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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.

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  • $\begingroup$ Looking for the same! No luck yet. $\endgroup$
    – Desi_Quant
    Sep 5, 2020 at 7:49

1 Answer 1

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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'

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