payoff of a European put option.

    Args:
        spot: Underlying spot price(s) at expiry. Scalars and array-likes
            are both accepted.
        strike: Strike price of the option.

    Returns:
        Element-wise payoff ``max(strike - spot, 0)`` as a float array.
    """
    return np.maximum(strike - np.asarray(spot, dtype=np.float64), 0.0)