0
$\begingroup$

I am trying to price Compound Options using QuantLib on Python. I've looked around but am unable to find any sample code. I believe that the CompoundOption Class should be used?

https://rkapl123.github.io/QLAnnotatedSource/dc/dae/class_quant_lib_1_1_compound_option.html

If you know of any sample code or if you know how to use QuantLib to price compound options, could you please assist. Any help will be appreciated.

$\endgroup$
1
$\begingroup$

I don't think the CompoundOption class has been exported to the python module

If you try:

import QuantLib as ql
ql.CompoundOption()

You will get an error:

AttributeError: module 'QuantLib' has no attribute 'CompoundOption'

| improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.