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?


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.

  • $\begingroup$ Looking for the same! No luck yet. $\endgroup$
    – Desi_Quant
    Sep 5 '20 at 7:49

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

If you try:

import QuantLib as ql

You will get an error:

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


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